Trading arbitrage of graded funds

Graded funds can be subscribed or redeemed by on-site and off-site means. On-site purchase, subscription and redemption are carried out through securities companies qualified for fund consignment business in Shenzhen Stock Exchange. Over-the-counter subscription, subscription and redemption can be handled through the business place where the fund manager's direct selling agency or consignment agency handles the fund sales business, or through other means provided by the fund manager's direct selling agency or consignment agency. After the two types of shares of graded funds are listed, investors can trade through securities companies. The standard of whether the perpetual Class A share is worth buying is implied rate of return, and the standard of Class A with term is expected rate of return; The criteria for whether Class B is worth buying are the volatility of the index tracked by the parent fund, the size of price leverage and the size of trading volume (liquidity). Since the net value of the parent fund = the net value of the class A sub-fund, the proportion of the class A sub-fund+the proportion of the class B sub-fund and the proportion of the class B sub-fund,

AB merger cost = transaction price of Class A sub-fund, proportion of Class A sub-fund+transaction price of Class B sub-fund, proportion of Class B sub-fund,

When there is a price difference between the net value of the parent fund and the AB merger cost after deducting the redemption fee, the split arbitrage of the parent fund or the redemption arbitrage of the merged sub-fund can be carried out.

Discount premium arbitrage of Shenzhen Stock Exchange's graded funds

(1) net value of parent fund >; AB merger cost, that is, class AB sub-funds can be bought in proportion in the market on T day, the parent fund can be merged after the fund merger operation is confirmed on T+ 1 day, and the parent fund can be redeemed after T+2 days. So the total * * * is T+2 working days. The redemption fee is generally 0.5% (Harvest and Debon 0.3%, China Europe Dingli and Cathay Pacific 0. 1%).

(2) The net value of the parent fund

Discount premium arbitrage of graded funds in Shanghai Stock Exchange

According to the Measures for the Management of Open-end Fund Business of Shanghai Stock Exchange issued on 20 14, the parent fund and sub-share of graded funds issued in Shanghai Stock Exchange can apply for listing and trading. The parent fund and its sub-shares can be paired and converted by splitting and merging, except for graded funds with some sub-shares listed and traded. The number of split and merger declarations should be an integer multiple of 65,438+000 and not less than 50,000 (based on the share of the parent fund). The Shanghai Stock Exchange may adjust the quantity requirements for split and merger declarations according to market conditions. The share of the parent fund bought on the same day can be split on the same day; Sub-shares obtained by splitting on the same day can be sold on the same day, but they cannot be merged. The share of the parent fund purchased on the same day or transferred through sub-custody can be split after the settlement and delivery is completed. The sub-shares bought on the same day can be merged on the same day, and the parent fund shares obtained by the merger on the same day can be sold, redeemed or transferred to custody on the same day, but they cannot be split. The mother base is abbreviated as the mother base code, and the name of the child base code accounts for both. Subunit Maruhe 300 16 1207 Maruhe Xiaokang 1500085: 5 Maruhe Vision 150009 Double Jubilee 100 162509 Double Jubilee A/kloc-0. 2 4: 6 Double Jubilee B 1500 13 Xingquan He Run 163406 Herun A 1500 164: 6 Herun B 1500 17 Yin Hua. 1500 18 5: 5 Yin Hua ruijin 1500 19 Shenwan Shencheng 163 109 Shenwan income 150022 5: 5 Shenwan enterprising/klc. 38+0 New Town 500a 150028 4: 6 New Town 500B 150029 Yin Hua 901618/6 Yin Hua Jinli 150030 5: 5 Yin Hua Xinli/. 607/KOOC-0/8 Dolly Priority/KOOC-0/500328: 2 Dolly Enterprising/KOOC-0/50033 Jianxin Li Shuang/KOOC-0/653/KOOC-0/0 Jianxin Steady/KOOC-0/50036 4: 6 Jianxin Enterprising/KOOC-6 00 A 150039 7: 3 B 150040 Yin Hua consumption1618 Yin Hua ruiji 150047 2: 8 Yin Hua Ruixiang18. Fee income 150049 5: 5 consumption enterprising 150050 Xincheng 300 1655 15 Xincheng 300a 15005 1 5: 5 Xincheng 300b/kloc- Kloc-0/50053 4: 6 TEDA Enterprising 438+050057 4: 6 Jiuzhaozheng 150058 Yin Hua Resources 16 18 19 Jin Yinhua Rui 150059 4: 6 Yin Hua New. 4.6 Tongrui B/KOOC-0/50065 Cathay Pacific Mutual/KOOC-0/602/KOOC-0/7 Mutual A/KOOC-0/50066 7: 3 Mutual B/KOOC-0/50067 Guoan Li Shuang/KOOC-0/625/KOOC-0/0. 50069 5 5438+050070 Central Europe Shi Sheng 65470050075 Zheshang 300 166802 Zheshang Steady 150076 5: 5 Zheshang Enterprising 150077 Guangfa100/627. B 150084 Shenwan zhongxiao1631zhongxiao A 150085 5: 5 zhongxiao B 150086 jinying500162/kloc-. 5 Golden Eagle 500B 150089 Million Chuangchuang16/kloc-0+Million Chuangchuang A150090 5: 50 Million Chuangchuang B 15009 1 Nord S300/kloc. 5: 5 Nordisk 300B 150093 Taixin 400 162907 Taixin 400a 150094 5: 5 Taixin 400B 150095 Commodities161. 5 Commodity B 150097 Celebrate the Long Life 160806 Celebrate 800A 150098 4: 6 Celebrate 800B 150099 Penghua Resources 160620 Resources A150620 +050 10 1 Huaan 300 1604 17 Huaan 300A 150 104 5: 5 Huaan 300b150/kloc-. 150 1065: 5, one machine at a time 150 107, Changsheng Tonghui 160809 Tonghui 150 1085: 5 Tonghui/kloc 16630 1 huashang 500a15010 4: 6 huashang 500b1501kloc-0. A1501125: 5 ICBC100b15013 Guotai Real Estate160213. 8+08 Galaxy Enhancement 16 1507 Galaxy Priority 150 12 15: 5 Galaxy Enterprise 150 122 Jianxin 50/kloc-0. Thai Medicine 1602 19 Medicine A 150 1305: 5 Medicine B 150 13 1 Dexin16770. 6 1825 Yin Hua 800a 150 1385: 5 Yin Hua 800B 150 139 Guo Jin 300 16760 1 Guo Jin 300a/. +06 1826 convertible bonds A 150 1437: 3 convertible bonds B 150 144300 Gaobei1617/kloc-0. 655 19800 Medicine A 150 1485: 5800 Medicine B 150 149 Xincheng Nonferrous 165520800 Nonferrous A150. 8+0022 Growth Enterprise Market A 150 1525: 5 Growth Enterprise Market B 150 153 Prudential Finance 16552 1800 Finance A150/. +050 1647: 3 convertible bonds B 150 165438 Yin Hua +08 165438 Yin Hua 300b150168+0675: 5 Yin Hua 300. 0 1695: 5 Hang Seng B 150 170 Shenwan Securities16313 Securities A15017/kloc. +050 1755: 5 Yin Hua h shares B 150 176 penghua non-bank 160625 non-bank A 150 1775: 5 non-bank b/kloc-0. 050/KOOC-0/80 Guo Fu Military Industry/KOOC-0/6/KOOC-0/024 Military Industry A/KOOC-0/50/KOOC-0/8/KOOC-0/5: 5 Military Industry B/KOOC-0/50/KOOC-0/82 Shenwan Environmental Protection. 438+085 Shenwan Military Industry/KOOC-0/63/KOOC-0/5SW Military Industry A/KOOC-0/50/KOOC-0/865: 5SW Military Industry B/KOOC-0/50/KOOC-0/87 Discount arbitrage: for example, Yin Hua Shen. Buy Yin Hua Jinwen (150065438) and then merge Yin Hua Jinwen and Yin Hua Ruijin into Yin Hua Shen 100 parent fund for redemption, and buy (redeem) Shen 100ETF at the same time.

Premium arbitrage: If the market share of Shenwan Lingxin SME rating (163 1 1) or Yifangda SME rating (16 1 18) is overall premium, a certain amount of the above-mentioned parent funds shall be purchased in the market first, and securities shall be borrowed at the same time. Then the parent fund is divided into small and medium-sized board A( 150085), small and medium-sized board B( 150086) or easy-base steady (150 106) and easy-base enterprising (150106). Graded fund conversion is to make the sub-fund share get dividends in the form of the parent fund that can be redeemed at net value, so as to ensure that the transaction price can reflect the value of net value. If the sub-fund shares of a graded fund at a certain stage are not converted into dividends from the parent fund, then any net value distribution to them is a "nominal" figure, which is virtually impossible to achieve. For example, when the net income of Shenwan is ≤ 1 yuan, the component index of Shenwan Shenzhen Stock Exchange will not be converted. At this time, the net income of Shenwan and the enterprising net value of Shenwan are meaningless. Conversion is divided into expiration conversion, periodic conversion and irregular conversion. Most of the Class B shares do not participate in regular conversion, and only the Class B shares regularly converted by Double Jubilee 100, Harvest, Southern Consumption and Tongqing 800 are also converted into parent fund shares with net worth exceeding 1 yuan. Since most of the Class A net value exceeds 75% at the time of discount, it is converted into a parent fund, which can be redeemed according to the net value. Therefore, the discount rate of Class A, which was originally discounted, decreased (the price rose) when it approached the discount, and the premium rate of Class B decreased; The premium rate of Class A of the original premium transaction decreases (the price falls) when it approaches the discount, and the discount rate of Class B decreases.

The preconditions for downward irregular conversion arbitrage are: 1) Since the agreed rate of return of Class A sub-funds is lower than the market bond interest rate, the transaction prices of those Class A sub-funds with higher agreed rate of return and premium trading will fall; 2) When the net value of Class B sub-fund falls to a certain value, the irregular conversion clause is triggered; 3) The decline of the parent fund from the downward conversion point should be less than 10%, and the index tracked by the parent fund will fall more than 10% in the market environment. If the conditions are met, you can choose to buy Class A sub-funds, or apply for the split of the parent fund in the market, sell Class B sub-funds and keep Class A sub-funds. Waiting for the decline in the net value of Class B sub-funds to trigger irregular conversion and get the conversion bonus. If the market rebounds, there may also be the risk of unsuccessful arbitrage.