There are three graded funds, namely mother share, A share (steady share) and B share (radical share). Its parent fund is similar to the traditional fund, but through the redistribution of the income of the parent fund, the graded fund forms two graded funds with different risk-return characteristics: one is class A share, which obtains fixed agreed income every year, and the agreed income accumulates in the net value every day; One is Class B share, which enjoys residual income or assumes residual risks after paying the agreed income of Class A share. In essence, B share is to leverage the investment target index through financing A share at a certain financing cost; And share a gets interest income. Therefore, graded funds provide suitable trading tools for three different types of investors. Low-risk fixed-income investors can buy A shares, cautious equity investors can buy parent funds, and radical equity investors can buy B shares.
After understanding the concept of graded funds, we are concerned about how the specific operation of income distribution is realized. Graded funds realize income distribution through conversion mechanism, and the conversion of graded funds includes regular conversion and irregular conversion.
Regular conversion is to pay the agreed income of share A (that is, the part above 1 yuan) to investors in the form of parent fund after each interest period, which ensures the payment of interest, and regular conversion is equivalent to interest payment.
Irregular transformation can be divided into downward irregular transformation and upward irregular transformation.
When the net value of share B falls to a certain threshold (generally 0.25 yuan), in order to prevent the net value of share B from falling to zero, thus threatening the principal and interest security of share A, at this time, irregular downward conversion is carried out to return most of the principal of share A, so that share A will not suffer from the loss of principal and interest.
When the net value of the parent fund rises to a certain threshold (generally 1.5 yuan or 2 yuan), in order to cash in the share B, the part with the net value of the share B greater than 1 yuan will be returned to the investors in the form of the parent fund, so as to realize the income distribution of the share B..
From the concept of graded funds, we know that the A share of graded funds is a steady share of annual fixed income, and the B share is a radical share with leverage effect. The net value of share A is to accumulate a little interest every day, with almost no fluctuation, while the net value of share B will rise and fall, so the leverage of share B will change. When the market rises, the leverage of B share will decrease. When the market falls, the leverage of B shares rises. For example, for a graded fund with a share ratio of 1: 1, if the net values of A share and B share are 1 yuan today, then the leverage ratio of B today is 2. If the parent fund goes up by 1% tomorrow, the net value of A shares will go up to 1.00 1.
After understanding the operation mechanism and sub-share of graded funds, we must understand the matching and conversion mechanism. Different from traditional funds, neither A share nor B share can be redeemed at net value. However, graded funds have a matching conversion mechanism, that is, investors can split the parent fund into A shares and B shares at the time of subscription, or they can merge A shares and B shares into the parent fund according to a certain proportion to realize redemption. For graded funds with the share ratio of 1: 1, the A share of 1 and the B share of 1 can be merged into two parent funds, and the two parent funds can be split into A share of 1 and B share of 1.
Just because A and B shares can only be bought and sold, the price is the focus that investors should pay attention to. Under normal circumstances, the price and net value sometimes deviate. Although the price will deviate from the net value to a certain extent, the existence of pairing conversion mechanism will make the prices of A and B shares restrict and influence each other. For example, for a graded fund with a share ratio of 1: 1, assuming that the net values of the parent fund, share A and share B are all 1 yuan, if the price of share A is 0.9 yuan, then the reasonable price of share B should be 1. 1 yuan. If the price of share B is 1.2 yuan, there is room for arbitrage. The arbitrator will buy two parent funds at 1 yuan, split them into A shares and B shares, and sell them at 0.9 yuan and 1.2 yuan respectively. The arbitrator will gain (0.9+1.2)-2 *1= 0.6544. On the other hand, when the price of B shares is low, we call it the overall discount state, which will also attract reverse arbitrageurs. Therefore, the prices of A and B shares will restrict and influence each other.
The prices of share A and share B tend to deviate from their net values. If the price is greater than the net value, we think the share is a premium; If the price is lower than the net value, we consider the stock discounted. How to determine the discount rate or premium rate is what we should know before investing in graded funds.
We know that the prices of share A and share B will affect each other. So, who has a greater influence on whose A share and B share? Whose pricing is the deciding factor? Investors should understand the pricing mechanism of graded funds. Today, we mainly discuss the pricing of mainstream open-ended graded funds.
As we know, share A is a kind of fixed income that pays the agreed income every year, and its pricing is similar to that of bonds. The factors that determine the price of A share are the agreed income of A share itself and the rate of return required by the bond market, which is less affected by the stock market. So we think that the pricing of A determines the pricing of B share. After the pricing of share A is determined, the reasonable price of share B is also determined, even if the price of share B deviates, it will not last long.
Because the agreed rate of return of many A shares in the market is lower than the rate of return required by the market, many A shares are discounted. For example, the net value of A share of 1 yuan, the agreed rate of return is 5%, and the market demand rate of return is 6%, then only investors can get a 6% rate of return by buying A share at a discount.
The value of share A consists of three aspects, which we call creditor's rights value, paired conversion value and conversion right value respectively.
The mainstream A share cannot be purchased and redeemed separately, and there is no maturity date, so its debt can be compared with perpetual debt. Its value depends on the rate of return required by the market, and its required rate of return has a strong convergence with 10-year AA+ corporate bonds. The rate of return required by the market will be affected by factors such as market capital and interest rate level.
Due to the existence of pairing conversion mechanism, the price fluctuation of B shares will also have a short-term impact on the price of A shares. When the market expectation is optimistic, the price of B share will be high, which will lead to the overall premium of graded funds. At this time, arbitrage investors will buy the parent fund, split it into A shares and B shares and sell it in the market, which will generate selling pressure and make A shares fall. On the other hand, when the market expectation is pessimistic, the price of B share will be low, which will lead to the overall discount of graded funds. At this time, arbitrage investors will buy A and B shares respectively and merge them into the parent fund for redemption. At this time, due to the support of buying, the price of share A will rise.
As we mentioned earlier, most of the graded A shares are discounted transactions. When the index falls to a certain threshold, the graded foundation will be converted down irregularly, and most of the principal will be returned in full at this time. If the graded A shares are discounted at the time of subscription, there will be spread income. Therefore, before the downward irregular conversion occurs, the share of A will generally rise, which is the embodiment of the value of the conversion right.
After understanding the three aspects of stock value, we can determine its pricing. After the pricing of share A is determined, the pricing of share B can also be determined. Theoretically, the discount rate of share B = the discount rate of share A * (1- net leverage). For investors who hold B shares, leverage is the core of concern, but B shares can only be bought and sold on the market, not redeemed by net value, and the leverage we mentioned before is all net value leverage, which is meaningless in actual investment. Therefore, we need to calculate the price lever. Theoretically, the price leverage of share B = the net value of the parent fund * the initial leverage/the price of share B, so we can know that the higher the premium rate of share B, the lower the actual leverage. Investors should choose B share with reasonable premium rate when investing in B share, and avoid varieties with high premium rate.
Transaction mode of sub-shares of graded funds
Sub-shares of graded funds include A share and B share, which have different trading strategies.
(1) The investment strategy of A shares includes long-term holding strategy and short-term trading strategy.
(2)B share is mainly a short-term band operation strategy. When there is a big deviation in the valuation of B share, the overall discount premium arbitrage strategy can also be carried out, including overall premium arbitrage and overall discount arbitrage.
For investors who hold B shares, the way to choose B shares is to look for the optimistic underlying index first, and then choose B shares with higher price leverage, because the higher the price leverage, the higher the excess returns earned when the index rises. In addition, when choosing B shares, we should try to choose B shares with stable discount premium rate. For example, if the premium rate of B share is too high, the future probability will decrease. After you buy it, even if the index is rising, the price of B share may fall because of the decline in premium rate.
When the B share is overvalued or undervalued, investors can also carry out the overall discount premium arbitrage strategy. We also mentioned the whole discount premium arbitrage when we expounded the pairing conversion mechanism, so I won't go into details here. But what investors need to know is that the whole premium arbitrage process takes three days to complete, while the whole discount arbitrage process takes two days to complete.
In addition, there have been two irregular upward conversions in the market recently, and investors are more concerned about whether the irregular upward conversion is good or not. Take Penghua's non-bank classification as an example. When there is an upward conversion, the portion of B share greater than 1 yuan will be distributed to the original B share holder in the form of parent fund, while the previous B share is a premium transaction, and the premium of the distribution share will disappear, resulting in premium loss. However, the net leverage ratio will increase after the new B share is converted. From the previous formula, we know that the insurance rate will also increase. The former's premium loss and the latter's premium income will offset each other. Therefore, in theory, for the reasonably priced B share, there is no arbitrage space before and after the conversion, and the upward conversion is a neutral event. Therefore, everyone should look at the upward conversion calmly. Even after the irregular up-conversion, the share of B increased significantly, mainly due to the optimism of investors.