1. fill the gap of cross-market ETF products

Judging from the current development of domestic ETFs, 39 ETFs currently established in the market are all based on an index of Shanghai Stock Exchange or Shenzhen Stock Exchange, among which 23 ETFs track the Shanghai Stock Exchange Index and 16 ETFs track the Shenzhen Stock Exchange Index. Huatai Bairui CSI 300ETF is the first batch of cross-market ETFs in China, and its tracking CSI 300 index covers the Shanghai and Shenzhen stock markets, making up for the vacancy of cross-market ETF products in China.

2.T+0 trading has strong real-time, short cycle and flexible trading.

In the version of Shanghai Stock Exchange of Shanghai and Shenzhen 300EF, the order of subscription and redemption was issued on T day, and the exchange immediately completed the increase and decrease of ETF shares and portfolio securities, which emphasized the timeliness of trading. Among them, the constituent stocks of Shenzhen Stock Exchange need cash replacement, and the fund manager is responsible for the trading of constituent stocks. The specific purchase and redemption process is as follows: the constituent stocks bought on T day can be used for the purchase on the same day; The ETF shares purchased on T day can be sold on the same day; ETF shares bought on T day can be used for redemption on the same day; Redeem ETF shares on T day, and acquire and sell the constituent shares of Shanghai Stock Exchange on the same day. In this way, in this mode, investors can use the trading mechanism of T+0 to realize multiple and repeated transactions of a sum of money in one day and improve the efficiency of the use of funds. Without increasing the stock of market funds, it can increase the trading volume and improve the liquidity of constituent stocks and ETFs, which has played a positive role in the active market and produced a capital amplification effect. In a weak market environment, T+0 trading system can realize redemption on trading day, and can take profit and stop loss in time, which not only reduces the investment risk of investors, but also provides investors with more short-term trading opportunities.

In addition, in cross-market arbitrage, investors can use the T+0 trading mechanism to carry out T+0 instantaneous arbitrage with strong timeliness without the help of securities lending business, and the operation is relatively simple. Its uncertainty is reflected in the link of the fund buying deep shares on behalf of investors, that is, the time from the time when investors submit redemption applications to the time when managers complete deep shares trading. Through system optimization and system improvement, the transaction delay and uncertainty can be reduced to some extent.

3. Strong liquidity and excellent tracking effect make the index have good spot characteristics.

Spot arbitrage refers to a futures contract. When there is a price difference between the futures market and the spot market, it uses the price difference between the two markets to make a profit by buying low and selling high. Therefore, the key of spot arbitrage is to construct a spot portfolio with easy realization, high fitting accuracy and low transaction cost. In order to cooperate with the Shanghai and Shenzhen 300 stock index futures, the stronger the linear relationship between spot and stock index futures, the better. From the formula of no-arbitrage interval, it can be seen that the greater the transaction cost and tracking error, the wider the no-arbitrage interval and the smaller the arbitrage opportunity. Judging from the effect of fitting spot with CSI 300ETF and the effect of completely copying stocks, it is better to fit spot with CSI 300ETF and linear ETF portfolio with other ETFs.

Second, arbitrage.

1, self-built model, in-depth exchange and learning with mature model designers;

2. Cooperate with futures companies and relevant institutions.

Even arbitrage can't guarantee profit.