Financial Analysts Journal· VOL73,NO.1· Jan Feb 2016.

開放式基金定價的低效率

作者：Antti Petajisto (portfolio manager at LMR Partners, London)

摘要：盡管套利機制允許被授權的參與者購買和贖回标的投資組合的份額，開放式基金（ETFs）的價格仍然會顯著偏離其資産淨值。偏離值通常在200個基點範圍内，在持有國際證券或非流動性證券的基金中範圍可能會更大。為了改善标的資産的陳舊定價，我引入了一種新穎的方法，使用一組類似ETFs的橫截面價格。平均定價範圍在大約100個基點上仍然是經濟意義上顯著的，在某些資産類别中甚至有更大的誤差。利用這種低效率構建的主動交易策略能在未考慮交易成本前産生相當大的異常回報，這進一步證明ETF價格的短期均值回歸。

Inefficiencies in the Pricing of Exchange-Traded Funds

Antti Petajisto (portfolio manager at LMR Partners, London)

ABSTRACT

The prices of exchange-traded funds (ETFs) can deviate significantly from their net asset values (NAVs), in spite of the arbitrage mechanism that allows authorized participants to create and redeem shares for the underlying portfolios. The deviations, typically within a band of about 200 bps, are larger in funds holding international or illiquid securities. To control for stale pricing of the underlying assets, I introduce a novel approach that uses the cross section of prices on a group of similar ETFs. The average pricing band remains economically significant at about 100 bps, with even larger mispricings in some asset classes. Active trading strategies exploiting such inefficiencies produce substantial abnormal returns before transaction costs, providing further proof of short-term mean reversion in ETF prices.

原文鍊接： http://dx.doi.org/10.2469/faj.v73.n1.7

翻譯：趙勝旺