Core Insights - The article discusses the various methods of ETF arbitrage, emphasizing that both institutional and retail investors can participate in these strategies [1] - It highlights the importance of understanding transaction costs and market dynamics to effectively engage in ETF trading [1] Group 1: ETF Arbitrage Methods - Method 1: T+0 intraday trading allows investors to buy low and sell high within the same day, capitalizing on price fluctuations [3] - Method 2: Discount arbitrage involves buying ETFs in the secondary market when their price is below net asset value (NAV) and redeeming them for stocks [4] - Method 3: Premium arbitrage entails buying a basket of stocks when the ETF price exceeds its NAV, then creating ETFs to sell at a higher price [7] Group 2: Market Dynamics and Trading Strategies - Method 4: Time arbitrage takes advantage of trading hour differences between markets, allowing investors to sell ETFs before adverse market movements [10] - Method 5: Futures arbitrage involves trading stock index futures against ETFs to exploit price discrepancies [11] - Method 6: Pair trading capitalizes on the correlation between different ETFs, buying undervalued ones while selling overvalued counterparts [14] Group 3: Transaction Costs and Considerations - The article compares on-market trading (lower costs) with off-market trading (higher costs), suggesting that retail investors should prefer on-market transactions [19] - Transaction fees for on-market trades typically range from 0.015% to 0.3%, with a minimum fee of 5 yuan, while off-market transactions can incur significantly higher costs [20] - Investors should be aware of liquidity risks and potential price slippage when executing large trades in less liquid ETFs [19]