我国推出交易所交易基金(ETF)可行性研究(1)

ShanghaiStockExchangeJointResearchProgram,2001(ETF)1ETFExchange-TradedFundETFICIETFETFETF90ETF150ETF900ETF200086S&P5001996199919981999ETF2000ETFETFETFETFETFETFETFETFETFETFETFETFETF2.................................................21.ETF...................41.1.ETF.........................................41.2.ETF.........................................71.3.ETF..................................81.4ETF.............................91.5.ETF..............................121.6ETF........................................151.7ETF1............172ETF....................................192.1.....................................192.2.........................................202.3.........................................232.4.......................................232.5.........................................243ETF...........................243.2ETF.................................263.3ETF...........................293.4ETF..........................313.5ETF.................................314ETF.........................324.1CHINA-ETFS...........................324.2................................354.3.ETFS..............37.............................................391ETF231.ETF1.1.ETFETF(SEC)ETFETFETFETFETFretailinvestorETFETFETF1ETFETF1%-3%0.1%-0.5%1%-15%2%-4%1%-3%0.12%0.7%-2%0.5%-2.5%1ETFETFETF1.1.1ETFETF20017150ETFETFETFETFETFETF41.1.2ETF()ETFETFETFETFETFOptionETF1.1.350%60%20%ETFETFMorningStar34embeddedcapitalgainsETFETFETFETFETFETFETFETF1.1.4ETFETFETFETFETFETFETFETFETFETFiSharesS&P50090.01%SPDRs12ETFETF5ETF500152ETFETF0.100.502.005.000.100.502.005.003ETFETF15.0010.0050.00200.0020.501.500.50-1.50120.0250.150.25-3.000.100.501.001.500.125-0.651.25-4.50SSgAETFETFETFETF(bid-askspread)ETF1.1.5ETFETFETF/ETF/ETFETF()ETFETFETFETFETFETF(ETF)ETFETFSPDRSPDR()1.1.6ETFETFETFETF1991ETF6ETFETF500100ETF4ETFETFETFETFETF4S&P500ETFIVVISharesS&P500SPAActiveS&P500FuturesRound-TipCommission5.891.20Bid-AskSpread8.003.66ManagementFee9.450.00MispricingRisk0.007.96RollRisk0.0028.33MarketImpact6.005.3229.3442.82SalomonSmithBarney,UBSWarburgLLC,CreditSuisseFirstBoston.ETF1ETFETF2ETF3Bid/askspreadissuesETFETFPremiumdiscount4(5)reinvestETFdividendcashdraginterest-bearingaccountETF(6)ETFETF1.2.ETFETF(portfoliotradingorprogramtrading)(Gastineau,2001)7080S&P500S&P5007exchangeoffuturesforphysicals,EFPETF(retailinvestors)ETFIndexDepositReceipts(IndexShares)IndexParticipationUnitsETFTSE1990TorontoIndexParticipationUnits,TIPS2000TIPSS&P/TSE60IndexShareTIPsAMEX199329SPDRsStandardandPoor’sDepositoryReceipts1002501.3.ETFETFAMEX1995400S&PMidCap400Index1996318AMEXMSCIETFWEBstheWorldEquityBenchmarkShares199820DowJones&CompanyETFDIAMONDSSPDRs100QQQHOLDRsETFETFEuronextETFETF(SSGA)SPDRETF98ETFETFETFETFETFETFETFETFETFETFETF2001EverestFundsFundsFundQQQDiamondsSPDRETFETFETFETFETFETFETFETFETFSECETFETFWEBSETFenhancedindexing8ETFETFETFBarclaysGlobalInvestorsCanada5ETFiG510ETFiG10ETFETFETFETFiG5iG10ETF1.4ETF1.4.1ETFIndexInvestingactivestrategiespassivestrategies▪▪200051988199810S&P50031972199850S&P5009171970198019801990197019808.6198019900.3519881998500+448.88+18.56+313.05+15.2491.4.21231.35%0.44%0.20%iSharesBarclaysGlobalInvestorsAnalysisofMorningstardata,12/31/99.1110.44ETFiSharesiShares0.2041938199219972.321998281972199815.8014.2081050012975005001500Russell3000Wilshire5000FT-SE10010345005001998S&P5002840.310AOLCISCODELLGELBULucentTechnologiesMCIWorldcomMicrosoftWalMart1.4.3ETF701980100199610000580402KCBT1982CBOE198320011130211010853051015202530352(%)ETFETFETF1.5.ETF1.5.1ETFETFUnitInvestment(MutualFund)GrantorTrustsETF66ETFUITMutualFundGrantorTrustsSPDRDIAQQQISharesSectorSPDRsHOLDRsUIT1940UIT1.5.2ETFETFETFETF(CreationUnit)ETF12ETF3ETF1.5.3ETF3(ETFETFETFETFETFETFETF(3)ETFETFETFETFETF)()500SPDRPDRServiceSPDRPDRService500ETFSPDR137SPDRSPDR**SSgADTC/DTCStateStreetSpearLeeds**SECALPSMutualFundServicesETFEETFETFHOLDRsETFCreationUnitSPDR500001500750()TFETFETFETFETFETFETFETFETFETFETF/()//ETF14ETFETF1.6ETF1.6.1(CashEquitization)EETFETFETFETFETFETF1993S&P500SPDR2000255ETF36%ETF17%NASDAQNASDAQ-100QQQETF236ETF33%ETFSelectSectorSPDRsSPDRsETFHOLDRSETFSPDR1253.5ETFETFSPDRTIPS35TIPS35ETFETFSPYETFQQQETFEnergySectorSPDRDIAETFRussell10002000iSharesTFSPDRS&PSPDRSPY15SPDRT+3SPDRSPDRS&P500S&P5002501340335000SPDRSPY134SPDRETFETF1.6.2(AssetAllocation)DSVETFETFETFDSGDSVELGSPYDJIAFortune500ELVDGTDSGDGTTitansELVELGFORTUNE500FORTUNE500SPYS&P500DJIA4500SPDRETFstreetTRACKSsmETFFORTUNE500ETF4ETFSPY(SPDR)DIADowDIAMONDSSPDRs16ETF1.6.3(HedgingRisks)ETFETFETF1.6.4TransitionManagement1.7ETF1ETF1.7.1ETFETFETFETFETFSPDRETFSPDRETFETFETFETFETFETFETFETFETFETFETFETFmoreactiveETFETFETFETFETFETFETFETF17ETFETFETFETFParkSwitzer(1995)TIPsT351.7.2ETFtance,BA199661.7.3ETFGARCHETFGARCH1,1GARCHtTIPsSwitzer2000SPDRsS&P500LuMarsden20001996611ETFNZSE-10TeNZsTOP10TeNZsTOPTeNZsTeNZsTOPTeNZsTOPNZSE-1072TeNZsT35S&P500NZSE-10TeNZsETFParkSwitzer(1995)Banker'sAccepTIPsT35Switzer2000SPDRsS&P500SPDRsLuMarsden(2000)TeNZsTOPxttε18tttDUMxεαα++=10),0(~tthNε2tε12110−−++=tthhβββDUMtETF0ETF11αETFTIPsSPDRsGARCHTIPsTIPs0α1α1α0αSPDRSPDRs0