The author believes that investors can use low-risk arbitrage mode, according to the relevant announcement information and legal provisions, to find the potential investment target of “limited downward risk, unlimited upward income”, so as to achieve the purpose of “avoiding risk in bear market and sharing income in bull market”.
Four strategies of low risk arbitrage
At present, the investment strategies of low-risk arbitrage are mainly divided into the following four types:1.Fixed income investment varieties, including treasury bonds, monetary funds, reverse repurchase, corporate bonds, bond funds, class a of graded funds, futures and cash arbitrage, new bonds, new shares, etc.; 2.Discount equity investment varieties (discount can bring excess income and outperform the market), including closed-end funds, q-funds, etc DiI, lof, graded funds, stock index futures, merger and exchange stocks, H shares, warrants, etc.; 3.Guaranteed equity investment varieties, including low-risk investment varieties such as convertible bonds with guaranteed commitment, cash option stocks, green shoe mechanism stocks, invitation to buy stocks, etc.; 4.Tradable low-risk investment varieties such as merger and acquisition, reorganization, repurchase, etc. in listed companies.
Among the four investment strategies, the investment in convertible bonds is the most important one.At the beginning of 2014, the author published several articles in the red weekly, suggesting the investment opportunities of convertible bonds in the A-share market.At that time, the key tips, such as Guojin convertible bonds, Taier convertible bonds, marine convertible bonds, etc., all doubled or even tripled in less than a year.It is worth noting that these profits are realized on the premise of capital preservation.If investors carry out repo transactions of bond pledge (the biggest leverage can even be magnified to five times), the income will be more considerable.
Now, the arbitrage opportunity of convertible bonds appears again.When the opportunity comes, it is a good time for low-risk varieties to make a lot of money.
Analysis of key varieties of convertible bonds
The preconditions of low-risk arbitrage are:1.The substitute of the bottom stock market, with 5% ~ 10% risk to obtain more than 30% upward return.The so-called visible risk is not risk.Compared with stocks, the bottom of convertible bonds can be seen.2.Because of its scarcity, it is difficult to find the price near the current face value of convertible bonds.Therefore, among the few existing convertible bonds (see the attached table), we can focus on the investment opportunities of 15 day EB and 14 day EB.
The disadvantages of 15 day EB are as follows:1.The premium rate is as high as 90%, which restricts the short-term upward elasticity; 2.向上敲出期权，即换股期前30个交易日。标的股票连续20个交易日中至少10个交易日的收盘价不低于本次证券交易价格的130%的，发行人有权决定按债券面值（含赎回年度价格）的107%以应计利息的价格赎回全部或部分可转换债券。
4.中等溢价。In the past, there was a premium of more than 30% when it was more than 200 yuan.Now, there is a premium of more than 40% when it is 120 yuan.With the shortening of maturity, the premium rate will decrease, but it may also remain high for a period of time.That is to say, if the positive shares of Xinhua Insurance double, Baosteel’s exchange bond will be a bull market with the possibility of 80% increase.Compared with exchangeable bonds and convertible bonds, it has the characteristics of minimum guarantee at maturity, but there is a lot of space in the middle up and down, and each has its own advantages and disadvantages.It is suitable for investors who are not sensitive to the minimum guarantee time and withdrawal and have great expectations for the rising space.In view of the good qualifications of Xinhua insurance and Baosteel, the risk of default is very small.
Analysis of other low risk and high yield varieties
In addition to convertible bond opportunities, we can also focus on the arbitrage opportunities of Castrol yuan, 505888 and H-share ETFs with low risk and high yield.
Castrol Yuanhe (505888): as the first base of China’s hybrid reform, half of Castrol Yuanhe’s assets are invested in fixed income assets such as bonds, and the other half of its assets subscribe for the additional equity issued by Sinopec Sales Company.The price of the closed-end fund is just 5 yuan.The advantage is that the annual rate of return of its investment in fixed income assets will average 5% in the next five years.The return of its equity investment in Sinopec Sales Company lies in the increase after listing.Assuming that it will be listed in the next three years, and the increase of its share price after listing is 100% compared with that of the current share price.At this time, the net value of the fund should be 0.5 * 1.05
3 + 0.5 * 2 = 1.58 yuan (excluding management fees and other expenses), but considering that the fund still has a two-year closed period, assuming that the discount rate is 8% in two years, the transaction price should be 1.58 * (1-0.08) = 1.45 yuan.In other words, it can earn about 45% in three years and turn into 15% annually.If the increase of sales companies after listing exceeds the expected 100%, or the listing time is faster than three years, the yield is higher.Of course, if the listed share price falls below the issue price, it will bear a certain loss (as the first share of China’s mixed reform, though there is a probability of breaking, it is very low).
H-share ETF (T + 0 Hong Kong stock fund, 160717 or 510900): both horizontal and vertical valuations of Hang Seng state-owned enterprise index are at a very low position in history.The price earnings ratio of H-share ETF is about 7 times, while that of Shanghai Stock Exchange 50ETF is about 10 times.这两个指数更具可比性，但H股ETF的价格要便宜30%。目前，即使全球股市出现灾难性下跌，估计跌幅也在20%左右，而长期上涨趋势并未封顶。适用于金字塔式仓库建设，浮亏10%，利润100%以上。