The answer of "jeffrey81" is for reference only:

In fact, there is no safe hedging method for the arbitrage of graded funds, because the main profit-making way of arbitrage is to sell sub-funds at a suitable price, and hedging cannot solve the situation that the merger premium of sub-funds decreases too fast or is trampled. Hedging can only achieve one goal by shorting (whether it is an index or an individual stock). Selling the sub-fund on the spot is not feasible. If it is decided to withdraw through the redemption of the parent fund, hedging can avoid the redemption loss (only losing the redemption fee) caused by the decline of the net value of the parent fund, but it should be noted that this is only one of the possible situations of arbitrage. If we change the evolution mode, the net value of the parent fund will increase slightly, but short hedging will increase the loss when the sub-funds in the market quickly eliminate the premium or even trample on it, and they can't sell the sub-funds for profit. It is people's heart that determines the transaction price of sub-funds, and people's hearts cannot be safely hedged in any way. Sometimes, the so-called tiered fund arbitrage by hedging can really reduce losses, but it just captures the ideal market evolution direction. There is also a certain probability that hedging may not grasp the market direction and expand losses. What's more, in addition to the market index, other industry indexes that often have arbitrage space, it is difficult for investors to match accurate hedging portfolios, and even there will be results that are contrary to the expected hedging direction. It is advisable to be cautious about the arbitrage of graded funds. If you must apply for redemption arbitrage, it is recommended to use bare sets. There is really no need to think about hedging. Hedging impairment and loss increase are possible.