In practice, there are two ways for ETF to achieve arbitrage. When ETF trades at a premium, that is, when the secondary market price is higher than its net value, the primary market participants of ETF can buy SSE 50ETF in the primary market by buying the same combination as the basket of stocks announced by the fund on the same day, and then sell the corresponding SSE 50ETF share on the exchange. In this way, if the transaction cost is not considered, the cost for investors to buy shares in the stock market should be equal to the unit net value of ETF, because ETF is traded at a premium in the secondary market.
However, when ETF trades at a discount, that is, when the secondary market price is lower than its net value, the arbitrage trader can obtain arbitrage income through the opposite operation. That is, participants in the ETF primary market can buy SSE 50 ETFs in the secondary market, redeem the same number of ETFs in the primary market (and get portfolio stocks representing ETFs), and sell the redeemed stocks in the secondary market. If transaction cost and liquidity cost are not considered, the value of redeemed shares sold by investors in the secondary market should be equal to their net fund value. Arbitrators can profit from the discount trading of exchange-traded funds. (main fund changes, tracking my wealth synchronously ...)
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ETF secondary market transactions are similar to stocks, and investors can buy and sell ETF shares in cash through any securities company. The minimum transaction unit of ETF secondary market is one hand (each finger 100, about 100 yuan), and the capital threshold is low, so small funds can participate. The transaction cost of SSE 50ETF in the secondary market is much lower than that of traditional index funds, and the cost of day trading is low; Trading in the secondary market is similar to stocks, and the price fluctuates greatly during the trading day (unlike traditional open index funds, which only have one trading price every day-the net value of fund shares), which is convenient for investors to obtain income through band operation. In other words, the return of ETF comes from the fluctuation of index, not necessarily the unilateral rise. But unfortunately, to carry out "T+0", the capital must be above 1 10,000 yuan, and small and medium-sized investors have no chance to "T+0".