| Structured fund,originated from foreign structured financial products,has been in China for ten years.Due to its lever mechanism,investers show great interests in structured funds.However,the arbitrage opportunities behind the complicated structured design are rarely known by people.Structured fund has special nonscheduled shifting mechanism,which will lead to the deviation of the net worth and price,thus bring us potential arbitrage space.This paper will do some research on arbitrage space of non-scheduled conversion.At first,we trace the development of structured fund in domestic and overseas,then we deeply analyze the definition and elemental characteristics of it,like the shifting mechanism,net worth and price.After knowing the characterstics,we make a summary of the popular arbitrage pattern and build some models of it,and then we make empirical analysis in detail.To improve the efficiency of model,we incorporate the impact cost,transaction cost and discount(premium)rate into it,and confirm the optimal rate of discounting(premium)by comparing to the different yield of sample in different rates.Considering the converting date is unpredictable,we need to find some buying signal,after analyzing we find three index are representative.Finally,we make analysis to the yields of sample and make a historical earning test of all the structured funds from 2015 to 2016,and we get good performance of the yield rate.There are only some current researches about arbitrage of structured funds,they mainly focus on two fields:the matching conversion arbitrage methods and hedge arbitrage with stock index futures.We make the arbitrage model of non-scheduled conversion:innovatively,and the model which has considered the market factors and the buying signal has more practical significance. |
PDF Full Text Request