Cross-commodity arbitrage refers to trading using the price difference between two different but related commodities. These two commodities are mutually substitutable or subject to the same supply and demand factors. The trading form of cross-commodity arbitrage is to buy and sell commodity futures contracts of the same delivery month but different types at the same time. For example, arbitrage transactions can be conducted between metals, between agricultural products, between metals and energy, etc.

The main reason why traders engage in arbitrage trading is because the risk of arbitrage is low. Arbitrage trading can provide some protection from unexpected losses or losses caused by violent price fluctuations, but arbitrage The profitability is also smaller than that of direct trading. The main function of arbitrage is to help distorted market prices return to normal levels, and to enhance market liquidity

A simple example is to borrow funds at a lower interest rate while borrowing funds at a higher interest rate. Lending funds, assuming there is no risk of default, is arbitrage. The most important thing here is the identity of time and the certainty that the return is positive.

In reality, there is usually a certain time sequence, and losses may occur with a very small probability, but it is still called "arbitrage", mainly in a broad sense.

In layman’s terms, arbitrage is the operation of buying low and selling high at the same time!

In the current securities market, the arbitrage that is more recognized by everyone includes ETF arbitrage, bond arbitrage, convertible bond arbitrage, warrant arbitrage and other fund investment operations. The investment operations can be divided into three levels: major asset allocation, industry Asset allocation and stock selection. This is one of the foundations for understanding fund investment operations and predicting its future performance trends.

Major asset allocation refers to the fund manager’s allocation and management of the three major categories of fund assets: funds invested in stocks, funds in bonds, and retained cash.

According to the classification of fund categories in the "Securities Investment Fund Operation and Management Measures", stock funds must have more than 60% of fund assets invested in stocks; bond funds must have more than 80% of fund assets invested in bonds; Money market funds are funds that invest only in money market instruments; hybrid funds invest in stocks, bonds and money market instruments, and the stock investment ratio can be less than 60% and the bond investment ratio can be less than 80%.

Based on the existing funds in the market, the stock investment ratio of stock funds can reach up to 95%, and the bond investment ratio can reach up to 35%; bond funds can invest 100% in the bond market. It also has a small amount of stock secondary market investment and new stock investment; the stock investment ratio of hybrid funds can be as low as zero and as high as about 90%. It is the fund with the most flexible asset allocation strategy.

Traditional closed-end funds are ushering in the second peak period of transformation, with 8 more maturing in the second half of this year.

The arbitrage opportunities brought by traditional base closure are mainly based on the discount rate. Traditional fund closing cannot be redeemed directly before maturity and transformation, and can only be traded in the secondary market. It cannot be redeemed at net value until it is converted into an open-end fund. The traditional base closing secondary market price has different degrees of discount compared to the net value. If you redeem it before maturity or hold it until maturity and redeem it at the net value, you can get part of the price difference. This makes the big year investors who switch from closing to opening Quite concerned.

“Old base closure has a significant discount, and the current layout has a higher probability of obtaining positive returns.” Zeng Linghua, an analyst at Haomai Fund, said that if such products are currently deployed, the secondary market will buy and hold until “ It is also a feasible strategy after "closing and then opening".

The recent closure to reopening has also made investors very profitable. Fund Xinghua was closed and reopened in April 2013. The price before delisting was 0.946 yuan, 2.65% lower than the net value. Three months later, the new fund "China Xinghua" was opened for redemption, with a net value of 1.047 yuan. In addition to a net worth increase of 7.7%, investors also received a discounted income of 2.65%, for a total income of 10.7%.

“Under the current market environment, the stock positions of base closing will not be too heavy, and the discount can also resist some market decline risks, which has a certain degree of safety.” A fund analyst in Beijing told a reporter from Nandu.

For base closures due in 2016 or even 2017, although their discount rates are currently high, since the expiration date is still far away, it is difficult for the market to pay enough attention to this variety at this stage. Therefore, The discount rate may remain at a high level for a long time, during which investors will not be able to enjoy the excess returns brought about by the narrowing of the discount rate.