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Jwang · 2024年07月18日

如题

  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.

老师好，ETF的premium或discount会出现，但是会persist这个表达还是有问题吧？并不会一直持续可被套利？

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发亮_品职助教 · 2024年07月19日

这个表达没有问题，这是原版书的原句哈（many fixed-income securities are either thinly traded or not traded at all might allow such a divergence to persist to a much greater degree for a bond ETF than might be the case in the equity market.）


债券的ETF，他的二级市场价格与内在价值NAV之间会存在价差（divergence），并且这个价差可能会持续很久。


理论上讲，存在ETF一级市场与二级市场的套利机制，如果二级市场的价格与一级市场的构建ETF价格NAV不相等的话，投资者总可以低买高卖赚取价差，这种套利行为一定会推动着一级市场的价格NAV与二级市场的ETF价格一致，最终没有divergence。


但这也是理论状态。在债券的市场上，很多债券要么是流动性差，要么是根本没有交易，所以我们很难在一级市场上买入债券组装成ETF份额（diffcult to create ETF shares），于是即便内在价值NAV与ETF二级市场价有价差，也没办法执行套利。所以这个价差可能会比较大，or价差可能会persist比较长的时间。这是套利机制的限制导致的。


相比较的话，Equity的流动性更好，这种套利机制可以比较顺畅地执行，所以Equity ETF的这种价差相对小一点，且不太会持续。

Jwang · 2024年07月19日

明白了 谢谢老师！

发亮_品职助教 · 2024年07月21日

不用客气哈

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