Among them, it represents the net value of the overall share of graded funds, the overall transaction price of graded funds, the transaction price of Class A shares of graded funds, the transaction price of Class B shares of graded funds, and the proportion of Class A and Class B shares respectively.
Taking a graded fund as an example, this paper explains how to calculate the overall discount rate of graded funds.
Suppose on T-day, the closing price of Class A shares is 1.03 1 yuan, the closing price of Class B shares is 0.828 yuan, the fund share ratio of Class A shares to Class B shares is 1: 1, and the overall unit net value of graded funds on that day is 0.94 yuan. Then the overall transaction price of the graded fund is (1.03 1+0.828)/2, which is 0.9295 yuan. Therefore, the discount and premium rate of graded funds in the whole T day = (0.5 *1.031.5 * 0.828)/.
Suppose investors decide to buy 100 class A shares and 1 class B shares in the secondary market, and at the same time they need to pay a certain fee (generally not more than 3%) to the trading brokers. Suppose the commission paid by investors is 3%. ), which is 55.77 yuan. T+ 1 day to submit a merger application, which will be merged into 200 basic shares of graded funds. On another trading day, T+2, apply for redemption of the basic share of the graded fund. On that day, the overall net share value of the graded fund was 0.969 yuan, 200 shares were 65,438+093.8 yuan, the redemption rate was 0.5%, and the redemption cost was 0.969 yuan. Then, during the operation from T to T+2, the income that investors can get = 193.
Premium arbitrage is contrary to the above situation and operation direction. Specifically, premium arbitrage means that when there is a premium in the graded fund as a whole, investors can buy the basic fund shares first, and then split them into class A shares and class B shares, and sell them in the secondary market to achieve arbitrage.
Assuming that on T day, the net value of the overall share of the graded fund is 1.03 yuan, and the transaction prices of Class A and Class B shares on that day are 1.033 yuan and 1.055 yuan respectively, the overall transaction price of the graded fund on T day is 1.044 yuan, and the overall premium rate of the graded fund is/kloc- Suppose an investor decides to purchase 2,000 basic shares of graded funds, that is, 2,060 yuan, the subscription rate is 1.2%, and the subscription fee is 24 yuan (calculated by internal deduction method). On T+2, the company applied for a split, which was divided into 100 Class A shares and 100 Class B shares. T+3 sells Class A and Class B shares in the secondary market. Assume that the transaction prices of Class A and Class B shares on T+3 are 1.03 yuan and 1.2 15 yuan respectively. At this time, it is necessary to pay a certain fee to the trading broker, and the commission paid is 6.735 yuan (assuming the commission is 3%). ), then, in the process of operation from T to T+3, investors can get a profit of 154.265 yuan.
It should be noted that there are risks in arbitrage by using the share matching conversion mechanism: a complete share matching conversion usually takes several trading days to complete. If the difference between the overall opening transaction price of graded funds and the final net share value is less than the payment cost, it may lead to arbitrage failure, which requires investors to have certain judgment ability on the market and seize the opportunity to operate.