统计套利策略在我国分级基金市场的尝试

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 Trading Strategy of Split-funds Based on Statistical Arbitrage

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.