129784668277397500_538Open carry arbitrage strategy behind the door decrypts CSI 300ETF
With the approval of the securities issued, and the steps to completely expand, hailed as the most valuable ETF--of Shanghai and Shenzhen 300ETF officially entered the State issued last week. CSI 300ETF so why be concerned? It introduced, means what kind of investment opportunities and the birth of new policy? CSI 300ETF under the current terms of "currency" in which? "This is the cross-product in the era of" a few days ago on an internal Exchange, Galaxy securities derivatives Department General Manager Ding Shengyuan commented, "this is an era of cross-product, many now do not know the meaning! ”。 As a veteran of derivatives arbitrage trading and market participants, in his view, the Shanghai and Shenzhen 300ETF the true meaning, in addition to the introduction of a stock index futures and the correspondingETF, it also means that the Shanghai and Shenzhen markets open up. "Now able to push through the Fund, will be able to push something else in the future, across markets and varieties of products more trading strategies and the greater space, in this sense, Shanghai and Shenzhen 300ETF is a start, but it opened behind innovation and market space is the most notable. "" More productsMore, play more, Shanghai and Shenzhen 300ETF after the launch, the strategy is a geometric growth, will substantially increase trade between products of different strategies. Many products is not a simple arbitrage, statistical arbitrage can be covered, perhaps in the future across the ETF arbitrage, or even by trading strategy over time may become more mainstream. "AnotherDirector of financial engineering evaluation of the Institute. "Is the most intelligent, the most powerful in the market. "Ding Shengyuan lamented. Huatai Bai Rui Fund Manager of Shanghai and Shenzhen 300ETF Zhang Ya think, huatai Bai Rui CSI 300ETF ETF's greatest feature is the retention of the existing single market "t-0" transaction, investors can be accomplished without the aid of margin on one or twoMarket arbitrage days many high frequency arbitrage and can achieve a single fund, the Fund use efficiency high. "Taking into account the situation in China different from the mature markets overseas, there is currently no perfect mechanism for short, short selling and margin limits of many, now with margin arbitrage features may be subject to certain restrictions. But the current trade rules and tools, has enough to make ETFMedium-and long-term value investor trading tools, also will make it based on ETF arbitrage and derivatives such as leverage, margin financing hedge strategy can be fully tapped. "Zhang Ya said. Longer than Xiang Liu Zhongyuan
tera power leveling, Chief Economist of the finance futures of stock index futures, CSI 300ETF when available, and stock index futures arbitrage is expected to significantly reduce transaction difficulty. "NowArbitrage is the core issue of how to build the tracking error is small enough spot combo, currently primary method of spot structure: full copy method, copy the sample law, CSI 300 index construction method of cash assets, other open-end Fund ETF Fund Portfolio simulation method, but above all there are different levels of defects. "Zhongyuan Liu says, in Shanghai and Shenzhen 300ETF not launchingQian, general stock index future arbitrage spot construction divided into two classes. First is the direct distribution by spot, such as some of the biggest institutional investors hundreds of millions or even billions of dollars at the time of the carry, in accordance with the weight of each sample unit in the CSI 300 index to construct the spot. But for some financial strength is relatively small, only millions of deals or tens, they are doingArbitrage is now
tera gold, with the Shanghai composite 180ETF, deep 100ETF, in accordance with the ratio of 7:3 to match. In this way because the deal size is too small, scattered in too few on the stock, a fraction, the errors are often very much. "An ancient unit of weight, equal to one fourth of a Liang baht per meter" arbitrage traders apparently caused no small difficulty. "In particular defects more now, for the old Shanghai 180ETF and deep 100ETF a net, split after five, carry in and out when errors and price changes more drastic, leading to arbitrage the impact cost is relatively high. "Zhongyuan Liu said. After the launch in Shanghai and Shenzhen 300ETF, due to the requirements on the product, they carry cost reduction. Huatai Bai Rui CSI 300ETFBasically realize t 0 transaction, easy to carry, so that the secondary market trading price and the net value of the Fund (IOPV) premium folding small, easy to index in the secondary market investors may trade for short-term trends in investment, starting from 100 (about $ 300 less). In addition, 1 star 3 futures contracts corresponding to redeem units: easy to carry using stock index futures investor,Lower threshold of the arbitrage Fund. Many trading and arbitrage strategies through interviews with the industry, we also conclude that the future of Shanghai and Shenzhen 300ETF of eight methods of trading strategies and arbitrage. First of all, make full use of Shanghai and Shenzhen 300ETF trading mechanism on "t-0" transactions. According to a number of institutional investors, buy on the day of the day to sell, which in China's stock market and fundsTransactions are possible. But in Shanghai and Shenzhen 300ETF, using their t-0 but you can do arbitrage mechanism. "For example, can take advantage of buying on the day ETF--redemption of ETF exchange for stock-sell-stock packages. Or instead of Rotary trading mechanisms to do that day. From the purchase, redemption mechanism, realize t 0 deals. "Galaxy securities of smallYuan said. "This, for the days of high-frequency traders, particularly important. "Some agencies believe that after the launch in Shanghai and Shenzhen 300ETF, investors can achieve with" days of bullish or bearish on the CSI 300 index ", with the help of funds on rotating mechanism, gets the opportunity to make money. On this basis, long-term investors is also low-cost positionOpportunities. "Buying stocks, bulk orders is much higher than the cost of investing in index funds. And the costs of the ETF is well below the index fund, for macro-from top to bottom, this is another chance. "Outside the hold of low-cost, quantitative investors may also be given the opportunity. A leading Director of financial engineering at the Institute, believes that the "statistics on the CSI 300 indexGood space is large, a simple policy, theoretically can obtain almost 10% of receipts, believe in the future of Shanghai and Shenzhen on 300ETF, on a large index of statistical arbitrage space a lot. "Carry on, Shanghai and Shenzhen 300ETF is probably more. The most critical is the arbitrage between stock index futures contracts and, of course, because it is tracking the same subject, and designersSome thoughts, in theory, CSI 300ETF is used when the carry trade, significantly lower the threshold transaction (use of funds can reduce 90%). "Some people think, cross-market of Shanghai and Shenzhen 300ETF may add uncertainty to carry, I think this may not be correct. "CEOs believe that the quantification of a brokers ' investment sector. "Valuation uncertaintiesPrice volatility arbitrage investor is a cost, of course, but it can also be viewed as an opportunity. A height determines the valuation, transactions, high efficiency is the absence of arbitrage opportunities, such as on the 50ETF, now not see any arbitrage opportunities. And instead 180ETF to do the premium stock index arbitrage opportunities exist which are importantReason is that stock index futures transaction mechanism, there are limits. These opportunities will become more obvious after the launch in Shanghai and Shenzhen 300ETF. "There are bodies, not only between stock index futures and ETF arbitrage, the future use of stock index futures and other derivative varieties, you can even do both ETF and stock index futures" triangular arbitrage ", this opportunity may not be less. There bodiesThat, given the current CSI 300ETF purchase, redemption mechanism must be different. Some t-0, some of it is more than t-2, in theory, can take place between two CSI 300ETF arbitrage, "this possibility exists. "Some investors think, now that the Shanghai and Shenzhen 300ETF test of cross-market settlement on all kinds of transactions such as,This investment policy must be applied between the stock and the Shanghai and Shenzhen 300ETF. Around Shanghai and Shenzhen 300ETF "carry" the move. Such arbitrage space may also be present. There are experts, theoretically, t-0 version of Shanghai and Shenzhen 300ETF is equivalent to the CSI 300 index has reduced to 1 large stock, and by t 0,This "share", "net assets per share" (net) and "dump" (secondary market) can be very close to, this may be a simple tool for small and medium investors to go long the market. "Identification of medium and small investors in the stock is not enough, there is not enough information or technical ability and time to identify stocks, but for the CSI 300 index for some time to come onOptimistic small and medium investors up space, consider a purchase of Shanghai and Shenzhen 300ETF, this is a good. "Future scale may be approaching 100 billion for sales and scale of the Shanghai and Shenzhen 300ETF track, is another hot on the market. From huatai Bai Rui Fund reflects the situation of the company, from April 5, investor enthusiasm of careHigh, channels and huatai Bai Rui from the brokers ' call centre investors Advisory phone constantly to subscribe than expected enthusiastic. "This may and CSI t-0 300ETF mechanism about or and huatai Bai Rui in the ETF's management ability and experience. "The channel said. Professionals say, because of ETF's unique offeringMechanism, it appears really needs to wait for the release of the last few days. According to the announcement, huatai Bai Rui net cash subscription across the whole issue: April 5-26th; cash subscription online and offline share only in the last 3 days of release: April 24, 25th, and 26th. Real issue also needs to be to late to learn. However, for releaseScale, very optimistic expectations in the industry. Some researchers believe that, mutatis mutandis
tera gold, in foreign countries, future CSI 300ETF as the leading ETF has the potential to grow to a size of more than 100 billion, and this can further carry trade provided rich liquid Foundation.
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