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Risk Management and Financial Institutions 2e, Chapter 4, Copyright © John C. Hull 2009
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4.1.4 Exchange-Traded Funds （课后阅读）
Usually designed to track an index Started by an institutional investor that deposits a block of securities and obtains shares in the fund Shares are traded on an exchange Large institutional investors can exchange shares in the fund for the underlying assets, and vice versa This keeps the share price close to the NAV of the fund’s investments
Jensen’s Results on the Persistence of Good Performance (Table 4.3)
Number of Consecutive Years of Positive Alpha Number of Observations （1150） Observations for which the Next Alpha is Positive (%)
Risk Management and Financial Institutions 2e, Chapter 4, Copyright © John C. Hull 2009
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ቤተ መጻሕፍቲ ባይዱ
Advantages of ETFs over Open- and Closed-End Mutual Funds
Risk Management and Financial Institutions 2e, Chapter 4, Copyright © John C. Hull 2009
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Tax
Tax is paid as though the investor owned the mutual fund investments If the mutual fund realizes capital gains or dividends during a year, the investor has to pay taxes on the amount realized The investor’s basis (i.e., the amount the investor is assumed to have paid for the mutual fund shares) is adjusted to avoid double taxation when the shares are sold
4.1 共同基金
对于小客户而言，共同基金所提供的一个投资亮 点是基金所提供的分散化的投资机会。 对于每个客户而言，平均的交易费用较低。 共同基金为投资人提供了一个好的投资途径，许 多小的投资人将资金汇集到一起进行投资，在付 出较小费用的前提下达到风险分散的效应。 有些共同基金由专长于资产管理的公司提供，例 如富达基金；有些共同基金由银行提供，例如摩 根大通；有些保险公司也提供基金，例如州立农 业保险公司。
共同基金受美国证券交易委员会监管。 市场上现在有不同形式的共同基金： （1）投资于期限大于1年的固定收益债券的债券 型基金（Bond funds）； （2）投资于普通及优先股的股票基金（Equity funds）；（★最流行） （3）投资于股票、债券及其他产品的混合式基 金（Hybrid funds）； （4）投资于期限小于1年的有息证券的货币市场 基金（Money market funds）。
Hedge funds (also called alternative investments) are not subject to these restrictions
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Risk Management and Financial Institutions 2e, Chapter 4, Copyright © John C. Hull 2009
法是买入指数中的所有股票。 （2）选择一个小型股票组合，股票数量的选 取要经过研究，来保证这个小型股票组合确实可 以有效地跟踪选定的股票指数。 （3）股指期货。
Risk Management and Financial Institutions 2e, Chapter 4, Copyright © John C. Hull 2009
第一个对冲基金公司琼斯对冲基金是1949年 在美国创立的，结构是普通合伙形式，规避 证券交易委员会的监管。 琼斯在其交易组合中持有他认为价格被低估 的股票的长头寸，幵同时持有他认为价格被 高估的股票的短头寸。 对冲一词意味着基金的风险是被对冲的，琼 斯的交易策略确实涉及对冲，他的头寸对市 场的整体方向没有太大的风险暴露。因为它 的长头寸基本与短头寸持平。
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4.2 Hedge Funds
Mutual Funds are restricted because
Shares must be redeemable at any time NAV must be calculated daily Investment policies must be disclosed Use of leverage is limited Short positions cannot be taken
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Risk Management and Financial Institutions 2e, Chapter 4, Copyright © John C. Hull 2009
4.1.1 Index Fund
定义：某些基金的目的是为了跟踪特定的 股票指数，例如S&P 500等。 设计：（1）为了确保跟踪的效果，最简单的做
Mutual Funds
Investments in mutual funds have grown from $0.5 billion in 1940 to over $10 trillion in 2008 Most common type of fund is open-ended This means that the number of shares in the fund goes up as investors buy more shares and down as they redeem shares All purchases and sales of shares are at the 4pm net asset value (NAV) of the fund
关于基金经理的业绩和投资能力，华尔街日报曾作过 一个实验。 把一个飞镖盘布置成一个贴满股票名字的盘子，然后 让一个黑猩猩去投掷飞镖选择股票，那么长期来说， 这个猩猩胡乱掷出飞镖构建的投资组合的业绩，和一 个由投资经理精心选择个股构建的组合的业绩会不相 上下。 对我国基金行业的股票型基金和债券型基金的研究发 现，它们均表现出一定的业绩延续性，幵且债券型基 金的业绩延续性相对更强。
Chapter 4
Mutual Funds and Hedge Funds
Risk Management and Financial Institutions 2e, Chapter 4, Copyright © John C. Hull 2009
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★共同基金与对冲基金
都是代表个人或企业投资，是不同投资人的资 金被汇集到一起进行投资，投资资产的选择由 基金经理确定，投资原则是达到某个事先阐明 的目的。 某些国家将共同基金称为单位信托，其目的是 为了满足一些相对较小规模的投资人的需求， 对冲基金是为了吸引一些富有的个人以及类似 养老基金的机构投资者。 对冲基金所受的监管规定要远远弱于共同基金 ，可以实施较大范围的投资策略，运作透明度 相对较差。
Risk Management and Financial Institutions 2e, Chapter 4, Copyright © John C. Hull 2009
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The classic study is by Jensen in 1969. His results have been confirmed in later studies The average alpha of all funds is slightly negative. Good performance by a mutual fund manager in the past is not a good guide to future performance
1 2 3 4
574 312 161 79
50.4 52.0 53.4 55.8
5
6
41
17
46.4
35.3
Risk Management and Financial Institutions 2e, Chapter 4, Copyright © John C. Hull 2009
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经典案例：基金经理VS黑猩猩
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Risk Management and Financial Institutions 2e, Chapter 4, Copyright © John C. Hull 2009
4.1.5 Performance of Mutual Funds
关于共同基金回报的两个问题： （1）平均来讲，一个主动性管理基金会 比股指表现更好吗？ （2）在第1年表现好的基金，在第2年会 持续吗？
Can be bought or sold (or shorted) at any time of the day Holdings are disclosed twice a day Investments do not have to be sold to cover redemptions Share price close to NAV of underlying investments
4.1.6 Mutual Fund Scandals (课后阅读)
Late trading Market timing Front running Directed brokerage
Risk Management and Financial Institutions 2e, Chapter 4, Copyright © John C. Hull 2009
Risk Management and Financial Institutions 2e, Chapter 4, Copyright © John C. Hull 2009
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4.1.3 Closed-End Fund
Consists of a fixed number of shares that are traded in the same way as the shares of any other company The share price tends to be less than the NAV calculated from the market value of the investments
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4.1.2 Costs (Table 4.2)
Annual fee Front-end load Back-end load Relatively low in US Relatively high in Canada, Denmark, Finland, Italy, Norway, and Spain
