Yinhua 100 first arbitrage transaction report

Arbitrage direction

Redemption

T-day arbitrage Efficiency Analysis

For relevant data, refer to the table in the following transaction steps. When calculating the discount price, the purchase price is calculated based on the actual value. The net value is the value published by the fund company on the evening of the T Day (September 14.

T-day net worth on-site purchase price discount premium
Yinhua steadily enters 1.0190, 1.037 + 1.766%
Yinhua Ruijin 1.2830 1.226-4.649%
Yinhua 100 1.151

With a commission and a redemption fee, the merger fee is free of arbitrage space for the moment:
Total investment = (1.037 + 1.226) * (1 + 0.06%) = 2.2644
Total recovery = 1.151*2 * (1-0.5%) = 2.2905
Arbitrage efficiency = 1.153%
Funds must be withdrawn on the day t + 5, and two days over the weekend, the annualized rate of return is 60.12%.

Transaction procedure

Describe the number of yinhua steady and acute advances, which is equivalent to 10000.

	date	operation	Object	unit price	quantity	balance after fee deduction	handling fee	total amount	remarks
T day	September 14	On-site purchase	Yinhua steadily enters	1.037	10000	10370	6.22	10376.22	Commission: 1.037, closing price:
		On-site purchase	Yinhua Ruijin	1.226	10000	12260	7.36	12267.36	Commission: 1.228, closing price:
T + 1	September 15	Merge	Yinhua 100		20000		0		After the merger, yinhua 100 is obtained.
T + 2	September 16	On-site redemption	Yinhua 100	1.106	20000	22009.4	110.6	22120	Redemption 5
T + 5	September 21	Fund receipt

Actual Rate of Return Calculation

Total Investment: 22643.58
Total recovery: 22009.4
Benefits:-634.18
Yield:-2.801%

Summary

During the arbitrage period, the net worth of yinhua 100 fell from 1.151 (September 14) to 1.106 (September 16), a drop of-3.910%. because there are no hedging tools, the first three days are subject to market risks. during this arbitrage period, we were unfortunately surprised and buried.
If you stick to the operation in a similar arbitrage scenario, and assume that the Fund's net gains and losses during the arbitrage period are roughly the same as those in the range, then theoretically, after reaching a certain number of times, the impact of market risks should be offset, making the actual rate of return close to the T-day estimation of arbitrage efficiency.