ETF你已被警告
瑞银（UBS）“德尔塔一号”交易台一名所谓“流氓交易员”造成 20 亿美元损失，此事再次引发人们对几个话题的关注：银行在经营不透明金融产品时风险管理（或者说缺乏风险管理）的问题，拆分投资银行与零售银行业务的必要性，以及交易所交易基金（ETF）本身固有的风险。
The losses of $2bn incurred by an allegedly rogue trader on the Delta One desk at UBS have again raised the subject of the (lack of) risk controls by banks dealing in opaque instruments, the need to separate investment and retail banking and the risks inherent in ETFs.
过去一年里，我写过一些文章，讨论 ETF 中未得到充分认识的风险，现在或许到了更新这些想法的时候。
I have written over the past year about the unappreciated risks in ETFs and it is probably time to bring these thoughts up to date.
许多投资者将 ETF 与指数基金等同视之。但显然两者并不相同：
ETFs are regarded by many investors as the same as index funds. They clearly are not:
1. 一些 ETF 并不持有其所追踪的那类实物资产。它们是“合成型”ETF，持有的是衍生品。这就产生了交易对手风险，而且正如我们在瑞银事件中看到的那样，在提供一篮子衍生品的交易对手内部，也存在一些值得关注的风险。如果此类 ETF 交易导致某个交易对手遭受巨额损失，而该交易对手又没有足够资本承担损失并按衍生品合约支付赔款，那会怎样？答案是——这只 ETF 将会违约。
1. Some ETFs do not hold physical assets of the sort they seek to track. They are "synthetic" and hold derivatives. This gives rise to a counterparty risk, and as we saw with the UBS incident, some interesting risks within the counterparties supplying the basket of derivatives. What if (when?) such ETF trades cause such a mammoth loss in a counterparty which does not have sufficient capital to bear the loss and pay out under the derivative contract? Answer-the ETF will fail.
2. ETF 并不总是像人们预期的那样与标的资产保持一致。由于每日再平衡和复利效应，你持有一只杠杆做多 ETF，在市场上涨但期间出现几次急跌的情况下，也可能亏损。同样，你持有一只反向 ETF（提供空头敞口），在市场下跌但期间出现几次急涨的情况下，也可能亏损。
2. ETFs do NOT always match the underlying in the way people expect. Because of daily rebalancing and compounding, you can own a leveraged long ETF and lose money over period when the market goes up but during which there are some sharp falls. Equally, you can own an inverse ETF (which provides a short exposure) during a period when the market goes down but there are some sharp rallies and lose money.
2008 年，一些反向 ETF 确实发生过这种情况。我强烈认为，人们不会预期自己在做多杠杆的情况下，市场上涨反而亏钱；也不会预期在做空的情况下，市场下跌反而亏钱。
This actually occurred with some inverse ETFs in 2008. I would strongly suggest that people would not expect to be leveraged long and lose money if the market goes up or short and lose it when it goes down.
3. 由于这些基金可以场内交易，对冲基金和银行利用它们建立头寸，也可以做空它们。因为创建份额来交割空头头寸看起来是可行的，所以市场上出现了 ETF 空头比例高达 1000% 的例子——也就是说，某些市场参与者的做空规模达到该 ETF 规模的 10 倍。如果这只 ETF 投资的是流动性较差的板块，你真的能指望创建份额来平仓吗？在流动性有限的板块，你可能根本买不到（或卖不出）标的资产。允许做空规模达到基金价值的数倍，而在这种领域可能无法通过买回股票来平仓，其危险性是显而易见的。但令人惊讶的是，在我与一些 ETF 鼓吹者辩论的过程中，他们竟然声称做空 ETF 不存在此类风险。他们显然不了解自己推销的产品，如果连他们都不了解，普通散户投资者又有多大机会了解呢？
3. Because you can exchange trade these funds, they are used by hedge funds and banks to take positions and they can short them. Because they can apparently rely upon creating the units to deliver on their short, there are examples of short interest in ETFs being up to 1000% short i.e. some market participant(s) are short 10 times the amount of the ETF. If the ETF is in an illiquid sector, can you really rely upon creating the units as you may not be able to buy (or sell) the underlying assets in a sector with limited liquidity? The danger of allowing short sales which are a multiple of the value of a fund in an area where it may not be possible to close the trades by buying back the stocks are clear, but amazingly, during the debate in which I have been engaged by various cheer leaders for ETFs, they have claimed that there is no such risk in shorting ETFs. They clearly do not understand the product they are peddling, and if they can't what chance has the retail investor got?
4. 尽管 ETF 被标榜为低成本产品，但对不少供应商来说，它也是最赚钱的资产管理产品。这种明显的矛盾如何解释？答案是，ETF 的管理费只是成本的一部分。供应商为 ETF 进行的合成交易和衍生品交易中还含有隐性成本。
4. Although ETFs are billed as low cost they are also the most profitable asset management product for a number of providers. How can this apparent contradiction be so? The answer is that the charge for managing the ETF is only one part of he cost. There are also the hidden costs in the synthetic and derivative trades which the provider undertakes for the ETF.
鉴于以上种种，我一直认为并撰文指出，ETF 肯定存在向零售市场误售的问题，而且在运营、构建、交易和持有这些产品过程中承担的风险，也没有得到充分理解。瑞银事件之后，我认为这一点应当被视为不争的事实。
As a result of all this I have long thought and written that there is a certainty that ETFs are being mis-sold to the retail market and that the risks that are being incurred in running, constructing, trading and holding them are not sufficiently understood. After the UBS incident I think this should be regarded as indisputable.