1, liquidity risk
Refers to the risk that a transaction cannot be concluded due to insufficient market liquidity. Due to the weak liquidity of ETF, this risk is reflected in the actual transaction, which has formed a large impact cost and waiting cost.
2. Risk of tracking error
The main problem of using simple arbitrage method is tracking error. Simple arbitrage first obtains the ratio of two ETFs by minimizing the price error of tracking ETFs, which has the problem of secondary tracking.
3. Settlement and liquidation risks
Due to the daily settlement of gold ETF and strong leveling system, sufficient funds must be reserved. Under normal circumstances, 70% of the positions can basically cover 40% of the adverse fluctuations of ETF prices. Settlement and liquidation risks must be considered comprehensively with the use of capital leverage and other risks. Leveraged arbitrage investors should pay special attention to the control of this risk.
4. Diffusion of reverse risk.
In many cases, although the spread has reached the no-arbitrage range, the spread will not converge immediately. For investors who use higher leverage arbitrage, when the spread fluctuates inversely with expectations, it is prone to large losses or even short positions. Although the spread will converge again in the long run, the risk of reverse spread in the short term cannot be ignored.
5.ETF suspension risk
Although the frequency of ETF fund suspension is low, the risk must be considered in participating in spot arbitrage of stock index futures.
6. Extreme market risk.
Mainly refers to the risk that the exchange may be forced to close its position when extreme market conditions occur. With the increasingly standardized futures market, this risk has become smaller and smaller, and it can be avoided by applying for hedging and other methods.
In addition to the above arbitrage risks, there are some cross-market arbitrage risks in gold ETF, including price stability, market risk, credit risk, time exposure risk and policy risk. It is hoped that investors will pay special attention to the existence of risks and use appropriate skills to avoid losses caused by risks.