CAJ | 학술논문

封闭式基金的高折价一直诱惑着投资人，但在目前市场的低迷行情下，净值的下跌风险阻碍了投资人对折价收益的套利。本文研究了封闭式基金与股指期货的对冲套利策略，结果显示，利用封基与股指期货的对冲组合，可以让投资人获得套利收益，并将最大损失控制合理范围内。
봉폐식기금적고절개일직유혹착투자인，단재목전시장적저미행정하，정치적하질풍험조애료투자인대절개수익적투리。본문연구료봉폐식기금여고지기화적대충투리책략，결과현시，이용봉기여고지기화적대충조합，가이양투자인획득투리수익，병장최대손실공제합리범위내。
High discount of closed-end funds have always tempting investers. But under the present market downturn, the risk of the drop in net worth hindered the investors to arbitrage the discount earning. This article studied the strategies of hedge of closed-end funds and Stock index futures. The result shows that the use of the hedge portfolio of closed-end funds and Stock index futures can bring benefits to the investers and make the biggest loss in a rasonable range.