LOF funds are called "open-end funds" in English and "listed open-end funds" in Chinese. Such funds can be subscribed according to the amount through fund managers or fund agencies such as banks and securities companies, and can also be subscribed online on the exchange. After the establishment and opening of subscription and redemption, subscription and redemption can be carried out through the same channels as above. In August, 2004, the State Council agreed to the Reply of China Securities Regulatory Commission on Issuing and Trading Open-end Funds in Shenzhen Stock Exchange, and approved the Business Rules of Listed Open-end Funds in Shenzhen Stock Exchange. The person in charge of Shenzhen Stock Exchange said that the launch of listed open-end funds is an important business innovation in the fund market and an important measure for Shenzhen Stock Exchange to improve its services. The introduction of listed open-end funds makes full use of the advantages of existing trading, registration and settlement networks, broadens the distribution and sales channels of open-end funds, provides investors with more convenient channels for subscription and trading of open-end funds, provides a fast and low-cost service platform for fund management companies to carry out open-end fund business and fund product innovation, and adds new brokerage business to securities companies, creating new profit growth points. During the raising period of listed open-end funds, during the trading hours of each trading day, investors can subscribe for fund shares online through the securities business department of a securities company with the qualification of fund consignment business (for specific securities companies, please refer to the fund offering manual or call the fund company). Irrevocable orders can be declared multiple times, and the subscription share declared each time must be an integer multiple of 65,438+0,000 or 65,438+0,000, and not more than 99,999,000 fund shares. Investors must subscribe by shares.

1.LOF fund code. Among the six Arabic numerals, the first two digits are marked with "15" or "16", and the middle two digits are in the information of China Securities Regulatory Commission.

The code gg of the fund management company stipulated by the central government is unified, and the last two digits are the numbers of all open-end funds issued by the company.

Two. LOF fund transaction

After the LOF fund is established and opened for trading, it can be traded through three channels (1), and the fund company can directly sell it online for redemption. (2) Apply for redemption at the counter of the designated consignment bank or securities company, including online banking. (3) Open an account with a securities company of a member unit of Shenzhen Stock Exchange, and conduct on-site bidding transactions to close the transaction at a matching price, just like buying and selling stocks. However, if it is a fund share applied for over-the-counter and wants to go public, it needs to go through the formalities of transferring custody; Similarly, if you want to redeem the fund shares purchased online at the exchange, you should also go through the formalities of transferring custody. Subscription is declared by amount: redemption is declared by share. The declared amount of subscription and redemption shall be limited in accordance with the provisions of the prospectus of the declared fund. The subscription and redemption prices are calculated according to the net value of fund shares calculated after the market closes on the day when the application is accepted.

Through the securities company's business department to buy and sell fund shares, the trading system matches the transaction price to buy and sell funds. The declared quantity of LOF purchase should be 100 or its integer multiple, and the minimum change unit of declared price is 0.00 1 RMB. The Shenzhen Stock Exchange imposes price limits on LOF fund transactions, with the price ratio of 10%. The fund shares sold by investors on T day can be received on T+ 1 day. The transaction fee is less than 0.3% of the turnover, which is different from the subscription fee (about 65438+ 0.5% of the subscription amount) and the redemption fee (about 0.5% of the redemption amount), indicating that the transaction price of the two methods will be different. Investors can choose to buy and sell or purchase and redeem according to the market conditions of the day, changes in fund net value and cost differences. If investors want to sell the fund shares purchased at designated outlets online, they must go through certain transfer custody procedures; Similarly, if you want to redeem the fund shares you bought online on the exchange and redeem them at designated outlets, you must also go through certain transfer custody procedures. This transfer management is called cross-system transfer management.

Cross-system custody transfer process: (1) When the OTC fund shares are transferred to the market, it is necessary to obtain the seat number of the joint venture department with the securities business department in Shenzhen Stock Exchange, and then go to the transferor for cross-system custody transfer on the trading day. Need to fill in the cross-system transfer custody application form, including the seat number of the securities business department to be transferred, the Shenzhen open-end fund account number, the fund code to be transferred out and the transfer custody quantity, in which the transfer custody quantity should be an integer. (2) When J transfers the on-site fund share to the off-site, it is necessary to ensure that the Shenzhen account transferred from the fund share has been registered in the Shenzhen open-end fund account with the fund company or its consignment agency, know the consignment agency code (6xxxxx) transferred from the fund share, and go through relevant management procedures according to the requirements of the consignment agency, so as to establish business relations and ensure that the transferred fund share can be accepted by the consignment agency. After the above matters are handled, you can go to the transfer securities business department for transfer custody with your ID card and Shenzhen account card on the trading day.

Compared with ordinary open-end funds, LOF investment has obvious advantages:

1. The transaction cost has dropped significantly. At present, the subscription and redemption fees of open-end funds are mostly about 1.5% and 0.5% respectively, while the maximum commission of funds listed on Shenzhen Stock Exchange is only 0.3% of the transaction amount.

2.LOF funds have the possibility of arbitrage. The transaction price of LOF products in the secondary market often deviates from the purchase and redemption price in the primary market. When the secondary market price is higher than the net fund value and exceeds the handling fee rate, investors can buy LOF fund shares from fund companies and then sell them in the secondary market. On T+2 trading day, the fund share reaches the customer account. That is, if there is no holiday in the middle, the LOF fund subscribed on Monday will receive the share in the account on Wednesday. On any day, as long as the market price is greater than the net value and exceeds the arbitrage transaction fee (generally speaking, the fee = 1.5% subscription fee +0.3% transaction fee = 1.8%), there will be arbitrage machines. For example, if you buy at a net value of 1 yuan, and the secondary market price is above 1 .0/8 yuan, for example, the price is 1.04 yuan, then you sell at 1.04 yuan, deducting the transaction cost of 0.0 18 yuan. When the transaction price of LOF fund in the secondary market is lower than the net value of the fund (this often happens in bear market or falling market). ), the LOF fund shares bought in the secondary market will reach your account the next day (T+ 1). From now on, on any day, when the transaction price of LOF fund in the secondary market is lower than the net value of the fund and the difference is greater than the transaction cost (generally 0.8%), you can apply for redemption in the "floor fund" under the stock trading project. For example, on the first day, you buy LOF funds in the secondary market at 1.0 yuan, and you can redeem them the next day. At the time of redemption, the net value of the fund on that day was 1.04 yuan. After deducting the transaction fee of 0.008 yuan, the income was 0.032 yuan, and the yield reached 3.2%. When the transaction price of LOF fund in the secondary market is lower than the net value of the fund, and the difference is greater than the transaction cost (in general, this cost = 0.3% transaction cost +0.5% redemption cost = 0.8% in the secondary market), the LOF fund shares bought in the secondary market will reach your account the next day (T+ 1). From this day on, when LOF fund is in the secondary market, For example, on the first day, you buy LOF funds in the secondary market at 1.0 yuan, and you can redeem them the next day. At the time of redemption, the net value of the fund on that day was 1.04 yuan. After deducting the transaction fee of 0.008 yuan, the income was 0.032 yuan, and the yield reached 3.2%. The arbitrage of LOF funds will be further explained below.

3. What's the difference between 3.LOF and ETF? Different types of funds are applicable: ETF is mainly passive investment fund products based on index, LOF can be used not only for passive investment fund products, but also for active investment fund products, although open-end funds are also listed on the exchange; The targets of subscription and redemption are different: in subscription and redemption, ETF exchanges fund shares and "a basket" of stocks with investors, while LOF exchanges fund shares with investors in cash; The participation threshold is different: the basic unit of SSE 50ETF in the primary market is 6.5438+0 million fund units, which has a high starting point and is suitable for institutional customers and powerful individual investors; The subscription and redemption of LOF products are the same as other open-end funds, starting from 65,438 yuan+0,000 yuan, which is more suitable for small and medium investors. Arbitrage operation mode and cost are different: ETF must buy and sell a package of stocks in the process of arbitrage trading, which involves both funds and stock market, while LOF arbitrage trading only involves fund trading. ETF provides investors with real-time arbitrage opportunities and can realize T+0 trading, while LOF is the fund share for subscription and redemption and the fund share for market trading, which are managed by China Registration System and China Clearing Shenzhen Stock Exchange respectively. Transactions across the subscription and redemption market and the exchange market must be transferred between systems, which takes two trading days, so LOF arbitrage also bears the waiting cost, further increasing the arbitrage cost.

Three. Arbitrage listed open ended fund

Arbitrage is an important feature of LOF fund.

1. What is arbitrage?

An article on Netease's blog made a simple explanation: "The so-called arbitrage is risk-free profit. for instance

Examples in real life can be very clear: for example, if you want to buy a computer, it costs 10000 yuan in Beijing and 1200 yuan in Tianjin. I think you will definitely buy it in Beijing (if you want to sell it in Tianjin), so you can earn a difference of 2000 yuan. Or conversely, Dallas goes to the auditorium and returns to LOF Fund in the same way. LOF Fund is a computer, fund company (or its bank, brokerage and other agency outlets) is Beijing, stock market is Tianjin, fund company (or its bank, brokerage and other agency outlets) sells 1 yuan, and stock market trades 1.2 yuan. We apply in a fund company and sell it in the stock market, with a risk-free return 10%. On the contrary, when the stock market price is low, we operate in the opposite direction. "

Huatai Securities, published in Nanfang Daily on March 22nd, 20th/KLOC-0, pointed out: "In the eyes of ordinary investors, arbitrage trading belongs to the field of professional investors with large amount of funds, and ordinary investors with small amount of funds and limited securities knowledge cannot participate. However, as a LOF fund with China characteristics, its trading starting point is low and its operation is simple, and it is becoming an ideal tool for many small and medium investors to realize short-term arbitrage. LOF fund is called listed open-end fund, which can not only make off-site (non-online trading system) subscription through banks, fund companies and other institutions, but also conduct on-site (online trading system of securities firms) transactions irregularly. Trading rules are very similar to stock trading.

LOF fund arbitrage can be divided into off-site arbitrage and on-site arbitrage. Off-exchange arbitrage means that investors can convert their off-exchange fund shares into on-exchange transactions by transferring custody business, and make profits through the difference in the net value of off-exchange fund shares. However, this method will cause certain time delay and cost, and increase the cost and risk of arbitrage. Therefore, at present, most investors choose on-site arbitrage trading.

LOF fund arbitrage can be divided into off-site arbitrage and on-site arbitrage. Off-exchange arbitrage means that investors can convert their off-exchange fund shares into on-exchange transactions by transferring custody business, and make profits through the difference in the net value of off-exchange fund shares. However, this method will cause certain time delay and cost, and increase the cost and risk of arbitrage. Therefore, at present, most investors choose on-site arbitrage trading. On-site arbitrage trading refers to the arbitrage operation of investors through on-site purchase and redemption and on-site trading. For arbitrageurs, the switching cost of choosing floor trading is lower and the trading is faster. According to the different premiums and discounts of funds, on-site arbitrage can be divided into forward arbitrage and reverse arbitrage. When the fund price is at a large premium, that is, the transaction price of the fund market is >; When the net value of fund share+subscription fee+selling commission, investors can choose "on-site subscription" fund share and "on-site selling" share to achieve positive arbitrage after two working days. For most open-end funds, the subscription rate is 1.5% and the redemption rate is 0.5% (except preferential rate); In the secondary market (stock market), the buying and selling rate (commission) is 0.3%. For a round trip, the primary market fee is generally 2%, the secondary market fee is generally 0.6%, and the price difference is 1.4%. The article of Huatai Securities pointed out: "On-site arbitrage trading refers to the arbitrage operation of investors through on-site subscription and redemption and on-site trading. For arbitrageurs, the switching cost of choosing floor trading is lower and the trading is faster. According to the different premiums and discounts of funds, on-site arbitrage can be divided into forward arbitrage and reverse arbitrage. When the fund price is at a large premium, that is, the transaction price of the fund market is >; When the net value of fund share+subscription fee+selling commission, investors can choose "on-site subscription" fund share and "on-site selling" share to achieve positive arbitrage after two working days. Similarly, when the fund price is significantly discounted, investors can carry out arbitrage trading through reverse operation. When the market price

2. How does arbitrage work?

The following is a description of the arbitrage process in an article on Netease blog mentioned earlier: "1. When the transaction price of LOF fund in the secondary market exceeds the net value of the fund, it is hereinafter referred to as Class A arbitrage. When the transaction price of LOF fund in the secondary market exceeds the net value of the fund, and the difference is greater than the transaction cost (general subscription fee 65438+ 0.5% transaction cost in the secondary market), then class A arbitrage opportunities appear. Specific operation: 1) Enter the securities fund account (of course, this account must be associated with the Shenzhen shareholder card, and when we open a stock account, we always open accounts in Shanghai and Shenzhen at the same time), and select "on-site fund redemption" under the stock trading item (note: on-site! ), enter the LOF fund code and subscription amount, and then click "Subscribe" to complete the fund subscription. 2)T 2 trading day (that is, today's subscription, the day after tomorrow's fund share will reach the customer's account on T 2 trading day. On that day, you can sell these funds in installments. 3) On any day from the date when the subscribed (including subscribed) shares arrive in your account, as long as the market price is greater than the net value and exceeds the arbitrage transaction fee (in general, this fee = 1.5% subscription fee 0.3% transaction fee = 1.8%), risk-free arbitrage opportunities will appear. For example, if you buy at the net value of 1 yuan and the secondary market price is above 1.0 18 yuan, for example, the price is 1.04 yuan, then you sell at 1.04 yuan. After deducting the transaction cost of 0.0 18 yuan, you will get1.04-1.018 = 0.022 yuan, with a yield of 2.2%. 2. When the transaction price of LOF fund in the secondary market is lower than the net value of the fund (which often happens in the market recently), it is hereinafter referred to as Class B arbitrage. When the transaction price of LOF fund in the secondary market is lower than the net value of the fund, and the difference is greater than the transaction cost (in general, this cost = 0.3% of the transaction cost in the secondary market and 0.5% of the redemption cost = 0.8%), then class B arbitrage opportunities will appear. Specific operation: 1) Enter the securities fund account, select stock trading, and enter the fund code (note: "on-site fund redemption" is not entered here) to buy. This process is called LOF secondary market buying, just like buying and selling stocks and closed-end funds. 2) The LOF fund share you bought in the secondary market will arrive on the next day (T 1). From now on, on any day, when the transaction price of LOF fund in the secondary market is lower than the net value of the fund and the difference is greater than the transaction cost (generally 0.8%), you can apply for redemption of the on-site fund under the stock trading project. For example, on the first day, you buy LOF funds in the secondary market at 1.0 yuan, and you can redeem them the next day. When you redeem, the net value of the fund on that day is 1.04 yuan, so after deducting the transaction cost of 0.008 yuan, you will get 0.032 yuan, and the yield will reach 3.2%. "

& lt& lt Securities Times >> An article in Arbitrage Method points out: "There are two directions, one is to buy and sell when LOF is at a premium, and the other is to buy and redeem when LOF is at a discount. LOF arbitrage opportunities brought by high premium are often fleeting. Under normal circumstances, there is only one or two days before the opportunity, and investors need to take sharp and decisive actions. Generally speaking, there are two situations that are prone to high premium. One is split or high dividends. Investors treat the split or dividend of funds like stock dividends, which brings many high premiums. The other is some new LOFs with a small market share. Due to the small circulation, it is easy to have a high premium in the initial stage of listing. It is worth noting that for LOF, even if there is a high premium arbitrage opportunity, it will be difficult to grasp because the trading volume is very small, and there are too few transactions when it is less than 654.38+ 10,000 yuan. Compared with high premium arbitrage, LOF has more discount arbitrage opportunities than premium arbitrage. In the existing LOF, there is often a discount of 1% to 1.5%, and even a discount of about 2%. From the perspective of transaction cost, the transaction cost of discount arbitrage is obviously lower. As long as you pay the subscription fee, it is generally 0. 1% to 0.3%, and there is also a redemption fee of 0.5%. However, premium arbitrage needs to pay the subscription fee of 1.2% to 1.5% and the selling transaction fee of 0. 1% to 0.3%, and the transaction cost difference between them is close to 1%. According to industry insiders, lof with a discount of more than 1% has certain arbitrage opportunities. For example, a LOF discount 1.2%, after deducting 0.6% transaction costs, still has 0.6% arbitrage space. However, some newly listed LOFs are prone to higher discounts when they are listed. For example,11the listed Southern 500 Fund has a long-term discount of 2%. However, investors who participate in discount arbitrage have to bear the risk that the stock market may fall one day. For example, if an investor buys LOF at a discount of 1 1% at the end of the day, he can only redeem the fund on 1 12, and he has to bear 1 1. Therefore, when investors participate in LOF discount arbitrage, they should not only look at the discount rate, but also choose a special period, and expect to arbitrage when it is likely to rise the next day. Another problem with discount arbitrage is the trading volume. At present, the fund with a discount of more than 1% in lof has moderate trading activity, and generally can only accommodate tens of thousands of funds for arbitrage. If the arbitrage funds are more than 200,000, it is difficult to arbitrage on a LOF. You can choose to arbitrage in several lofs at the same time. " .

The following is the answer to arbitrage in Sina's "Love Problem" fund column. Com for reference: "The biggest highlight of LOF is that it can arbitrage across markets. Like ETF, LOF has a primary market and a secondary market, and it can also be purchased and redeemed through institutional outlets such as fund sponsors, managers and banks like open-end funds. At the same time, it can also be bought and sold through the exchange system like closed-end funds. Due to the coexistence of the above two trading methods, the purchase and redemption prices depend on the net asset value of the fund unit, while the market transaction price is formed by system matching, which is mainly determined by market supply and demand. There is likely to be a certain degree of deviation between the two. When this deviation is enough to offset the transaction cost, there will be theoretical arbitrage opportunities. Usually, investors can buy LOF in the secondary market and redeem LOF in the primary market, thus gaining arbitrage gains in both markets. In order to achieve this arbitrage, it is best to conduct these two transactions at the same time. However, according to the LOF Rules promulgated by Shenzhen Stock Exchange, "the fund shares registered in the securities registration and settlement system can only be traded in this exchange and cannot be redeemed directly; Fund shares registered in the registration system can only be redeemed and cannot be traded directly in this exchange. "This means that LOF cannot be quickly converted between the primary market and the secondary market and must be re-managed. The time for transferring custody is two trading days, that is, it takes three trading days to complete the whole process of LOF arbitrage at present, and the whole process of arbitrage cannot be completed within one trading day. If the net value of the fund unit falls within two trading days, investors will not only fail to achieve arbitrage, but will suffer losses. Therefore, this kind of arbitrage is usually only beneficial to institutional investors with large funds, and it is difficult for ordinary small and medium-sized investors to obtain significant arbitrage benefits from it. Arbitrage operation process: (the principle is still low in and high in, but it is cross-market operation). On-site discount: (on-site market price is low, off-site net value is high) A (on-site subscription) -B (fund custody conversion) -C (off-site redemption) Low market price buy-fast custody conversion-high net value redemption. On-site premium: (on-site market price is high, off-site net value is low) C (off-site subscription) -B (fund custody conversion) -A (on-site sale), low-net-worth subscription-custody conversion is fast-market price is high. LOF fund is a dealer system, so it is best to open an account with the main dealer of the invested fund (you can check the fund contract online), which is more convenient when transferring custody, and the time will be shortened by one day (generally it takes two days to transfer custody). Since large discounts and premiums are usually short-lived, those who decide to invest in LOF fund arbitrage can also use part of their funds for on-site trading and the other part for off-site subscription. When there is an arbitrage opportunity, they should buy and sell on the market first, and then they can calmly redeem or transfer off-market subscriptions to wait for the next opportunity. Don't miss the opportunity, it's not worth the loss. "