The paper selects 20 main open-ended funds as research samples, making comprehensive analysis on all funds' indices, including Alpha, downside & information ratio, getting a portfolio of 4 best performing funds by programmingly determining theoretical optimal weights, and finally modeling and checking the possibility of Alpha arbitrage through Shanghai and Shenzhen 300 index futures in assumed condition. Relying on study of transferable Alpha trading strategy, the paper suggests that extra profit could be realized by using transferable Alpha arbitrage in bear market or fluctuated market, and also higher investment profit in bull market.