A-level rotation strategy: looking for an undervalued and discounted A-level.
Rotation strategy: Calculate the discount rate and implied expected annualized expected rate of return of the parent fund at terminal A of graded funds every weekend, and select Grade A with high implied expected annualized expected rate of return and high discount rate of the parent fund at terminal A.. Buy three Grade A with high ranking and good liquidity every week, and rotate every week.
Possible risk points of rotation strategy:
The market is short of funds, especially at the end of June, the end of 65438+February or other periods when money shortage may occur. It is expected that the short-term annualized interest rate increase will suppress the price of A.
How enthusiastic the market is, the parent fund will maintain a high premium level for a period of time, and the premium arbitrage funds will suppress the price of A.
Risk of gambling discount classification:
1. Downward risk of the parent fund: Discount means that about part of the A-level net value is converted into a new A-level, and the rest is converted into the parent fund. According to the conversion rules, the converted parent fund can be redeemed on T+2 at the earliest (T- 1 is the discount trigger date), and the actual expected annualized expected return is subject to the market fluctuation on the 2nd.
2. Redemption liquidity risk: There is a risk that it is difficult for the fund company to pay the redemption fee when there is a huge redemption in extreme market conditions, but it seems that the probability that the fund company refuses to redeem is small.
3. Risk of market rebound leading to discount failure: Usually, when there is discount expectation, many people will buy A to bet on the expected annualized expected return. If the parent fund no longer falls, but rises, and Grade B leaves the discount area, then Grade A will fall back to its original value, with a great decline.