分级基金套利策略研究-金融学专业论文.docx

摘 要 分级基金是一种创新型的基金产品，它借鉴了结构化产品的分级技术，通过 对基金收益的安排，将基金份额分成预期收益与风险不同的两类或多类份额，满 足投资者更加精确化的投资需求。 本文首先对分级基金的发展状况以及分级基金的创新特征进行了系统的介 绍，从分级基金的结构设计、份额的收益特性、杠杆性以及分级基金特有的配对 转换机制及折算机制五个方面对分级基金进行了详细的说明。然后本文介绍了分 级基金的三类基本套利投资策略，对策略应用的现状及存在的问题进行了说明， 包括分级基金的配对转换套利策略、与股指期货的期现套利策略和份额折算套利 策略。 本文重点阐述了分级基金的配对套利策略，针对分级基金配对转换套利的时 滞问题，本文采用了统计套利的配对交易方法，在长期持有分级基金份额的条件 下，将配对交易的套利方法运用到分级基金份额上，期望实现分级基金份额的无 风险套利。本文系统的分析了配对交易策略的细节，包括样本的选择、套利规则 的确定、相关性分析、协整检验以及策略的风险评价，并基于市场交易数据对策 略效果进行了实证检验。结果表明，通过配对交易的套利投资策略，投资者能够 获得高于市场的超额收益。 关键词：分级基金，套利策略，配对交易 Abstract Grading fund is an innovative fund product, which draws on the structured product classification technology , through the arrangement of income of the fund ,it separates the basic shares into sub-shares with different expected benefits and risks , to meet the more precise investment needs of different investors. This article firstly introduces the development of grading funds and the innovative features of grading funds, including the structural design of grading funds, the income characteristics of different shares of grading funds, the leverage of aggressive share and the special pairing conversion mechanism and translation mechanism of grading funds. Then this article introduces three basic types of arbitrage investment strategies of grading funds, including convertible arbitrage strategy, stock index futures arbitrage strategies and share conversion arbitrage strategy. This article focuses on the matching arbitrage strategy of grading funds. In order to solve the time lagging problem of convertible arbitrage strategy, investors can use paired statistical arbitrage trading method. Under conditions of long-term fund shares held, through pairs trading arbitrage method applied on fund shares, investors can hope to achieve risk-free arbitrage profit. This article systematically analyzes the details of the pairs trading strategy, including sample selection, arbitrage rules to determine the actions, correlation analysis, co-integration test and risk as