Financial Analyst Journal, Volume 73, Issue 1, First Quarter 2017

交易型开放式指数基金定价的低效率

作者：Antti Petajisto (portfolio manager at LMR Partners)

摘要：尽管套利机制允许被授权的参与者创建和赎回标的组合的份额，但是交易型开放式指数基金(ETFs)的价格还是显著偏离其资产净值。偏差通常在200个基点左右，若基金中有国际或非流动性证券则偏差更大。为控制标的资产定价，本文引入新方法，即使用一组类似ETFs的横截面价格。平均价格区间偏差在100个基点左右时经济意义依然显著，然而在一些资产类别中偏差会较大。积极的交易策略利用这种低效率在除去交易成本产生之前产生巨大的异常收益，进一步证明了ETF价格存在短期均值反转。

Inefficiencies in the Pricing of Exchange-Traded Funds

Antti Petajisto (portfolio manager at LMR Partners)

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.

原文链接：

https://www.cfapubs.org/doi/abs/10.2469/faj.v73.n1.7

翻译：秦秀婷