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1、Portfolio卜Management/.&)$e漂口笺亩苦,UHQH1-201IreneAta.婿信;累笑婿蛹K果制7上制G外外?8滓回算跳U升跑饷汁：|&)$nD2(i&嬉-一盾.i.麓?一躁奥ifi%豳口口a:僧L:0i-跑您外Ul.#?弓卜方.口口捺：k果皱口亩口口口、口魏口桐嚣嚼埼喇漩3吻巡存能询fT1M觎猴口口口能MMVennraSTopicWeightingsinCFALevelIISessionNO.ContentWeightings.StudySession1Ethical&ProfessionalStandardsIO-ISStudySession2-3Quantitat
2、iveMethods5-10StudySession4Economics5-10StudySession5-6FinancialReportingandAnalysis10-15StudySession7-8CorporateFinance5-10StudySession9-11Equity10-15StudySession12-13FixedIncome10-15StudySession14Derivatives5-10StudySession15AlternativeInvestments5-10StudySession16-17PortfolioManagement10-153-201号
3、眼国an!tn FrameworkPortfolioManagement4 201S1即(fukgMare11nt1)MechanicsandApplicationsR44UsingMultifactorModelsR45MeasuringandManagingMarketRiskSS17:PortfolioManagement(2)R46EconomicsandInvestmentmarketsR47AnalysisofActivePortfolioManagementR48TradingCostsandElectronicMarketsM亚SUR”Exchange-TradedFunds:
4、MechanicsandApplications5-2011.ETFMechanicsFrameworkCreation/redemptionprocessTradingandsettlementArbitrageAdvantageoftheETFmechanics2.UnderstandingETFExpenseratioTrackingErrorTradingcostsTaxissuesTotalCostsofETFOwnershipTypesofETFrisks3.ETFsinPortfolioManagementSWa*ETF外1.ETFMechanicsInvestor 1ETFtr
5、ansactionstakeplaceintwointerrelatedmarkets.PrimaryMarketSecuritiesnPortfolioSecurities1Securities2Investor2IIInvestor3Buy&Sell8-201SecondaryMarketMUV.SUR.!*1.1TheCreation/RedemptionProcessTheprimarymarketforETFtradingisthatwhichexistsonanover-the-counterbasisbetweenauthorizedparticipants(APs),andth
6、eETFissuer,orsponsor.TheonlyinvestorswhocancreateorredeemnewsharesofanETFareaspecialgroupofinstitutionalinvestorscalledAPsAPsarelargebroker/dealers,oftenmarketmakers,whoareauthorizedbytheETFissuertoparticipateintheprocess.TheAPcreatesnewETFsharesbytransactingin-kindwiththeETFissuer.Thisin-kindswapha
7、ppensofftheexchange,intheprimarymarketfortheETF1whereAPstransfersecuritiesto(forcreations)orreceivesecuritiesfrom(forredemptions)theETFissuer,inexchangeforETFshares.1.1.1CreationProcessEachbusinessday,theETFmanagerpublishesalistofrequiredin-kindsecurities(creationbasket)foreachETF.Tocreatenewshares,
8、anAPacquiresthesecuritiesinthecreationbasketinthespecifiedshareamounts(generallybytransactinginthepublicmarketsorusingsecuritiestheAPhappenstohaveininventory).TheAPthendeliversthisbasketofsecuritiestotheETFmanagerinexchangeforanequalvalueinETFshares.ThepricetheAPmighthavepaidtoacquirethatstockorwhat
9、itspricehappenstobeattheendofthedayisnotrelevanttotheexchangetakingplace.10-201ThesetransactionsbetweentheAPandtheETFmanageraredoneinlargeblockscalledcreationunits,usuallybutnotalwaysequalto50z000sharesoftheETF.=WSuR!ttt1.1.2RedemptionProcessTheprocessalsoworksinreverse:theAPpresentsthesesharesforre
10、demptiontotheETFmanagerandreceivesinreturnthebasketofunderlyingsecurities.ThebasketofsecuritiestheAPreceiveswhenitredeemstheETFsharesiscalledtheredemptionbasketThisbasketoftenhasthesamesecuritycompositionasthecreationbasket,butitmaybedifferentiftheETFportfoliomanageristryingtosellparticularsecuritie
11、sfortax,compliance,orinvestmentreasons.11-201AlthoughactualprocessofexchangingbasketsandblocksofETFshareshappensafterthemarketsareclosed,theAPisabletoexecuteETFtradesthroughoutthetradingdaybecausetheAPknowsthesecuritycompositionofthebasketneededforETFsharecreationorredemption.SIW*UR*IM1.2ArbitrageBe
12、causepricesoftheETFandthebasketsecuritiesarecontinuouslychangingonthebasisofmarketconditions,APsmonitorbothfordiscrepancies,lookingforopportunitiestomakearbitrageprofits.Thearbitragegaptheprice(s)atwhichitmakessenseforETFmarketmakerstostepinandcreateorredeemsharesvarywiththeliquidityoftheunderlyings
13、ecuritiesandavarietyofrelatedcosts.* 1.2 Arbitrage$25.10Exhibit 1 An ETF Share Price ata Premium to NAV13-201SUV - Ufi * M1.2ArbitrageArbitragekeepstheETFtradingatornearitsfairvalue.Ifthecurrentper-sharemarketvalueofthebasketofunderlyingsecuritiesisgreaterthanthequotedpriceoftheETFshares,theAPcansim
14、ultaneouslysell(orshort)thebasketofsecuritiesandbuyETFshares,tomakeaprofitInthissituation,wheretheETFshareisunden/alued,theETFissaidtobetradingatdiscount14-201IfsharesoftheETFarequotedatahigherpricethantheper-sharemarketvalueofthebasketofsecurities,theETFistradingatpremium,andtheAPcanmakeaprofitbysi
15、multaneouslysellingtheETFsharesinthemarketandbuyingthebasketofsecurities.MUV.SUR.!B1.3AdvantageoftheETFMechanics1.LowercostAsignificantadvantageoftheETFcreation/redemptionprocessisthattheAPabsorbsallcostsoftransactingthesecuritiesforthefund,sportfolio.ETFstructureismorefair.FrequentETFtradersbearthe
16、costoftheiractivity,whereasbuy-and-holdETFshareholdersareshieldedfromthosecosts.APspassthesecoststoinvestorsintheETFsbid-askspread,incurredbyETFbuyersandsellers.Thus,non-transactingshareholdersofanETFareshieldedfromthenegativeimpactoftransactioncostscausedbyotherinvestorsenteringandexitingthefund.In
17、contrast,wheninvestorsenterorexitatraditionalmutualfund,themutualfundmanagerincurscoststobuyorsellinvestmentsarisingfromthisactivity,whichaffectfundshareholders.1.3AdvantageoftheETFMechanics2.TaxefficiencyBecausecreationandredemptionhappeninkind,theyallowtheETF,sportfoliomanagerstomanagethecostbasis
18、oftheirholdingsbyselectinglow-basisholdingsforredemptions,leadingtogreatertaxefficiency.Issuersmaychoosetopublishcustomizedredemptionbaskets,whichallowsthemtotargetspecificlow-basissecuritiesforremovalfromtheportfolio.Bydeliveringoutsharesthatwereoriginallyacquiredatlowcosts,theissuercancontinuously
19、raisetheaverageacquiredcost(orcostbasis)ofeachposition,therebyminimizingthepositionsunrealizedgains16-2013.ArbitragekeepstheETFtradingatornearitsfairvalue.=WSuR!ttt1.4Secondary:TradingandSettlementProcessofinvestmentinthesecondarymarketStep1:Youplaceabuyorderinyourbrokerageaccountthesamewayyouwouldp
20、laceanordertobuyanypubliclylistedequitysecurity,Step2:Yourbrokersubmitsthatordertothepublicmarkettofindawillingseller:anotherinvestororamarketmaker(ie,abroker/dealerwhostandsreadytotaketheoppositesideofthetransaction).Step3:Theorderisexecuted,andyoureceivesharesoftheETFinyourbrokerageaccountjustasif
21、youtransactedinastock.Thesellingactivitiesofindividualinvestorsinthesecondarymarketdonotrequirethefundtotradeoutofitsunderlyingpositions.l721三wura1.4Secondary:TradingandSettlementUSsettlement:centralizedNationalSecurityClearingCorporationandDepositoryTrustCompany,T2v：guarantorofthattransactiontheent
22、itythatensuresallpartiesareimmunizedagainstthefinancialimpactofanyoperationalproblemsontheeveningofthetrade,andthetradeisconsideredcleared.TheDepositoryTrustCompany(DTC)fofwhichtheNSCCisasubsidiary,holdsthebookofaccountstheactuallistofsecurityholdersandownership.EUsettlement:fragmentedThemajorityoft
23、radinghappensinnegotiatedover-the-countertradesbetweenlargeinstitutions.InEurope,theyareclearedtooneof29centralsecuritiesdepositories(orCSDs).Acomplexsystemresultsinwiderspreadsandhigherlocalmarkettradingcosts.2.UnderstandingETFsThebest-managedETFschargelowandpredictableinvestmentcosts,closelytrackt
24、heindexesonwhichtheyarebased,provideinvestorswiththelowestpossibletaxexposurefortheinvestmentobjective.TobestunderstandanETF*sabilitytomeetexpectations,oneshouldconsiderits:expenseratio;indextracking;taxtreatment;19-201potentialcostsandrisks.SUVUfi*M2.1ExpenseRatiosTheactualcoststomanageanETF(manage
25、mentfee)vary,dependingonportfoliocomplexity(forexample,howmanysecuritiesthefundholds,howoftenrebalancingorstrategyimplementationoccurs,difficultyinmaintainingportfolioexposures),issuersize(economiesofscaleapply),andthecompetitivelandscapeETFsgenerallychargelowerfeesthanmutualfundsETFprovidersdonotha
26、vetokeeptrackofindividualinvestoraccounts,sinceETFsharesareheldbyandtransactedthroughbrokeragefirms.NordoETFissuersbearthecostsofcommunicatingdirectlywithindividualinvestors.Index-basedportfoliomanagement,usedbymostETFs,doesnotrequirethesecurityandmacroeconomicresearchcarriedoutbyactivemanagers,whic
27、hincreasesfundoperatingcosts.20-201Expenseratiodoesnotreflectthecostofportfoliorebalancingorotherfees.MUVSUR!B2.2IndexTrackingDailydifferences=RmeasuredbyNAV)-RflMeasurehowcloseanETFcantrackrelativeindex.Periodictracking1.Trackingerror=standarddeviationofdailydifferences.Typicallyfora12-monthperiod.
28、Trackingerrordoesnotrevealtheextenttowhichthefundisunder-oroverperformingitsindex;thedistributionoferrors.2.2IndexTracking:PeriodictrackingPeriodictracking(cont.)2.RollingtrackingdifferenceTrackingdifferencescalculatedoveralongerholdingperiod.Thisapproachallowsinvestorstoseethecumulativeeffectofport
29、foliomanagementandexpensesoveranextendedperiod.Representbothcentraltendenciesandvariability.Allelseequal,onewouldnormallyexpectanindexfundtounderperformitsbenchmarkonanannualbasisbytheamountofitsexpenseratio.2221MWawB三2.2IndexTracking:SourceOfTrackingError1.FeesandexpensesIndexcalculationgenerallyas
30、sumesthattradingisfrictionlessandoccursattheclosingprice.Afundsoperatingfeesandexpensesreducethefund,sreturnrelativetotheindex.2.Representativesampling/optimizationForfundstrackingindexexposuretosmallorilliquidmarkets,owningeveryindexconstituentcanbedifficultandcostly.Therefore,fundmanagersmaychoose
31、tooptimizetheirportfoliosbyholdingonlyaportion,orrepresentativesample,ofindexsecurities.Comparedwithafullreplicationapproach,representativesampling/optimizationintroducesgreaterpotentialfortrackingerror.2*2sweufira2.2IndexTracking:SourceOfTrackingError3.DepositaryreceiptsandotherETFsFundsmayholdsecu
32、ritiesthataredifferentfromthoseintheindexsuchasAmericandepositaryreceipts(ADRs),globaldepositaryreceipts(GDRs)fandotherETFs.Differencesintradinghoursandsecuritypricescreatediscrepanciesbetweenportfolioandindexvalues.Similarly,ETFissuersmaychoosetoholdETFsasunderlyingholdings.Thisalsocreatesdiscrepan
33、ciesbetweenfundNAVandindexvalue,becausetheETFsholdingsarevaluedattheirclosingmarketpriceandnottheirNAV.2.2IndexTracking:SourceofTrackingError4IndexchangesFundsmaytradeindexchangesattimesandpricesthataredifferentfromthoseofthebenchmarktracked.Sincerebalanceisinfrequent,thispartisoftenthesmallestcontr
34、ibutor.5.FundaccountingpracticesThetimeofthedaywhenETFs,NAViscalculatedversuswhentheindexproviderperformsthiscomputationcanleadtodifferencesincalculatedreturns.Additionally,ETFswithforeign-currency-denominatedholdingsmayuseexchangeratevaluescapturedatadifferenttimethantherateusedbytheindexprovider.6
35、.Regulatoryandtaxrequirements25-201Fundsmaybesubjecttoregulatoryandtaxrequirementsthataredifferentfromthoseassumedinindexmethodology,suchaswithforeigndividendwithholding.SUV-Ufi*M2.2IndexTracking:SourceofTrackingError7.AssetmanageroperationsETFissuersmayattempttooffsetcoststhroughsecuritylendingandf
36、oreigndividendrecapture.Theseactasnegativecosts,whichenhancefundperformancerelativetotheindex.Securitylending:ManyETFs(andmutualfunds)lendaportionoftheirportfolioholdingstoshortsellers.Inexchange,theETFreceivesafeeandearnsinterestonthecollateralpostedbytheborrower.SinceSecurities-Iendingincomeisnota
37、ccountedforintheindexcalculation,itisasourceoftrackingerror.26-201Foreigndividendrecapture:Assetmanagersmayworkwithforeigngovernmentstominimizetaxpaidondistributionsreceived.SUV*UK*AS2.3Tax1.CapitalGainsDistributions:Ingeneralfundsmustdistributeanycapitalgainsrealizedduringtheyear.Onaverage,ETFsdist
38、ributelessincapitalgainsthancompetingmutualfundsfortwoprimaryreasons.Taxfairness:Fortraditionalmutualfund,shareholdersmayhavetopaytaxliabilitiestriggeredbyothershareholdersredeemingoutofthefund.ForETFThesellingactivitiesofindividualinvestorsinthesecondarymarketdonotrequirethefundtotradeoutofitsunder
39、lyingpositions.IfanAPredeemsETFshares,thisredemptionoccursinkindandisnotataxableevent.Thus,redemptionsdonottriggercapitalgainrealizations.Taxfair:Theactionsofinvestorssellingsharesofthefunddonotinfluencethetaxliabilitiesforremainingfundshareholders.2.3Tax1.CapitalGainsDistributions(cont.)Taxefficien
40、cy:Taxlotmanagementallowsportfoliomanagerstolimittheunrealizedgainsinaportfolio.Taxlotmanagement:Bychoosingshareswiththelargestunrealizedcapitalgainsthatis,thoseacquiredatthelowestcostbasisETFmanagerscanusethein-kindredemptionprocesstoreducepotentialcapitalgainsinthefund.Manyindexeshaverebalancingpe
41、riods,andfundstrackingtheseindexesmusttradethosechanges.Rebalancingincreasesthepotentialforcapitalgainstooccur28-201Taxefficiencycanbeimprovedifredemptionsoccuronindexrebalancedates,becausethisallowstheportfoliomanagertoremoveappreciatedsecuritiesviain-kindexchanges,ratherthansellingandrealizingacap
42、italgain.=WSuR!ttt2.3Tax2.OtherDistributionsSecuritydividenddistributionscantriggertaxliabilitiesforinvestors.Inmostmarkets,ETFsdistributetheiraccumulateddividends;However,insomejurisdictionsnotablyinEuropeETFsmayhaveshareclassesthataccumulateandautomaticallyre-investdividendsintothefund.Becausenota
43、lldistributionsaretreatedalike,investorsmustensuretheyunderstandthetaxtreatmentspecifictoeachfundsdomicile,legalstructure,andportfoliotype.Return-of*capital(ROC)distributionsareamountspaidoutinexcessofanETF,searningsandservetoreduceaninvestorscostbasisbytheamountofthedistribution.Thesedistributionsa
44、regenerallynottaxable.3.TaxesonSaleInmostjurisdictions,ETFsaretaxedaccordingtotheirunderlyingholdings.However,therecanbenuancesinindividualtaxjurisdictionsthatrequireinvestoranalysis.2*2三Wgufira2.4ETFTradingCostsETFtradingcostsCommissionBid-askspreadPremiumanddiscount2.4.1ETFBid-AskSpreadsSourcesofE
45、TFBid-AskSpreads:OngoingorderflowintheETFrasmeasuredbydailysharevolume(moreflowmeanslowerspreads);theamountofcompetitionamongmarketmakers(morecompetitionmeanslowerspreads);theactualcostsandrisksfortheliquidityprovider.MaximumquotedspreadonETF:fCreation/redemptionfeesandotherdirecttradingcosts,suchas
46、brokerageandexchangefees+Bid-askspreadsoftheunderlyingsecuritiesheldintheETF+Compensation(tomarketmakerorliquidityprovider)fortheriskofhedgingorcarryingpositionsfortheremainderoftradingday+Marketmaker,sdesiredprofitspread,subjecttocompetitiveforces31-201-Discountrelatedtothelikelihoodofreceivingan。仟
47、SettingETForderinashorttimeframeSUVUfi*M2.4.1ETFBid-AskSpreadsETFBid-AskSpreads:OneofthemostimportantdriversofETFbid-askspreadsandliquidityisthemarketstructureandliquidityoftheunderlyingsecuritiesheld.1.arge,activelytradedETFshavenarrowbid-offerspreadsandthecapacity(orliquidity)forlargetransactionsizes.Thebid-askspreadforliquidETFscanbesignificantlytighterthanthespreadsontheunderlyingsecurities.Forlargert
