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cccharlene · 2022年12月14日

ETF和total return swaps的操作

  1. CFA III
  2. 机构IPS

NO.PZ2022051904000007

问题如下：

Clive Staples is a consultant with the Leedsford Organization (Leedsford), a boutique investment consulting firm serving large endowments and private foundations. Leedsford consults on tactical asset allocation (TAA) program development, implementation, and ongoing TAA idea generation.

Staples has just completed his quarterly client review of the Narnea Foundation. Based on the Foundation’s current asset allocation and Leedsford’s updated fair value models, Staples believes there is an exploitable TAA opportunity in US large-cap growth stocks. He recommends a 2% overweight position to the US equities policy allocation either through an unlevered ETF or total return swap exposures to the Russell 1000 Growth Index.

Q. Compare the efficiency of the ETF and total return swap TAA implementation alternatives from the perspectives of capital commitment, liquidity, and tracking error.


选项：

解释：

ETF涉及stock exchange for stock, 为什么会是require for large cash outlays? 这是哪个章节里的知识点？

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1 个答案

lynn_品职助教 · 2022年12月16日

嗨，从没放弃的小努力你好：


ETF涉及stock exchange for stock, 为什么会是require for large cash outlays? 这是哪个章节里的知识点？

1、ETF有两种交易机制：


（1）ETF份额可以像股票一样，在二级市场上进行交易，交易的双方就是广大散户投资者 or 机构投资者。

ETF份额在二级市场上交易就非常简单，如同股票交易一样，我们直接买卖的是ETF份额，交易的对手方是广大的股票（ETF）投资者。注意，在二级市场上交易，这里有一个交易的价格Market price；


（2）ETF也可以在一级市场进行申购与赎回，参与者是特许的Dealer与ETF发行人。特许参与者（authorized participants）可以在债券市场按照ETF的配比买入标的物债券，拼凑出一揽子债券，然后用这一揽子债券申购一份ETF份额；或者，authorized participants可以用一份ETF份额，赎回出一揽子标的物债券。

由于是买一堆债券拼凑出一个ETF，或者是将ETF赎回成一堆成份债券，在这里我们发现，ETF申购的花费与赎回的金额就是成份债券的内在价值(Net asset value）。


同学说到的股票换股票是第二种，实际上S同学这里为了tactical asset allocation (TAA)交易ETF一定是直接用钱在二级市场交易的，我顺便再讲一下TRS。


2、total return swap，顾名思义是总收益的互换，它的特点是风险全部消除，视同constructive sale。

这道题让从capital commitment, liquidity, and tracking error三个方面来对比。因为是互换，不需要买入卖出因此不存在现金流；是OTC交易，没有二级市场，因此流动性较差；因为交换的是全体收益，所以不存在任何tracking error。


三级学科交叉较多，相关知识在衍生品的Reading 11 ■ Overview of Fixed- Income Portfolio Management 256页。ETF的内容在二级、三级的equity中讲得更完整。不过同学把这道题的答案看一下，也就掌握了。

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