Abstract:The current arbitrage strategy of Split-funds, which relies on the “Matching-Conversion” provision, has serious problem of time-lag and this prohibits obtaining the risk-free arbitrage profit. Therefore, this article introduces Statistical Arbitrage, and the method of pair trading is specially implemented. The empirical result shows that: 1. Common shares are better trading subjects compared to preferred shares; 2. The strategy is able to have excess return and higher Sharpe ratio than the market under both bullish and bearish markets; 3. However, under the One-side bearish market, the portfolio can’t get positive gains.