ETF比我想象的更糟
1 月 11 日，我发布了致基金史密斯股票基金持有人的首封年度信函。在信中，我对交易所交易基金（ETF）这一投资热潮提出了一些批评。
On 11th January I published my first annual letter to the holders of the Fundsmith Equity Fund. In it I levelled some criticisms at the investment fad for Exchange Traded Funds ("ETFs").
我最基本的担忧之一，是认为 ETF 存在被误导销售的风险。我怀疑许多散户投资者以为 ETF 与指数基金是一回事。有些确实如此，但很多并非如此。尤其是，做空 ETF 和杠杆 ETF 的表现，可能明显偏离那些以为它们就是指数基金的投资者的预期。举些例子并不难：在波动剧烈的时期，即使市场上涨，投资者也可能在杠杆做多 ETF 上亏损；或者市场下跌但期间出现几次急涨，持有做空 ETF 的投资者同样会亏钱。问题就出在 ETF 的每日复利机制上。
One of my basic concerns was that I thought there was a danger of ETFs being mis-sold. I suspect a lot of retail investors think that ETFs are the same as index funds. Some of them are, but many aren't. In particular, the performance of short ETFs and leveraged ETFs may diverge markedly from what an investor who believes they are simply index funds would expect. It isn't hard to give examples in which investors would lose money on a leveraged long ETF if the market went up over a period of significant volatility, or in which they lost money owning a short ETF and the market went down over a period in which there were some sharp rallies. The problem is with the daily compounding of ETFs.
此外，许多 ETF 并不持有其试图跟踪的一篮子标的证券或资产，而是与交易对手方（往往是作为 ETF 发起人的银行）签订资产互换协议，以模拟相关指数或资产的表现。这种安排在交易对手风险和抵押品方面存在明显的隐患，正是这类问题在信贷危机期间引发了诸多麻烦。
Plus many ETFs do not contain a basket of the underlying securities or assets which they are attempting to track. Instead they hold asset swap agreements with a counterparty (often the bank which is the ETF sponsor) which aim to replicate the performance of the index or asset concerned. There are obvious dangers in such an arrangement in the areas of counterparty risk and collateralisation of the sort which caused so many problems during the Credit Crisis.
这里有个很好的风险实例：PEK 基金，即纽约证券交易所上市的 Market Vectors 中国 A 股 ETF。除持牌机构外，外国投资者购买在上海或深圳上市的 A 股属于违法行为。因此，这只 ETF 持有的是与持牌经纪商签订的互换协议，而这些经纪商才有资格持有标的股票。如果 PEK 持有 A 股流通盘的很大一部分，而其持有人试图快速清仓，那场面可就热闹了。
A good example of the potential risks here is given by PEK, the NYSE listed Market Vectors China A Shares ETF. It is illegal for foreign investors other than licensed institutions to buy A Shares listed in Shanghai or Shenzhen. So the ETF owns swaps with brokers who are licensed to hold the underlying shares. If PEK owned a significant portion of the float in A Shares and its holders tried to liquidate at speed it might be interesting.
一些评论人士声称，我们不必太担心散户投资者误解 ETF，因为至少在欧洲，ETF 主要由机构投资者使用。这当然忽略了一两个关键点。其一，许多这类“机构”背后的客户其实是个人投资者——他们真的理解自己的私人财富管理者用 ETF 承担的风险吗？另外，5 月 9 日，《金融时报》的 FTfm 副刊登了一篇文章，指出欧洲散户直接参与 ETF 的程度不高，而就在同一天，该副刊的整版广告由 Amundi ETF 赞助。那天，进伦敦的通勤者被派发印有 Amundi ETF 广告的光鲜小册子，还有一个时髦的塑料信用卡/通勤卡套，上面印着标语：
Some commentators claim we need not worry much about retail investors misunderstanding ETFs as in Europe at least, they are mainly utilised by institutional investors. This of course misses a couple of vital points. One is that the underlying clients for many of those "institutions" are individual investors - do they really understand the risks their private wealth manager is running with ETFs? Also the Financial Times FTfm supplement carried an article on 9th May pointing out this lack of direct retail involvement in ETFs in Europe on the same day as the wrap around advert for its supplement was supplied by Amundi ETF. On that day commuters coming into London were being given handouts of glossy brochures on Amundi ETFs plus a natty plastic credit card/season ticket wallet emblazoned with the slogan
“Amundi ETF 不止是又一只指数追踪基金”
"Amundi ETF More than just another tracker"
Quite so.
Quite so.
照这个势头，我们可能很快就要担心散户直接参与 ETF 的问题了。
At this rate we may soon have to worry about the direct retail involvement in ETFs.
然而，ETF 还有一个比误解或误导销售更隐蔽、或许也更危险的隐患。ETF 实际上是一种混合型工具，兼具开放式基金（或共同基金）与封闭式基金的特征。买入或赎回所谓“创设单位”的方式与开放式基金相似，但同时也可以在二级市场交易，表面上看提供了实时流动性。
However, there is another and perhaps more pernicious danger with ETFs than misunderstanding or mis-selling. An ETF is in effect a hybrid vehicle which combines features of an open-ended or mutual fund with those of a closed-end fund. They are like open-ended funds insofar as a purchaser buys or redeems so-called creation units. But they are also tradable in the secondary market, so ostensibly providing real time liquidity.
二级市场交易带来了市场参与者做空 ETF 本身的可能性。而且，ETF 的卖空没有上限，不像股票那样受限。在普通股票中，卖空受到限制，因为卖空者必须借到股票才能交割完成卖出交易。而 ETF 的卖空者总能依赖 ETF 份额的创设机制来确保自己能够交割。
Secondary trading activity brings with it the possibility that market participants will short the ETFs themselves. And there is no limit to the short selling, which is possible in an ETF, in the same way that there is in an equity. In an ordinary equity, the short-selling is limited by the ability of the short sellers to borrow the stock so that they can deliver it to complete their sell bargains. In an ETF a short seller can always rely on the process of creating shares in the ETF to ensure he can deliver.
这就导致一种可能：ETF 份额的买方其实是从卖空者手中买入，而新的份额尚未被创设。那些从卖空者手中买入的投资者，并不拥有对 ETF 基础证券篮子或互换合约的索取权，他们拥有的只是卖空者交付 ETF 份额的承诺。
This leads to the possibility that a buyer of an ETF share is buying from a short seller and that no new share has yet been created. The investors who buy from the short sellers don't own a claim on the underlying basket of securities or swap in the ETF, they own a promise to deliver the ETF share given by the short-seller.
由此引发的问题是，由于这一过程不会创设新的 ETF 份额，ETF 的资产可能远低于未平仓的累计买单所暗示的水平。考虑到有报道称部分 ETF 的卖空比例高达 1000%，这是一个重大问题。
The problem this causes is that as no new shares are created in the ETF by this process, the assets of the ETF may become significantly less than the outstanding cumulative buy orders would suggest. This is a significant problem given reports that there has been short-selling up to levels of 1000% short in some ETFs.
你可能会想，一劳永逸地解决这种风险的办法，是让 ETF 发起人创设出累计买入兴趣所代表的全部份额，但这说起来容易做起来难。拿 IWM 这样的 ETF 来说，其空头头寸最近超过了 100%，即 150 亿美元。IWM 投资于罗素 2000 美国小盘股指数。要在该指数的一篮子股票上投入 150 亿美元，大约需要一周的交易时间——这还是假设 ETF 的创设是这些股票唯一的交易活动。轧空的空间大得惊人。
You might think that one way to overcome the risks involved in this at a stroke is for the ETF sponsor to create the shares represented by the cumulative buying interest, but this may be easier said than done. Take an ETF like IWM in which the short interest recently exceeded 100% or $15bn. IWM invests in the Russell 2000 US small cap index. To invest $15bn in the basket of stocks involved would require about a week's trading and that is if the ETF creation was the sole trading in those stocks. The scope for a short squeeze is tremendous.
最终的结果是，在整个 ETF 资产类别中，ETF 购买者以为已投入 ETF 的那部分资金，实际上通过新份额的创设，被借给了对冲基金。ETF 的持仓并不全都由投资者预期的那种资产作为支持，即使他们明白 ETF 本应做什么。
The net result is that across the entire ETF asset class portion of the funds which ETF purchasers think have been invested in ETFs, via the creation of new shares, has in effect been lent to hedge funds. The ETF holdings are not all backed by assets of the sort investors expect, even if they understand what the ETF is meant to do.
也许正是这些鲜为人知的结构性问题，解释了为什么去年 5 月闪电崩盘中 70% 的被取消交易发生在 ETF 上，而 ETF 在美国已发行证券中占比仅 11%。
Perhaps these little understood structural issues explain why 70% of the cancelled trades in last May's Flash Crash were in ETFs when ETFs represent only 11% of the securities in issue in the US.
此外，对于像 PEK 这样的 ETF，很难搞清楚其空头头寸真正代表什么，因为做空中国 A 股是违法的。
Moreover, in the case of some ETFs such as PEK it is difficult to fathom what the short interest in PEK really represents as it is illegal to short China A shares.
这个领域的另一个问题最近摆到了我的案头：一家从事 ETF 交易业务的公司提出了筹资计划。当然，这里不提名字，但它专门针对交易量较低的 ETF 进行交易、套利和做市。这家公司自称是一家“资本金相当薄弱的实体”。这让人想起信贷危机时的影子银行体系。它还形容 ETF 领域的发展速度“快得惊人”。我只是好奇，最后谁的脖子会被折断。
Another example of the issues in this sector which recently crossed my desk was a fund raising proposition for a business which undertakes trading in ETFs. It shall of course remain nameless, but it trades, arbitrages and makes prices in ETFs with a particular focus on the less traded ETFs. This company describes itself as a 'fairly thinly capitalised entity'. There are echoes of the parallel banking system in the Credit Crisis here. It also describes the pace of development in the ETF area as 'breakneck'. I just wonder whose neck will eventually get broken.