摘要
目前在业界基于分级基金"配对转换"机制的套利策略存在严重的交易时滞,该策略无法获得无风险套利利润,因而尝试将统计套利的方法引入分级基金交易,采用"成对交易"策略,实证结果表明:1)相比优先份额,进取份额是成对交易策略更稳定的交易标的;2)无论在熊市还是牛市下,该策略都可以获得超额收益以及高于大盘的夏普比率;3)在单边的熊市下,组合价差长期偏离均衡,该策略无法获得绝对收益。
The current arbitrage strategy of split-funds,which relies on the ＂Matching-Conversion＂ provision,has serious problem of time-lag and this prohibits obtaining the risk-free arbitrage profit.Therefore,Statistical Arbitrage is mtroduced,and the method of pair trading is specially implemented.The empirical result shows that： 1.Common shares are better trading subjects compared to preferred shares;2.The strategy is able to have excess return and higher Sharpe ratio than the market under both bullish and bearish markets;3.However,under the one-side bearish market,the portfolio can＇t get positive gains.
出处
《科学技术与工程》
北大核心
2012年第3期724-729,共6页
Science Technology and Engineering
关键词
分级基金
统计套利
成对交易
split-funds statistical arbitrage pair trading
