In 2007, the first active investment grading fund-SDIC UBS Ruifu Grading Fund (Old Ruifu Grading) went public. Because there was no stock index futures, margin financing and securities lending at that time, the warrants of leveraged investment instruments were required to stop issuing and gradually faded out of the securities market. Because of scarcity, Lao Ruifu, who has been closed for five years with leverage, made a premium transaction at the initial stage of listing. However, the hierarchical structure of the old Ruifu classification is extremely complex, and it is difficult for ordinary investors to understand the calculation of its share net value. In 2009, Changsheng Fund launched Changsheng Tongqing separable trading stock fund (old Tongqing classification), which was closed for three years and divided into Tongqing A( 150006) and Tongqing B( 150007) according to the ratio of 4:6. Tongqing A gets the agreed rate of return of 5.6% every year, and Tongqing B gets 65438+. Its grading method has created a precedent for financing graded funds. In the same year, UBS SDIC issued an open-ended Swiss-Shanghai-Shenzhen 300 Index Grading Fund, becoming the first LOF Index Income Grading Model Grading Fund that can be converted through matching between parent and child funds, and it is regularly converted every June 65438+1October 65438+February. Compared with the active investment grading fund, its advantage lies in tracking the index, and each net value can be calculated with reference to the rise and fall of the Shanghai and Shenzhen 300 index, or arbitrage can be carried out through pairing conversion. During this period, some fund companies have also innovated other models. For example, Xingquan He Run Graded Fund can be called convertible bond model, and Shenwan Shenzhen Component Index Graded Fund can be called preferred stock model. Complex Pattern Classification Fund Sub-fund Name Parent Fund Threshold Point Parent Fund Net Value ≤ Lower Limit ≤ Parent Fund ≤ Upper Limit Parent Fund Net Value ≥ Upper Limit UBS Credit Rating

16 1207 Ruihe Xiaokang

15000811.1Ruihe Xiaokang is an index fund with the same net value as the parent fund. Ruihe Xiaokang is a staged leveraged fund with a share leverage of 1.6 times. Rui and Yuan Jing are a leveraged fund with a share leverage of 0.4 times. Rui and Yuan Jing are index funds with the same net value as the parent fund.

163406 he run a

1 500160.51herun a is converted into a parent fund with a net value of1yuan, and then split into herun a and b herun a at 4:6, which is similar to a three-year convertible bond with zero interest rate. The net value of Herun A = the net value of the parent fund × 100/65438+.

1500 17 Herun B is converted into a parent fund with a net value of 1 yuan, and then split into a staged leveraged fund with a three-year share leverage of 1.67 times. The net value of Herun B = the net value of the parent fund × 135/ 1265438+.

163 109 Shenwan income

150022 (1.1+agreed rate of return × cumulative days ÷365)÷2, that is, the range of Shenwan's income is about 0.55~0.58, and its nominal net value is about 182% of the parent fund's net value. 1 yuan's N-year agreed income (simple interest) Shenwan Enterprising 150023 Shenwan Enterprising is an index fund with a nominal net value of about 18% of the net value of the parent fund and bears 9% of the total assets of the parent fund. Similar warrants have matching game value. When Shenwan enterprising is more than 0. 1 yuan, it is a leveraged fund with 2 times share leverage. Drawing lessons from the simplicity of the old Tongqing classified financing classification model and the advantages of l of arbitrage in the classification of Swiss and Shanghai-Shenzhen 300 indexes, the Guolian' an Double Jubilee Graded Fund, which tracks the CSI 100 index, was launched. And the first one put forward the concept that the net value of leverage share is 0. 15 yuan is converted downwards to ensure the agreed income share income. However, due to the 4:6 split mode of Laoqing, the share leverage of Shuangxi B is still 1.67 times. Double jubilee grading is fixed once every three years, and double jubilee A is simple. On the basis of the double jubilee grading, Yin Hua Fund launched the Shenzhen Stock Exchange 100 index grading fund, in which the AB share ratio was changed to 5:5, the A share was set to be fixed once a year, and the B share was less than 0.25 yuan or the parent fund was greater than 2 yuan for irregular conversion, but the regular conversion of the B share was cancelled. Yin Hua Shenzhen Stock Exchange 100 Index Graded Fund is very popular, and Yin Hua Fund has gradually replaced Changsheng Fund as the leading financing graded fund. Since then, the financing graded funds have basically followed this model for 5:5 or 4:6 split. 2065438+At the beginning of 2002, the Fund Department of China Securities Regulatory Commission issued "Guidelines for the Audit of Graded Fund Products", which stipulated that graded funds were classified as financial management funds. The initial share leverage of stock-based graded funds shall not exceed 2 times, and the maximum net leverage shall not exceed 6 times; The initial share leverage of bond-type graded funds is not more than 3.333 times, and the net leverage is not more than 8 times. However, the guideline wrongly stipulated that the subscription amount of graded funds raised by merger should not be less than 50,000 yuan, which limited the enlargement of the on-site scale and was strongly opposed by fund companies. After that, the threshold for over-the-counter subscription to raise the parent fund was relaxed to 100 yuan, but even so, it created obstacles for retail investors with assets less than 50,000 yuan to split and arbitrage, which forced them to make over-the-counter subscription and then split on the market, extending the arbitrage time by at least two trading days. In September, Yin Hua Tongquan 90 Graded Fund became the first fund to trigger downward irregular conversion. It is found that when the irregular conversion is equivalent to the parent fund 1 yuan, it will be discounted if it falls by 37.5%, and it will be discounted if it rises by 100%, and the net leverage of the parent fund will be reduced by nearly 1 times, which is unfair to the leverage share. In 20 13 years, Xincheng CSI 300 Fund set the net value of the parent fund to 1.5 yuan by modifying the contract, so that the net value of the parent fund of 1 yuan only needs to be increased by 50%, and the B share can be folded up. Since then, all newly declared graded index funds have been converted into 1.5 yuan. However, cathay pacific fund Company set the agreed rate of return of Real Estate A and Cathay Medicine A as one-year fixed deposit rate +4%, which made it easy for graded funds to have an overall premium. By lowering the subscription fee to 1%, the ceiling threshold of subscription fee of 1 10,000 yuan will be reduced from 5 million yuan to 654,380+0,000 yuan, so as to attract the continuous inflow of subscription arbitrage funds. At the same time, fund companies vigorously declare industry index grading funds, including finance (securities), information multimedia technology (TMT), military industry, food and so on. In 20 13, the fund company designed the long-short graded fund on the basis of drawing lessons from the long-short graded collective wealth management products of GF Securities. There are two kinds of long and short graded funds. One type of parent fund is an index fund. Every three parent funds can be split into 1 1 double empty share and more than twice as many shares according to the ratio of 1:2, or every four parent funds can be split into 1 double empty share and more than three times as many shares. Another kind of parent fund is the money fund, which is divided into two times more shares and two times equal empty shares, or every three parent funds are divided into two times more empty shares 1 and 1, which can be regarded as low-leverage mini stock index futures.

Share leverage of long and short shares of long and short graded funds = agreed coefficient (such as 2 times,-1 times, -2 times, etc.). ) For long-short graded funds with index parent funds: net value of long-short shares = 1+ (net value of index parent funds-1) X net value of share leverage = (net value of parent funds/net value of b shares) × 1

The parent fund is a monetary long-short graded fund: long-short share net value = monetary parent fund net value ×( 1+ interval tracking index increases or decreases %× share leverage) (the interval can be 3 months, 6 months, 1 year) net leverage = (share leverage-1)/(1)

Compared with the financing graded fund, the formula for calculating the net leverage and price leverage of the index-type long-short graded leverage share is the same as that of the financing graded fund, so the risk is the same as that of the financing graded leverage share, but there is no need to pay the financing cost of making long-short leveraged share and shorting leveraged share. And by holding a certain proportion of long and short shares at the same time, you can achieve the role of hedging. Most of the funds declared by fund companies are long-short graded funds that track the Shanghai and Shenzhen 300 Index and the CSI 500 Index. Dacheng and harvest fund went one step further, and designed long and short graded ETFs to make arbitrage more efficient. At the end of the year, the Fund Department of the China Securities Regulatory Commission issued guidelines for the registration of multi-short graded fund products, stipulating that the absolute value of the initial share leverage of "multi-share" and "empty share" should not exceed 2 times, and the absolute value of the maximum net leverage should not exceed 6 times. The periodic conversion period cannot be less than 3 months. However, the threshold for participation is 500,000 yuan, and the threshold for arbitrage split and merger is 500,000 shares. It also stipulates that the parent fund obtained after irregular conversion will be redeemed automatically, rather than split automatically. The risk of long-short graded funds is not greater than that of traditional financing graded funds. Setting such a high threshold is not conducive to retail investors to participate in short selling. Compared with stock index futures and margin financing and securities lending, it has no competitive advantage, and there is a huge gap with the market expectation of "providing short-selling investment tools for retail investors", which has caused great controversy.