1、第四章共同基金與其他投資公司4-2投資公司它從個人投資者手中匯集資金再將其廣泛投資于各種證券或其他資產。提供的服務:記賬與管理分散化與可分割性專業(yè)化管理較低的交易成本4-3資產凈值計算公式: 資產的市值 負債 發(fā)行在外的股份數量4-4投資公司的類型單位投資信托固定統(tǒng)一的資產組合不需要積極的管理活動總資產從1990年的1050億美元下降到2009年的290億美元。4-5投資公司的類型投資管理公司開放式基金當投資者想要變現基金份額時，他們可以贖回或發(fā)行基金股份。以資產凈值(NAV)把股份再賣給基金4-6投資公司的類型投資管理公司封閉式基金發(fā)行在外的股份數量沒有變化；老的投資者想要變現的話必須將股份

2、出售給新的投資者。它的價格是資產凈值的溢價或折價。4-7投資公司的類型其他投資機構綜合基金Partnerships of investors that pool their funds. Designed for trusts or larger retirement accounts to get professional management for a fee. Operates similar to a mutual fund.Open-End and Closed-End Funds: Key Differences Shares OutstandingClosed-end: no

3、change unless new stock is offeredOpen-end: changes when new shares are sold or old shares are redeemed PricingOpen-end: Fund share price = Net Asset Value (NAV)Closed-end: Fund share price may trade at a premium or discount to NAV不動產投資信托Similar to closed end fund. Invest in real estate and real est

4、ate loans.Equity trusts purchase real estate.Mortgage trusts invest in mortgage and construction loans對沖基金 Similar to mutual funds, but not registered and not subject to SEC regulations.Available to institutional and high net worth investorsCan pursue investment strategies that are not allowed for m

5、utual funds. Grew from about $50 billion in 1990 to about $2 trillion in 2008.對沖基金對沖基金受到的約束與共同基金不同，一般不對外公布持有的證券組合。共同基金必須 披露投資策略在任意時刻允許份額贖回杠桿率受到限制不能持有空頭頭寸 對沖基金不受這些約束的限制出于對沖、投機和套利的目的，對沖基金使用復雜交易策略，已經成為衍生產品最大的用戶。期權、期貨及其他衍生產品（第八版） Copyright John C. Hull 201211對沖基金的交易策略股票多空對沖可轉換債券套利受壓（高風險）債券新興市場全球宏觀兼并套利期權

6、、期貨及其他衍生產品（第八版） Copyright John C. Hull 2012124-13共同基金：開放式投資公司貨幣市場基金 股權基金行業(yè)基金債券基金平衡型基金資產靈活配置型基金指數基金國際基金4-14表4.1 美國共同基金的投資分類14Funds & Investment ObjectivesDomestic Stock FundsAggressive Growth Growth Growth & e Countercyclical Investment characteristicsFocus on capital gains, low eHigh turnoverSubstan

7、tial potential for capital lossCompatible Investor GoalsLong time horizonFinancial ability to remain in the marketsAbility to handle losses*Morningstar fund definitionsSector, Small Cap Growth, Mid Cap Growth*Large Cap GrowthSmall, Med, Large BlendSmall, Med, Large ValueBear MarketFunds & Investment

8、 ObjectivesIndex Funds Investment characteristicsGoal is to duplicate the performance of an index or market sector.Low turnover, low expensesCompatible Investor GoalsInvestors who believe in efficient markets and are seeking market returns with minimal expenses and turnover.Stock funds still require

9、 ability to handle risk and staying power.Broad marketIndustry or market sectorInternational marketSize subsetFunds & Investment ObjectivesBalanced fundsAllocation Funds Target Date Funds Investment characteristicsHold both stocks and bonds, allocations may vary over timeTurnover variesHigher e, low

10、er capital gains & lower potential for capital lossCompatible Investor GoalsIntermediate to long time horizonWilling to face higher tax liabilitySome ability to handle lossesWorld, moderate, conservativeConvertiblesNear term (to 2014), Intermediate (2015-2029),Long term (2030+)Funds & Investment Obj

11、ectivesFixed e fundsFederal Government Corporate Investment characteristicsFocus on e and current yieldLower potential for capital loss, inflation risk higherCompatible Investor GoalsShort to moderate time horizon okayUnderstand tax liabilityAdds diversification, e and safetyShort, Intermediate, Lon

12、g Inflation ProtectedUltrashort, Short, Intermediate, LongHigh Yield, MultisectorEmerging Markets, WorldBank LoansFunds & Investment ObjectivesInternational Stock FundsForeign Global or World Geographic regionEmerging marketsInvestment characteristicsRisk varies, but can be high, FX exposureExpense

13、ratios can be highSubstantial potential for capital lossCompatible Investor GoalsLonger time horizonInvestor seeking diversification and/or higher returnsAbility to remain in the markets & handle lossesSize and Value/GrowthSize and Value/GrowthFunds & Investment ObjectivesMoney market fundsTaxableTa

14、x ExemptInvestment characteristicsFocus on safety of principal and eEarn more than on bank accounts with little additional riskCompatible Investor GoalsShort time horizonAdd stability to a portfolioPotentially large opportunity losses & inflation risk4-21如何出售基金直接交易基金通過銷售人員售出基金在銷售人員之間實現收入共享潛在的利益沖突金融超

15、市 4-22共同基金的投資成本費用結構：四種費用運營費用前端費用撤離費用12 b-1 費用費用必須在招股說明書上披露不同等級證券組合的費用類型也不同4-23例 4.2: 不同等級基金的費用(德弗萊斯首要成長基金)4-24費用與共同基金的收益:例如期初資產凈值 = $20獲得的收入分配 $.15資本利得 $.05期末資產凈值 = $20.10:4-25表 4.2 成本對投資業(yè)績的影響4-26延時交易和市場擇時延時交易 是指收市且資產定價已經確定之后接受買入指令或賣出指令的行為。市場擇時 快進快出，允許以逾期資產凈值的價格交易。凈效應是將價值從普通股持有者手中轉移到擁有特權的交易者手中。共同基金的

16、這種不正當交易行為受到了處罰。 新法規(guī)的實施制止了這種非法行為。4-27共同基金所得稅在美國稅收制度下，它具有轉手性質。稅賦僅由投資者承擔基金投資者不能控制投資證券組合中證券的銷售時間。投資組合換手率高的基金，其稅收無效率更加明顯。平均換手率 = 60%4-28交易所交易基金例如: “蜘蛛”, “鉆石” 和“立方體”潛在的優(yōu)勢:像股票一樣持續(xù)交易 可以賣空或用保證金買入低成本稅收優(yōu)勢潛在的缺陷:價格可能會小幅度的偏離資產凈值必須從經紀人手中購買4-29圖 4.2 美國交易所交易基金的發(fā)展狀況4-30表 4.3 交易所交易基金發(fā)起人及其產品4-31共同基金投資業(yè)績: 初步探討積極管理基金的業(yè)績:19712009年的39年間，其中23年的平均