Theoretically, if the fund experiences an overall premium or discount, there will be an arbitrage opportunity, that is, acquiring shares of the parent fund at a cheap price and then selling them at a higher price. As a result, investors can subscribe for shares of the parent fund and sell the sub-shares after the split to obtain arbitrage gains. However, it should be noted that since the entire arbitrage process requires multiple trading days, the operational risk is relatively high. If the premium rate returns or even discounts occur on the day when the sub-share is sold, the arbitrage will fail. If investors do not understand tiered funds and the arbitrage mechanism and blindly follow the trend, they are more likely to suffer huge losses.

For example, the net value of a certain hierarchical fund's parent fund is 1.064 yuan, while the two types of sub-shares are 1.032 yuan and 1.248 yuan respectively. The corresponding "price" after the merger is 1.14 yuan, which is higher than the net value of the parent fund, that is, the overall The premium rate is 7.04%. Theoretically, as long as you subscribe for the FOF at 1.064 yuan and then sell the two sub-shares at 1.14 yuan after splitting, you can get a 7.04% return. On the contrary, if the trading price of the fund is lower than the net value, you can buy the two types of fund shares at a low price, and redeem the parent fund at a high price after the merger, so that you can buy low and sell high.

So, how to make profit from the overall discount and premium? One is to subscribe for splits and sell when there is a premium. When an overall premium occurs, investors subscribe to the fund of funds and sell two types of shares after splitting. However, in actual operation, investors observe the premium and perform arbitrage, but the arbitrage process takes 4 working days. When investors need to sell sub-shares to realize profits, the premium rate may have disappeared, that is, the selling price may be lower than The price at the time of subscription resulted in losses. The second is to buy, merge and redeem at a discount. When there is an overall discount, you need to first buy the shares of Steady and Aggressive according to the matching ratio, and then redeem them after merging the shares of the parent fund. Since the whole process takes 4 working days, during which investors are equivalent to holding the fund of funds, the decline in net worth will eat up the arbitrage gains. In this regard, stock index futures or securities lending and selling ETFs can be used to hedge the risk of fluctuations in the net value of the fund of funds. This operation can achieve risk-free arbitrage without considering transaction costs.