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Data:2009-12-12 2:34
Some of the local rivers and lakes there.
Now, in the face of enormous wealth effect, the investment funds have become a "national movement." Although the Fund is to emphasize the value of investments and long-term investment products, buy-and long-term holders will have a good income, but the rivers and lakes are not satisfied with mediocre human touch of investment life, always hope to find more exciting the excess proceeds, sets of Lee is a common practice. As a result, some high people's practices arbitrage Cheats like the martial arts as a legend,神乎其技.
To understand that dangers, and arbitrage opportunities although it will from time to time, but usually fleeting, which is fraught with variables, and more eyeing a large number of professional players. Therefore, listening to stories is a kind of enjoyment, can personally battle is another matter, the Christian Democrats need to get antsy well aware of this.
The so-called arbitrage, the textbook is defined as trading in a market to buy a tool, another market to sell, the two trading tools may be the same or similar to the price difference between taking profits. In fact, the arbitrage fascinating because it is no risk money-making opportunity in the short term to reap handsome returns. However, arbitrage opportunities are often fleeting, because arbitrage activity will soon eliminate price differences.
Trick one: hedge funds heavily loaded part of the stock
This arbitrage was the way that the past two years there, only the past two years, split share structure reform launched, coincides with the bull market, a lot of quality stocks to be changed without the stocks resume trading period, the stock market has sharply pulled up, the stock has the same to achieve high gains can be expected that these shares will resume trading after the amazing gains, but the stock suspension can not be bought, so, there is some money in the stock through a large number of funds buying heavily loaded to achieve arbitrage.
For example, Guizhou Moutai (600,519) due to the forthcoming split share structure reform on February 24, 2006 suspension from the previous day's closing price of 62.27 yuan, to April 17 shares resume trading, shares soar (During the suspension period, the Shanghai index rose nearly 7%), received three consecutive daily trading limit up, April 20, closing price of 84.03 yuan. Assuming the stock resumption informed of the information, the fund bought the stock heavily loaded, you can achieve in the short term arbitrage. S Shuanghui be a result of the recent resumption of the message is disclosed, buying heavily loaded with S Shuanghui of Guotaijinying Growth Fund, Dynamic selection of Changsheng Fund's arbitrage opportunities, etc., seem particularly attractive, so fund companies have issued a moratorium purchase, and transferred to the operational notice in order to protect the interests of existing investments.
This arbitrage approach has been able to achieve with the current methods are very much related to valuation of the Fund. Open-end fund subscription and redemption are calculated on the basis of the net, while the NAV is based on 3:00 per day after the close of holders of securities to calculate the closing price of assets, so it is difficult to reflect in a suspension during the the real value of the stock, the Fund's net there may be undervalued on the situation, of course, may also be overestimated, the fund has been heavily loaded with Guangxia, in 2001 Guangxia 3 August to 10 September During the suspension period, net essence, been over-resume trading after the September 10, Guangxia 10 consecutive daily limit, the Fund net down sharply. Just shortly before the suspension, such as investment in these funds, short-term losses in the offing.
Logic sounds simple enough, but there are still risks of arbitrage operations. First, the pending resumption of the stock to resume trading on the stock in the end when there is a considerable uncertainty, but there is a clear message out when most of today's fund companies to halt open-end fund purchase, and transfer operations, the same can not be bought income, can only choose to be in the secondary market transactions, closed-end funds. Second, buy from hold, during the market's direction is also an important factor affecting earnings, especially for closed-end funds. Finally, if it is through an open-end fund to arbitrage, the cost of fees is not small, if the stock rose after the resumption is not ideal, short-term redemption fund also may result in the loss.
So, since it is done through the Fund, it may still spend some thought, try to find the profitability of these concepts contains strong funds, even after the resumption of the stock or is not satisfactory, you can also get a stable return on long-term hold, so that entry can be to attack or retreat and defend.
[Case 1: The arbitrage Shigekura pending resumption of the fund shares are not shares of reform]
April 28, Cathay Pacific fund management company issued a notice, due to growth in Golden Eagle, Golden Dragon industry selection, Kinmen and Matsu returns three solid part of the stock held by the Fund in the split share structure reform period, in view of that part of the stock transfer of assets to achieve matters significant progress, is expected to resume trading in the near future as well as net value of fund shares have a significant impact, in order to maintain the interests of holders of fund shares since April 30, the suspension of the above-mentioned three funds all purchase, and transferred to the operational.
Used here, "some stock", that is S Shuanghui. April 27, S Shuanghui (000895.SZ) Notice, then the controlling shareholder of Henan Shuanghui Industry Group to inform the Hong Kong Securities and Futures Commission Luotekesi Corporation has recently received "notice relating to the consent Luotekesi Co., Ltd. Henan Shuanghui Investment & Development Co., Ltd. tender offer views of the report, "said the announcement of the tender offer Luotekesi report without objection. Includes stock options for reform and the transfer of the twin concepts of foreign investment, S Shuanghui resume trading after the rose has become a consensus.
S Shuanghui stock reform process, which began March 2, 2006, May 23 after the resumption of the six trading days, the stock limit-experience of five boards and a 7.63% gain. May 31, 2006, S Shuanghui suspended again when the closing price of 31.17 yuan, when Shen Chengzhi to 4292.10 points as of April 27, 2007 S Shuanghui announcement day, Shen Chengzhi reached 10,688.55 points, or 149 %. Many researchers believe that the industry after the resumption S Shuanghui rise is likely to exceed 150%.
If resumption after the S Shuanghui compensatory growth of 150%, to Cathay Pacific's Jinxin of closed-end funds, for example, 30 million copies of fund shares, will receive a right price, holders of 21,292,269 shares, the net increase of 9.9 billion, net growth of 0.33 per yuan, 2.03 yuan according to the net from 27 calculated the net increase of 16.27%.
Trick 2: closed-end fund arbitrage opportunities
Closed-end fund discount is the source of arbitrage trading.
The long-term closed-end fund discount is a common phenomenon in the international community is generally believed that this is the fund-agent problem, mobility issues and information required in the question of compensation for turbidity; but China's closed-end fund by as much as 50% of the worse resale values, making funds have been seriously underestimated, which causes both a bear market for many years, but also with investors misunderstanding about. Therefore, Feng Zhuankai stimulus in 2006, closed-end fund performance eye-catching.
For ease of illustration, assume that a closed-end funds worse resale values of 50% in its portfolio, about 30% of the assets of bonds, bank deposits and other low risk assets, so their stock assets, the actual worse resale values of up to 70%, that is, closed-end funds in the stock of assets equal to the average selling price of folded, and most closed-end funds are mostly Awkwardness of Sinopec, China Vanke, China Merchants Bank and other blue chips, during which contain arbitrage opportunities can be like conceivable. Thus, last year the fund smoothly Feng Zhuankai Societe Generale, the closed-end fund's investment value of ordinary investors gradually recognized.
Another closed-end fund arbitrage opportunity is dividends, because closed-end funds in the fund contract that each year must be allocated 90% of realized gains, therefore, an annual San Siyue were the climax of the fund dividend period, will easily give rise wave of dividend Quotes. In fact, the reasons behind the dividend Quotes A large part is still the discount trading. Assumptions, a closed-end funds is now the net is 2 yuan, worse resale values of 30%, its transaction price or 1.4 million, broken down by fund contracts, dividend 0.9 yuan, dividends and net value of changes in 1.1 yuan, equivalent to 0.5 yuan with investors to buy 1.1 yuan worth of assets, worse resale values over 45% in the value of the subsequent recovery process, investors can achieve arbitrage, assuming worse resale values are still returned 30%, the transaction price will reach 0.77 yuan in the short term, the investment was Lee 54%.
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[Case 1: The arbitrage high dividend expected closed-end funds]
S Ejiao in the upcoming May 9 resumption of the stimulation, the influx of arbitrage capital stock of the Fund Taihe Shigekura, resulting in the Fund Taihe jumped 8.89 percent yesterday. S Ejiao December 2 last year, since the suspension has since gained broad market by 2103.82 points to 3950.01 points yesterday, so the market generally agreed that after the rise of its stock to resume trading would be quite shocking. A quarterly show, the Fund held by the end of March Taihe S Ejiao 1578.65 million, representing the proportion of the outstanding shares of 5.49%, S Ejiao resume trading will increase the Fund's net great, it attracts a lot of money through the Taihe arbitrage.
Large ones 3: LOF fund arbitrage opportunities
LOF (Listed Open-Ended Fund) funds, namely, "listed open-end funds." That is released after the end of the Fund, investors can purchase and redemption of the designated outlets fund shares, you can also exchange trading of the Fund. But if the designated outlets investors purchase shares in the fund and want to sell through the exchange system, need to apply for transfer across system Hosting procedures; Similarly, if the exchange system, to buy shares in the fund and want to in other redemption of the designated outlets, but also apply to switch hosting procedures. Managed transfer procedure usually takes two days of processing time.
Shenzhen Stock Exchange is now open inside LOF fund subscription and redemption of business, that is, apart from the venue of the real-time continuous auction trading, it also can purchase and redemption of fund equity to fund shares. This is necessary to apply for transfer-based China Trust procedures to save time, purchase shares in the fund or redemption of the funds are available in the T +2 days. The fund bought the venue that day T +1 can be sold at the venue; the date of purchase of the T +2 day fund shares can be sold at the venue; the venue to sell fund shares at that time Daozhang available funds to redeem fund shares in 2 working days of funds can be Daozhang use. At present, the factoring huge influx of 100, south of the plot with other 15 LOF fund purchase and redemption can be handled inside.
LOF arbitrage funds from the fund net and real-time transaction exists between the price spreads. The general view of the current transactions, net and real-time transaction generally spreads between the price of 1% ~ 2%. If the fund is higher than the net transaction price, investors can buy at the venue by transaction price, and then net redemptions; on the contrary, if the net value of less than the closing price of the fund, investors can choose to purchase or in the pit outside the subscription, and then at the venue transaction price by selling access to arbitrage gains. Tips: Now open floor trading LOF subscription and redemption of Fund 15
Factoring huge influx of 100 (161,607), 10000 Public (161,903), the South plot with (160,105), Bo-time theme (160,505), widely distributed small-cap (162,703), King Shun Ding Yi (162,605), Castrol 300 (160,706 ), Southern High increase (160,106), Bank of China (163,801), Societe Generale trends (163,402), investment growth (161,706), INVESCO resources (162,607), Peng Hua value (160,607), ABN AMRO efficiency (162,207) rich Tianhui (161005).
[Case 1:]
We pit the most active of the "wide-fat small-cap" fund, for example, November 21, 2006 closing price of the Fund pit full of 1.805 yuan / copy. The date of the fund net 1.8428 yuan. If you bought the fund at the venue 21, 18, Daozhang fund shares after the exchange market redemption fund. 22, the fund net 1.856 yuan. Full calculation of the full costs (fund redemption by 0.5%, 0.1% handling fee to buy the calculation cost 1.8158) two-day gain of approximately 2.21% of arbitrage; having a fall, according to Guangfa Small Cap Fund's historical data, the Fund net and the floor trading price spreads the level of 1.0% of the time. So the use of LOF fund arbitrage can be regarded as a more robust way profit.
[Case 2:]
Started end of last year lof fund high premium phenomenon is very representative. November 23, 2006, Southern High Growth Fund released the same day a large proportion of dividends and the suspension of purchase notice, for every 10 copies of the fund dividend is expected to 7 yuan, the Fund appeared two days after another daily limit. Southern high-growth led to a large number of LOF fund substantial increase in the rate of rapid increase in the fund premium. The plot with the South, Ding Yi INVESCO, Invesco resources LOF funds have been a daily limit, to December 1, LOF premium rate reached its peak. 14 LOF fund closed at a weighted average premium rate of 6.83%, of which a premium rate of over 10% of the Fund 6, in particular the Invesco resources to the South higher Zeng Jing Shun Ding Yi three large proportion of dividend funds, a premium rate of respectively 41.04%, 34.53% and 28.19%.
LOF investors through the inside part of the purchase funds, T +2 days could be sold through the venue; part of the investors in the OTC market, after the fund subscribed for LOF, and then apply for transfer across system Hosting, T +2 day fund shares can be sold through the venue out.
Can be interpreted as large-scale suspension of dividend plus a premium subscription has become a high LOF fuse, coupled with the stock market was upward, some of the funds involved in the LOF of the hype. LOF trading floor the size of the fund due to smaller investors are not familiar with arbitrage mechanism LOF and LOF, and as with exchange-traded closed-end funds soared, LOF appeared completely divorced from the fundamentals of the surge. In fact, the large proportion of the investment value of dividends for the LOF there is no promotion, some investors to fund dividends and dividends of listed companies for the wrong analogy is LOF important reason for the irrational rise. In addition, because these large proportion of dividend fund investors purchase huge sums of money, LOF rapidly increasing share of floor trading to curb speculation in the market behavior.
Large ones 4: ETF Arbitrage Opportunities Fund
ETF (Exchange-Traded Funds) funds, namely, exchange-traded funds, are available on the exchange traded open-end fund. In general, ETF Fund, the use of passive investment strategy for tracking a target market index, therefore, ETF funds are also known as "exchange-traded index fund." On the one hand, ETF funds can be like a closed-end funds, listed on the Stock Exchange trading. On the other hand, institutional investors such as open-end fund can also, as in a market to fund management companies fund shares / units of purchase and redemption. However, ETF fund subscription and redemption, instead of using cash, instead of using a basket of stocks (or bonds).
ETF Fund's arbitrage mechanism generally is the case, when the secondary market price is higher than the fund units of the Fund's net worth, investors can buy fund shares baskets, purchase fund shares, and fund shares sold in the secondary market; When the fund was the secondary market prices lower than the net value of the fund units, investors can buy fund shares in the secondary market, and redemption of fund shares will be redeemed shares of the funds received to sell baskets.
ETF Arbitrage Fund, the main participants are quite strong capital investors, as a market for subscription and redemption transactions, the amount generally require at least 1 million, medium and small investors unable to participate.
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