Public offering indicates high premium risk! Institutional Arbitrage: individual investors should be cautious

category:Finance
 Public offering indicates high premium risk! Institutional Arbitrage: individual investors should be cautious


High market heat drives up ETF premium

5 funds in 2 days issue high premium tips

If everyone is in pursuit of an ETF, and the transaction price of the ETF is always higher than the reference net value, market makers can keep buying shares to apply for ETF shares, sell the ETF shares to those impatient investors, and then the scale of the ETF will rise. Similarly, if an investor is eager to sell his ETF shares, the ETF price will be lower than the net value of the ETF, then the market maker can buy the ETF, and then execute the ETF redemption to exchange it for shares to sell; in this way, the scale of the ETF will be reduced. Financial big V Wangjing Boge said.

Similarly, Jia Zhi, research director of Ping An Securities Fund, also said that the market heat increased and ETF premium appeared, which is a common market phenomenon. According to the new Beijing News reporter statistics, in two days, a total of five fund companies released a high premium risk prompt for their funds.

On February 27, Hongyi Yuanyuan Fund Management Co., Ltd. and Penghua Fund Management Co., Ltd. issued announcements to remind of the high premium of their funds.

According to the announcement, by February 25, 2020, the secondary market closing price of Hongyi Yuanyuan Guozheng consumer 100 trading open-end securities investment fund will be 1.387 yuan, with a premium margin of 22.34% compared with the reference net value of 1.1337 yuan of fund shares on that day. The class B share of Penghua China Securities environmental protection industry index graded securities investment fund of Penghua Fund closed at RMB 0.849 on February 25, 2020, with a premium of 12.30% compared with the reference net value of RMB 0.756 on that day.

On February 26, shenwanlingxin, Cathay Pacific Fund and RONGTONG fund also issued the risk prompt of high premium of floor trading price. At the end of February 24, the premium ranges of class B shares of Shenwan Lingxin China Securities Shenwan securities industry index graded securities investment fund and class B shares of RONGTONG securities company index graded securities investment fund were 70.73% and 33.49%, respectively. At the same time, the announcement also indicated that the trading price of secondary market of Nasdaq 100 trading open-end index securities investment fund under Cathay Pacific Fund exceeded The price range is high.

According to the new Beijing News reporter statistics from the daily fund network data, compared to the announcement of the fund, a number of funds to maintain a higher floor trading fund net value discount rate. As of February 27, a total of 27 funds had a net value discount rate of more than 1% and 15 funds had a net value discount rate of more than 2%. Shenwanlingxin Shenzhen Composite Indexs graded return and the discount rate of Rui and Xiaokang are over 10%, 13.49% and 10.22% respectively. In addition, the discount rate of growth ETF of private enterprises in Huaan China Securities is 1.84%, and etf1.41% of Dacheng Shenzhen securities is included.

According to Wangjing Boge analysis, ETF is also an index fund, and it is a 100% full fund, because the purchase and redemption of ETF does not use cash, but shares. Generally speaking, when investors buy ETF shares, they only care about the price and dont look at the reference net value of ETF iopv at all. If 1.666 cant be bought, they will hang 1.667. At the same time, ordinary investors pursuit of an ETF will cause the price of the ETF to be higher than the reference net value of the ETF, so market makers can buy shares to apply for the ETF, and then sell the ETF to earn a price difference.

More than 2% discount premium rate has arbitrage space

More suitable for institutional arbitrage

Due to the existence of arbitrage operations, the discount and premium rate of 1% - 2% or more is relatively rare. 2% can be regarded as a high premium rate and there is arbitrage space. Yang Jiaxing, a senior fund researcher at Tianxiang investment consulting, told the Beijing News. For example, the premium of Nasdaq 100 is as high as 11.37%. If anyone can apply for the fund and then sell it on the market to earn 11.37%, should investors take advantage of the high premium to arbitrage?

According to Yang Jiaxing, as ETFs can be arbitraged in trading, there is seldom a high discount and premium for ETFs in general. Recently, this phenomenon is closely related to the sharp fluctuations in the market. With the markets sharp rise and fall, some investors use the way of trading ETFs on the market in order to track the market trend, which also causes the discount and premium of ETFs on the market. In the case of premium rate above 1-2%, there is a certain arbitrage space. There are many kinds of specific operations, such as arbitrage on time, delayed arbitrage, event arbitrage, instant arbitrage and so on. For example, when the secondary market price of ETF exceeds the net value of the share, you can buy the stock portfolio, apply for the fund share in the primary market, and then sell it in the secondary market to obtain cash.

According to Jia Zhi, due to the limitation of transaction scale, ETF arbitrage is not suitable for ordinary investors. At present, more institutions have realized arbitrage modeling and algorithmic trading.

Recently, Huabao securities released the ETF premium arbitrage guide for NASDAQ. The report said that in recent days, Guotai NASDAQ and Guangfa Nasdaq have maintained a high premium. Arbitrage scheme I: GF NASDAQ ETF (159941) t + 0 premium Arbitrage: as GF NASDAQ ETF is listed on Shenzhen Stock Exchange, RTGS settlement mode (requiring securities companies to check the form) is implemented during the day when the corresponding shares and cash for subscription are replaced, which can realize the real-time sale of T-day subscription shares as soon as possible, so it can carry out intra day t + 0 premium arbitrage within the subscription limit.

Arbitrage scheme 2: Guotai NASDAQ ETF + NaF lofor Standard & Poors technology lof disguised premium arbitrage because Guotai NASDAQ ETF is currently suspended from subscription, so it is impossible to carry out premium arbitrage between the primary and secondary markets directly. Investors holding the subject matter can choose to sell the corresponding ETF shares at a premium in the field. Meanwhile, investors applying for similar subject matter, such as NaF lof, can replace their positions after the premium of Guotai NASDAQ ETF converges Redeem the NASDAQ lof and repurchase / subscribe for Guotai NASDAQ ETF to restore its original position.

Warburg securities also said it could use standard & Poors technology lof (161128) as an alternative to the NASDAQ lof (161130). The S & P technology lof tracks the S & P 500 information technology index, which is a 100% pure technology index weighted by 71 it stocks in the S & P 500 index. The proportion of information technology sector in Nasdaq 100 index is as high as 57.33%, and the purity of science and technology is also high. Since 2015, the correlation between the two indexes is as high as 0.9462. Yang Jiaxing also believes that for retail investors, the arbitrage risk is quite large. Even if the trading volume is high and the liquidity is good, on the one hand, the threshold is high, and there is a certain capital threshold for purchasing ETFs, some of which are more than one million; on the other hand, the transaction price of ETFs is often subject to the systemic risk and liquidity risk of the market, in addition to the risk of changes in the reference net value of the share Other risks, retail investors should not blindly participate in arbitrage. Zhang Shuxin, reporter of Beijing news source: responsible editor of Beijing News: Yang Bin Gu nf4368

Warburg securities also said it could use standard & Poors technology lof (161128) as an alternative to the NASDAQ lof (161130). The S & P technology lof tracks the S & P 500 information technology index, which is a 100% pure technology index weighted by 71 it stocks in the S & P 500 index. The proportion of information technology sector in Nasdaq 100 index is as high as 57.33%, and the purity of science and technology is also high. Since 2015, the correlation between the two indexes is as high as 0.9462.

Yang Jiaxing also believes that for retail investors, the arbitrage risk is quite large. Even if the trading volume is high and the liquidity is good, on the one hand, the threshold is high, and there is a certain capital threshold for purchasing ETFs, some of which are more than one million; on the other hand, the transaction price of ETFs is often subject to the systemic risk and liquidity risk of the market, in addition to the risk of changes in the reference net value of the share Other risks, retail investors should not blindly participate in arbitrage.

Zhang Shuxin, reporter of Beijing News