ETF套利策略详解（上）：ETF套利策略究竟在赚什么钱？

Report Overview - The report introduces the ETF arbitrage strategy, a unique absolute return strategy that accumulates small price differences into stable returns [7]. ETF Core Features - ETF, or "Exchange-Traded Fund", is a "transparent basket" that can be traded like stocks. It is an open-ended fund listed on the exchange, with its net value publicly disclosed daily [8]. - ETF has two trading markets: the primary market, where investors can exchange a basket of assets for ETF shares, and the secondary market, where ETFs are traded like stocks. Price differences between the two markets create arbitrage opportunities [9][10]. ETF Arbitrage Strategy's Income Realization Path - The core logic is to capture and exploit short - term pricing deviations. The most common method is ETF redemption arbitrage, including discount and premium arbitrage. In discount arbitrage, buy ETFs in the secondary market and redeem them in the primary market; in premium arbitrage, buy a basket of assets to subscribe for ETFs in the primary market and sell them in the secondary market [12][13]. - There are also cross - market arbitrage and related - variety arbitrage, which are used as supplementary strategies due to fewer opportunities [15]. Key Features of ETF Arbitrage Strategy - Single - arbitrage profit margins are small, usually around 0.5% or lower. The final return depends on continuous accumulation [16]. - The strategy requires high - speed and timely trading. Opportunities are fleeting, and all arbitrageurs compete to compress expected returns [16]. - The strategy faces challenges such as high trading costs, potential calculation errors of asset values, restrictions on primary - market subscriptions and redemptions, and increased complexity during extreme market conditions [17].