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

开放式基金定价的低效率

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

摘要：尽管套利机制允许被授权的参与者购买和赎回标的投资组合的份额，开放式基金（ETFs）的价格仍然会显著偏离其资产净值。偏离值通常在200个基点范围内，在持有国际证券或非流动性证券的基金中范围可能会更大。为了改善标的资产的陈旧定价，我引入了一种新颖的方法，使用一组类似ETFs的横截面价格。平均定价范围在大约100个基点上仍然是经济意义上显著的，在某些资产类别中甚至有更大的误差。利用这种低效率构建的主动交易策略能在未考虑交易成本前产生相当大的异常回报，这进一步证明ETF价格的短期均值回归。

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.

原文链接： http://dx.doi.org/10.2469/faj.v73.n1.7

翻译：赵胜旺