After the listed open-end fund (LOF) is approved to be listed and traded on the Shenzhen Stock Exchange, investors can choose to purchase and redeem the fund shares at the net closing price of the fund shares in consignment agencies such as banks, or they can choose to buy and sell the fund shares at the member securities business departments of the Shenzhen Stock Exchange at the transaction price. The subscription and redemption procedures of funds are the same as those of ordinary open-end funds. The trading methods and procedures of open-end funds listed on Shenzhen Stock Exchange are basically the same as those of closed-end funds. The declared purchase quantity is 100 or its integral multiple, and the minimum change unit of the declared price is 0.00 1 yuan. The formation mode and mechanism of the transaction price of listed open-end funds are consistent with that of A shares.
situation
Open-end funds (LOF) listed on Shenzhen Stock Exchange are highly positively correlated with the Shanghai and Shenzhen 300 Index, with a correlation of over 95%. On June 7th, the Shanghai and Shenzhen 300 Index reached 2350 points, and the fund price was 2.35 yuan, while the contract price of stock index futures in September was 2550 points. As the contract expires in September, the futures price and spot price will converge to almost the same price. At present, the difference between the two is 200 points (2550-2350). Is it possible for investors to arbitrage?
The specific operation is as follows:
(1) Use the theoretical pricing model of stock index futures to calculate the theoretical price of September contract.
We assume that the average annual yield of dividends is D=3.5%, and the annual interest rate of borrowed funds in the market is R=6%. The final delivery date of the contract is September 25th, and the investment holding period is 1 10 days.
The theoretical price of the September contract is:
F=I+I (R-D) (T-t)/365
= 2350+2350× (6%-3.5% )×11365 = 2367.7 (point)
At present, the actual price of the September contract is 2550 points, which is obviously overestimated. It is preliminarily judged that there is a huge arbitrage space between the current index and the current index.
(2) Calculate the amount of funds needed for spot arbitrage.
① Investment in the futures market: Assuming that the futures margin rate is 65,438+02%, the funds needed to sell 65,438+00 futures contracts in the futures market are:
The capital requirement of 10 futures contract = 2550×12 %× 300×10 = 91.8 (ten thousand yuan).
Investors need to prepare another1000000 yuan as a reserve for additional margin.
② Spot market investment: It is planned to replicate the spot position of the Shanghai and Shenzhen 300 Index in the spot market at a cost of 2.35 yuan. The value and quantity of buying funds are as follows:
Fund value = 2550× 300× 10 = 765 (ten thousand yuan)
Number of funds = 7650000/2.35 = 3255319 ≈ 3255300 (copies)
That is, you need to buy funds worth 7.65 million yuan in the spot market. Because buying a fund can only be an integer multiple of 100, that is, you need to buy a fund of 3255300 in the spot market.
Total investment = 91.8+100+765 = 956.8 (ten thousand yuan)
(3) Calculate the arbitrage cost.
(1) borrowing costs. Assuming that the invested funds are loan funds with an annual interest rate of 6%, then:
Cost of capital use = (91.8+100+765) × 6 %×11365 =17.3 (ten thousand yuan).
This interest rate difference is called the opportunity cost of arbitrage.
(2) Transaction costs. Assuming that the bilateral handling fee and market impact cost of futures contracts are 0.5‰ and that of open-end funds is 6‰, then:
Transaction cost = 765× 0.5 ‰+765× 6 ‰ = 4.97 (ten thousand yuan)
(4) Calculate the arbitrage income.
When it expires in September, the futures price and spot price will converge to the same price. Therefore:
Price difference = (2550-2350) × 300× 10 = 60 (ten thousand yuan)
Net income after deducting related expenses = 60- 17.3-4.97 = 37.73 (ten thousand yuan)
Yield =37.73/956.8× 100%=3.94%.
(5) Arbitrage operation.
In the futures market, the contract price of stock index futures in September was 2550 points, 10 lot, and at the same time, 3,255,300 investment growth lofs were bought in the spot stock market at the price of 2.35 yuan.
(6) terminal arbitrage.
Within 2 hours before the end of the transaction on the final delivery date, 3,255,300 funds were sold in batches to end the arbitrage. After the positions in the futures market are closed by the exchange, the funds will be automatically transferred to the customer's account.