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Randia · 2025年06月22日

选项A

NO.PZ2018120301000020

问题如下:

After providing Trey with advice on direct investment, Serena offered him additional information on alternative indirect investment strategies using (1) bond mutual funds, (2) exchange-traded funds (ETFs), and (3) total return swaps.

Trey expresses interest in using bond mutual funds rather than the other strategies for the following reasons.

1. Reason 1: Total return swaps have much higher transaction costs and initial cash outlay than bond mutual funds.

2. Reason 2: Unlike bond mutual funds, bond ETFs can trade at discounts to their underlying indexes, and those discounts can persist.

3. Reason 3: Bond mutual funds can be traded throughout the day at the net asset value of the underlying bonds.

Which of Trey’s reasons for choosing bond mutual funds as an investment vehicle is correct?

选项:

A.

Reason 1

B.

Reason 2

C.

Reason 3

解释:

Correct Answer: B

B is correct. Although a significant spread between the market price of the underlying fixed-income securities portfolio and an ETF’s NAV should drive an authorized participant to engage in arbitrage, many fixed-income securities are either thinly traded or not traded at all. This situation might allow such a divergence to persist.

是不是 Total return swaps transaction costs 大于 mutual funds. ; initial cash outlay 小于 mutual funds呀

1 个答案

发亮_品职助教 · 2025年06月23日

total return swap的transaction costs和initial cash outflow都小于mutual fund。

这是原版书的原句:

The potential for both a smaller initial cash outlay and lower swap bid–offer costs compared with the transaction costs of direct purchase or use of a mutual fund or ETF...


需要注意的是,这个对比是比较交易相同的交易量时,TRS的交易成本更小,initial cash outflow更小。


initial cash outflow就是期初构建策略的成本。直接买债券、mutual fund和ETF,都是无杠杆的投资方式。要获得100万的头寸,就需要实打实投资100万。

但是total return swap是衍生品带有杠杆,要获得100万的头寸,只需和对手方签订合约即可,可能需要缴纳一定的保证金or抵押品,如按10%缴纳。那也只需10万的资金就可撬动100万的头寸。所以获得同样的头寸,swap的期初投入成本更低。


和直接交易债券、mutual fund与ETF相比,swap有更低的bid-offer costs(交易成本)。

直接交易债券的话,有交易成本,流动性差的债券有高bid-ask spread,有债券交易的市场冲击成本等等,整体transaction costs较高。

交易ETF也存在交易佣金的transaction costs,市场冲击成本,以及买卖价差bid-ask spread,整体transaction cost也较高。

mutual fund存在申购与赎回的交易费用,这些费用整体也不低。

关于transaction costs的讨论是一般情况下的总结,会出现一些反例,需要注意看题目描述。但如果题目没做说明,我们认为TRS的交易成本更低。

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