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TZXคิดถึง · 2022年04月18日

ETF的成本不应该是dealer承担的吗?

NO.PZ2021101401000022

问题如下:

Howie Rutledge is a senior portfolio strategist for an endowment fund. Rutledge meets with recently hired junior analyst Larry Stosur to review the fund’s holdings.

Rutledge asks Stosur about the mechanics of exchange-traded funds (ETFs). Stosur responds by making the following statements:

  • Statement 1 Unlike mutual fund shares that can be shorted, ETF shares cannot be shorted.
  • Statement 2 In the ETF creation/redemption process, the authorized participants (APs) absorb the costs of transacting securities for the ETF’s portfolio.
  • Statement 3 If ETF shares are trading at a discount to NAV and arbitrage costs are sufficiently low, APs will buy the securities in the creation basket and exchange them for ETF shares from the ETF sponsor.

Which of Stosur’s statements regarding ETF mechanics is correct?

选项:

A.

Statement 1

B.

Statement 2

C.

Statement 3

解释:

B is correct.

Statement 2 is correct. A significant advantage of the ETF creation/ redemption process is that the AP absorbs all costs of transacting the securities for the fund’s portfolio. APs pass these costs to investors in the ETF’s bid–ask spread, incurred by ETF buyers and sellers. Thus, non-transacting shareholders of an ETF are shielded from the negative impact of transaction costs caused by other investors entering and exiting the fund. In contrast, when investors enter or exit a traditional mutual fund, the mutual fund manager incurs costs to buy or sell investments arising from this activity, which affects all fund shareholders. This makes the ETF structure inherently fairer: Frequent ETF traders bear the cost of their activity, while buy-and-hold ETF shareholders are shielded from those costs. Investors cannot short mutual fund shares, but they can short ETF shares. Also, if ETF shares are trading at a discount to NAV and arbitrage costs are sufficiently low, APs will buy ETF shares and exchange them for the securities in the redemption basket. Statement 3 describes the scenario that would occur if the ETF shares are trading at a premium to NAV.

A is incorrect because Statement 1 is incorrect. Investors cannot short mutual fund shares, but they can short ETF shares.

C is incorrect because Statement 3 is incorrect. If ETF shares are trading at a discount to NAV and arbitrage costs are sufficiently low, APs will buy ETF shares and exchange them for the securities in the redemption basket. Statement 3 describes the scenario that would occur if ETF shares are trading at a premium to NAV.

我记得课上老师讲的是,AP只接收creation basket,而dealer直接对接投资者。

1 个答案
已采纳答案

星星_品职助教 · 2022年04月18日

同学你好,

在 ETF creation/redemption process中,AP承担所有成本,然后再传递给ETF的投资者。

这个知识点在这道例题里体现的更为清晰,可以两道题对比着看一下,都是同一个考点。

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NO.PZ2021101401000022问题如下 Howie Rutlee is a senior portfolio strategist for enwment fun Rutlee meets with recently hirejunior analyst Larry Stosur to review the funs holngs.Rutlee asks Stosur about the mechaniof exchange-trafun (ETFs). Stosur respon making the following statements:Statement 1 Unlike mutufunshares thcshorte ETF shares cannot shorteStatement 2 In the ETF creation/remption process, the authorizeparticipants (APs) absorb the costs of transacting securities for the ETF’s portfolio.Statement 3 If ETF shares are trang a scount to Nanarbitrage costs are sufficiently low, APs will buy the securities in the creation basket anexchange them for ETF shares from the ETF sponsor.Whiof Stosur’s statements regarng ETF mechaniis correct? A.Statement 1B.Statement 2C.Statement 3 B is correct.Statement 2 is correct. A significant aantage of the ETF creation/ remption process is ththe absorall costs of transacting the securities for the funs portfolio. APs pass these costs to investors in the ETF’s biask sprea incurreETF buyers ansellers. Thus, non-transacting shareholrs of ETF are shielfrom the negative impaof transaction costs causeother investors entering anexiting the fun In contrast, when investors enter or exit a trationmutufun the mutufunmanager incurs costs to buy or sell investments arising from this activity, whiaffects all funshareholrs. This makes the ETF structure inherently fairer: Frequent ETF trars bethe cost of their activity, while buy-anholETF shareholrs are shielfrom those costs. Investors cannot short mutufunshares, but they cshort ETF shares. Also, if ETF shares are trang a scount to Nanarbitrage costs are sufficiently low, APs will buy ETF shares anexchange them for the securities in the remption basket. Statement 3 scribes the scenario thwouloccur if the ETF shares are trang a premium to NAV.A is incorrebecause Statement 1 is incorrect. Investors cannot short mutufunshares, but they cshort ETF shares.C is incorrebecause Statement 3 is incorrect. If ETF shares are trang a scount to Nanarbitrage costs are sufficiently low, APs will buy ETF shares anexchange them for the securities in the remption basket. Statement 3 scribes the scenario thwouloccur if ETF shares are trang a premium to NAV. APs pass these costs to investors in the ETF’s biask sprea incurreETF buyers ansellers. AP承担了所有成本然后又传导给了和它做交易的投资者?

2023-03-25 22:57 1 · 回答