Arbitrage fund % 4 days of grading funds rate up to 5.6%
On July 30,RuiJin mechanismTransaction price of changing courses was 4.17%, drop sharply, and on the same dayFund,The mechanism of fund deep 100 index fund ShenZheng target tracking index fell by 100P only.This means that the mechanism of the premium rate of deep 100 fund will drop significantly.
“Now RuiJin mechanism to reuse the risk premium do arbitrage.Shanghai fund company personage commented.
Day before July 29, namely, the classification of the sons of leverage fund share concentration.Yin RuiJin transaction price highs on again, or 7636 turnover RMB 2.72%, as a new fund trade classification,The nl AnShuangXi B, the classification of the leverage fund as B of the transaction price and volume share and new highs.
According to the Wind, RuiJin mechanism of information on July 29, at the rate of premium 11.92% — it provides attractive arbitrage space.According to the mechanism of shenzhen RuiJin disclosed in the top five, the following transactions of securities business department and poised nine road in the arbitrage some benefit.
4 days arbitrage yields 5.6%
Following with the product research center stock index YangCui analyst introduces, consider capital cost and transaction cost and impact cost, July 26, investors, using respectivelyStock index futures8 and 9 months average annual yield has arbitrage is negative.
Risk aversion, love of arbitrage investors, longing for the new arbitrage opportunities, along with the market continuously, classification of fund rebound arbitrage appeared.
The classification can produce arbitrage fund is two aspects: one space, grading fund has leverage,Secondly, “matching” become classification standard, the fund investors can in the shortest possible time inside the market and the over-the-counter market transaction, the conversion for arbitrage provides the possibility of operation.
The so-called “matching” refers to the classification of the fund share open field spin-off and consolidated.Inside the share split, refers to the stadium will be held by its share holders according to two kinds of fund share the proportion of shares, share split into class A and class B shares.Share merger, inside the stadium will be held by its share holders of class A shares and class B shares in accordance with the contract, the proportion of the fund share merger into base.
Deep in the mechanism, for example, the 100 fund fund established, RuiJin mechanism with 2 times the lever lever is called for, the mechanism for deep 100 index, namely, the mechanism of 100 index rose by 1%, deep RuiJin mechanism can rise 2%, but with deep 100 rising equity mechanism, leverage fell.
And started on July 2, deep 100 index become market main index, the largest increase in index.By July 29, the index, and the mechanism of 17.76% RuiJin on July 2, net net efficiently, July 29, for 1.116 net for 36%.Within a month, the fund or other funds.
Because RuiJin mechanism in the rebound has such advantages in the secondary market, attracting a lot of investors buy.From July 19, Yin RuiJin turnover reached significant rise, and besides, before 1871 yuan on July 5, and the fund, the fund listed the first volume had never been to 10 million yuan.After rising volume, July 29 7636 amounted to RMB.
Meanwhile, the price also exchange-traded fund soaring, from July 2nd to July 29, trading 47.87% prices.Fund from the price discount into premium, July 29 premium rate reached 11.92%.Mother ShenZheng 100 index fund fund Yin the premium rate was also pull litre, by July 29 closed 7.18% reached.
Thus, arbitrage space.
In order to calculate assumptions on July 26, outside investors purchase Yin deep, two hundred fundFund net valueFor 1.067 yuan, two copies 2.134 yuan, subscription fee is for 1.2%, plus the stamp duty, the subscription 0.1% for 0.027742 yuan cost.
T + 2 after the fund can purchase to share split, application, 1 apartYin stable1 and RuiJin Yin,A day later on July 29 can sell this fund in the secondary market.But on July 29, RuiJin mechanism for the transaction price 1.253 yuan, the mechanism of the transaction price is stable, add up to $1.03 2.283 yuan.This will give to each trading brokerage brokers rate of 0.05% (different) trading commissions, namely 0.0011415 yuan.
With 2.283 yuan RMB 2.134 purchase cost minus total capital costs minus other 0.0288835 yuan, just four days, two copies of the mechanism can profit from the deep 100 fund 0.1201165 yuan, 5.63% margins.
Hedge funds
At present, however, the mechanism of arbitrage fund deep 100 grading feast beginning full of risk.
First is the risk of increased the arbitrage.If the arbitrage, means RuiJin mechanism in the secondary market mechanism and the steady increase of selling price, then it will definitely decline, the premium rate of fund will decline.
Because of using hierarchical arbitrage fund to T + 3 days, during the premium rate of less than if grading fund 1.35% (rate), then the arbitrage is faced losses.
On July 28, western securities Co., ltd., Beijing DeShengMen outside to sell securities business street RuiJin Yin 2489.12 yuan, so large amount is likely to be sold arbitrage fund and otherwise institutions dedicated to sell 412.66 yuan, following seats poised to sell 184.2 yuan 9 road sales.The RuiJin mechanism in 24.13% ratio.
On July 29th, although still rising RuiJin Yin, but still in large-scale escaping arbitrage fund.This fund to pull out of a long way, following ShangYingXian poised to sell 511.64 nine million, and sales agency sell 374 yuan.In hand at 26.79% create historic highs.
Compared with the big money to sell, these two days before buying, five are scattered.
Secondly, it is the risk of market declines.Not only rise not stumble, if the market adjustment, market appears in the classification of leverage fund net value of share will accelerate decline.On July 30, is the example.
Another notable is, by July 29, besides the mechanism of high premium fund in deep 100 condition, other three pairs can convert grading fund is in after deducting cost discount, no arbitrage space after.