A Study On Arbitrage Of The Structured Fund

Structured fund is a new product of financial market in China.In recent ten years,struc-tured fund has become many investors favored investment tool.On the basis of most investors have a correct understanding ofstructured fund,to explore the suitable and feasible arbitrage method for many investors become a very important topic.This paper details the related concepts,leverage effect,conversion mechanism,and risk of structured fund.Then,this paper adopts the research methods of case study and empirical analysis,focusing on the two kinds of arbitrage methods:the matching conversion arbitrage mechanism and the statistical arbitrage mechanism.The matching conversion arbitrage mechanism belongs to the unique trading mechanism of structured fund.This paper makes a detailed case study of premium arbitrage and discount arbitrage respectively,and points out that the risk of time delay in premium arbitrage is greater.This paper puts forward the risk of hedging with stock index futures.Statistical arbitrage is a widely adopted investment strategy.Based on the cointegration strate-gy,this paper makes an empirical test on the statistical arbitrage of paired transactions.This paper points out that the arbitrage advantage of this method is obvious,but there is a big defect.This arbi-trage mechanism depends on the short mechanism.At present,our country's structured fund cannot be short,so the way is still in the theoretical stage.