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sophialinlinlin · 2024年04月21日

为什么reason 2能成为他对mutual fund有兴趣的原因？

  1. CFA III
  2. Fixed Income

NO.PZ2018120301000020

问题如下：

After providing Trey with advice on direct investment, Serena offered him additional information on alternative indirect investment strategies using (1) bond mutual funds, (2) exchange-traded funds (ETFs), and (3) total return swaps.

Trey expresses interest in using bond mutual funds rather than the other strategies for the following reasons.

1. Reason 1: Total return swaps have much higher transaction costs and initial cash outlay than bond mutual funds.

2. Reason 2: Unlike bond mutual funds, bond ETFs can trade at discounts to their underlying indexes, and those discounts can persist.

3. Reason 3: Bond mutual funds can be traded throughout the day at the net asset value of the underlying bonds.

Which of Trey’s reasons for choosing bond mutual funds as an investment vehicle is correct?

选项：

A.

Reason 1

B.

Reason 2

C.

Reason 3

解释：

Correct Answer: B

B is correct. Although a significant spread between the market price of the underlying fixed-income securities portfolio and an ETF’s NAV should drive an authorized participant to engage in arbitrage, many fixed-income securities are either thinly traded or not traded at all. This situation might allow such a divergence to persist.

虽然我明白，reason 1和3的表述直接是错的，但是为什么第二点能让他对mutual fund有兴趣呢？我觉得就算是ETF因为很难凑齐一篮子债券而导致不好套利，也不见得就一定要去投Mutual fund吧，还可以投TRS啊，不是更好吗？

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1 个答案

pzqa31 · 2024年04月22日

嗨，爱思考的PZer你好：


Reason 2实际上是Mutual fund相比ETF的优势：


对于Bond ETF来讲，ETF的市场交易价格非常有可能偏离自己的内在价值（NAV），并且这种价值的偏离可能会持续很长时间。主要是对于债券来讲，很多债券交易不够活跃，如果想从市场上买入债券拼凑成ETF进行套利就很难。由于这种套利机制很难执行，因此经常出现ETF的价格偏离其内在价值的情况。

那在这种情况下，对于ETF份额的卖方来说其实不是好事，因为如果要卖出份额，必须要以低于内在价值的市场价格卖。而如果是卖出Mutual fund的话，就不会存在这个情况。


而对于Mutual funds来讲就不存在这个问题，Mutual fund就是以NAV交易的，不存在交易价格偏离内在价值的问题。所以Reason 2依然是Mutual fund相对于ETF的优点。这里可以当成结论记一下。

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