1、INVESTMENTS|BODIE,KANE,MARCUSCopyright 2011 by The McGraw-Hill Companies,Inc.All rights reserved.McGraw-Hill/IrwinCHAPTER 4 Mutual Funds Other Investment Companies Curriculum name:Investment 投资学Curriculum teacher:Ying Dong 董莹 Major:Finance 金融学专业INVESTMENTS|BODIE,KANE,MARCUS4-2Investment Companies 定义
2、：定义：Pool funds of individual investors and invest in a wide range of securities or other assets.功能 Services provided:Administration&record keeping记账管理 Diversification&divisibility分散化与分割性 Professional management专业化管理 Reduced transaction costs降低交易成本http:/ Asset Value 资产净值Calculation:Market Value of As
3、sets-Liabilities Shares OutstandingINVESTMENTS|BODIE,KANE,MARCUS4-4Types of Investment Companies(redeemable trust certificates)单位投资信托Fixed portfolio of uniform assetsUnmanagedSponsors earn profit by selling shares at a premium to the cost of assetsTotal assets have declined from$105 billion in 1990
4、to$29 billion in early 2009INVESTMENTS|BODIE,KANE,MARCUS4-5Types of Investment Companies投资管理公司 Open-End 开放型基金（not trade on organized exchanges）Fund issues new shares when investors buy in and Redeems shares when investors cash out Priced at Net Asset Value(NAV)Closed-End 封闭型基金（trade on organized exc
5、hanges）no change in shares outstanding;old investors cash out by selling to new investors Priced at premium or discount to NAV like stocks INVESTMENTS|BODIE,KANE,MARCUS4-6Types of Investment CompaniesNot formally organizedCommingled funds 综合基金 Offer unit not share,like open-end Trust or retirement a
6、ccount;By bank or insurance company(money/bond/stock funds)REITs 不动产投资信托(高杠杆/负债率在70%以上)Like closed-end Equity trust&Mortgage trust（object）By bank,insurance or mortgage company Hedge Funds 对冲基金(私人合伙/免监管/富有或机构投资者)http:/ Funds:Open-End Investment Companies Money Market 货币市场基金 Equity 股权基金 Sector 行业基金 Bo
7、nd 债券基金（by issuer/maturity）Balanced 平衡型基金 Asset Allocation and Flexible 资产灵活配置型基金 Index 指数基金 Global/International/Regional/Emerging 全球/国际/区域/新兴市场基金INVESTMENTS|BODIE,KANE,MARCUS4-8Table 4.1 U.S.Mutual Funds by Investment Classification8Junk INVESTMENTS|BODIE,KANE,MARCUS3-9Exercise 11.Does Mutual Fund
8、s mean a fixed portfolio of uniform assets?2.Can a Open-end Fund Priced at premium or discount to NAV like stocks?Why?3.Does Index Fund replicate the composition of stock price index and is relative low-cost?INVESTMENTS|BODIE,KANE,MARCUS4-10How Funds Are Sold1.Direct-marketed funds 基金承销商直接交易2.Sales
9、force distributed 通过销售商的经纪人间接交易 Revenue sharing on sales force distributed Potential conflicts of interest3.Financial Supermarkets 金融超市 Not charging sales commission不收佣金 Unified record offered by different complexes 尽管由不同个体提供，但有统一交易记录 Higher expense ratios passed along the cost of participating in t
10、hese programsINVESTMENTS|BODIE,KANE,MARCUS4-11Costs of Investing in Mutual Funds Fee Structure:Four types1.Front-end load 前端费用（broker commissions;paid once/at first）购买股份时需要支付的佣金或销售费用，支付给出售基金的经纪人2.Operating expenses 运营费用（reduced from P value）管理资产组合时产生的成本，支付给投资管理人的管理费和咨询费3.Back-end load 撤离费用（paid only
11、 once）出售基金份额时的赎回或撤出费用，一般期初5%，递延每年减少1%4.12 b-1 charge（distribution costs+broker commissions,paid annually）Fees must be disclosed in the prospectus 募股书中说明 Share classes with different fee combinations Soft dollarshttps:/ 4.2:Fees for Various Classes(Dreyfus Worldwide Growth Fund)Operating INVESTMENTS|
12、BODIE,KANE,MARCUS4-13Table 4.2 Impacts of Costs on Investment Performance假设一位投资者期初持有为1万美元，有三种投资机会，每只基金的费前年收益率均为12%，但结构差异如下：INVESTMENTS|BODIE,KANE,MARCUS4-14Fees and Mutual Fund Returns:An ExampleInitial NAV=$20Income distributions 收入分配 of$.15Capital gain distributions 资本利得分配 of$.05Ending NAV=$20.10:
13、$20.10-$20.00+$.15+$.05Rate of Return=1.5%$20.00100NAVNAV Income and capital gain distributionsRate of return=NAVINVESTMENTS|BODIE,KANE,MARCUS4-15Improper Trading1.Late trading accepting buy or sell orders after the market closes and NAV is determined2.Market timing rapid in-and-out trading on stale
14、 net asset valuesNet effect is to transfer value from ordinary shareholders to privileged tradersMutual funds penalized for improper trading.New rules to prevent these practicesINVESTMENTS|BODIE,KANE,MARCUS4-16Taxation of Mutual Fund Income Pass-through status under the U.S.tax code Taxes are paid o
15、nly by the investor Fund investors do not control the timing of the sales of securities from the portfolio(capital gains+dividends are typically paid out to shareholders once or twice a year at fixed period)High portfolio turnover leads to tax inefficiency Average turnover=60%（股权基金）Average turnover=
16、2%（指数基金）？which is better？孰优孰劣INVESTMENTS|BODIE,KANE,MARCUS4-17Exchange Traded Funds（Open）Examples:“spiders”,“diamonds”and“cubes”Potential advantages:Trade continuously like stocks Can be sold short or purchased on margin Lower costs Tax efficient Potential disadvantages:Prices can depart by small am
17、ounts from NAV Must be purchased from a brokerhttp:/ 4.2 Growth of U.S.ETFs over timeINVESTMENTS|BODIE,KANE,MARCUS4-19Table 4.3 ETF Sponsors and ProductsINVESTMENTS|BODIE,KANE,MARCUS4-20Mutual Fund Investment Performance:A First Look Performance of actively managed funds:below the return on the Wils
18、hire index in 23 of the 39 years from 1971 to 2009 Evidence for persistent superior performance(due to skill and not just good luck)is weak,but suggestive Bad performance more likely to persisthttp:/ 4.3 Diversified Equity Funds versus Wilshire 5000 IndexINVESTMENTS|BODIE,KANE,MARCUS4-22Table 4.4 Co
19、nsistency of Investment ResultsINVESTMENTS|BODIE,KANE,MARCUS4-23Information on Mutual Funds Funds prospectus describes:investment objectives 投资目的 Fund investment adviser and portfolio manager 投资顾问与投资组合管理人 Fees and costs 成本费用 Statement of Additional Information(SAI)Funds annual reportINVESTMENTS|BODI
20、E,KANE,MARCUS3-24Exercise 21.Does Financial Supermarkets Not charging sales commission with Unified record offered by different complexes?2.Does 12 b-1 charge including distribution costs and broker commissions?paid only once?3.Can ETF be sold short or purchased on margin and Prices can depart by sm
21、all amounts from NAV?INVESTMENTS|BODIE,KANE,MARCUS4-25Information on Mutual Funds Wiesenbergers Investment Companies Morningstar()Yahoo( Company Institute(www.ici.org)Directory of Mutual FundsINVESTMENTS|BODIE,KANE,MARCUS1-26Homework1.请试着梳理我国各类基金特征、交易特点与优劣2.某开放式基金的发行价格为12.3元/单位，前端费用为5%，它的资产净值是多少；反过来
22、，若某开放基金的资产净值为10.7元/单位，前端费用为6%，发行价格应为多少？3.（1）B开放型基金期初资产净值为39.4元，年末资产净值为40元，基金支付1.5元的收入分配，其收益率？（2）A封闭型基金投资组合现值为2亿元，负债300万元，发行在外总份额为500万份，该基金资产净值为多少；若在购买该基金时每份36元，出售时每份40元，且其间基金支付1.5元的收入分配，若资本利得税为20%，其税后收益率？INVESTMENTS|BODIE,KANE,MARCUS投资基金与股票、债券、银行储蓄差异 4-27项目项目投资基金投资基金股票股票债券债券银行储蓄银行储蓄经济关系不同一般为信托关系所有权关
23、系债权债务关系信贷关系资产管理者基金经理证券公司证券公司信贷经理资金使用者上市或非上市公司上市公司债券发行人贷款人募集方式公募或私募公募公募存款投资方式间接直接直接直接风险较高最高较低最低收益较高最高较低最低INVESTMENTS|BODIE,KANE,MARCUS私募股权基金比较4-28名称名称投资对象投资对象获利方式获利方式风险与回报风险与回报特点特点创业投资基金种子期、初创期上市、股权转让、清算风险大、回报高资金规模较大并购投资基金成熟对外并购控股、重整上市再出售风险大、回报高获得控制权重振基金有实力、发展前景好但财务困境重振、改组风险较小帮脱财务困境夹层资本初步融资不足、预备上市上市、股权转让收益介于债券股权间综合股权和债券过桥基金IPO或私募融资前业绩良好但缺少现金短期贷款的利息收入，股权套现收益风险小、回收快时间短、一般一年以内发展资本扩充阶段不控股，重组后出售风险小不以控制为目标FOF其他私募股权基金构建投资组合获利风险很小，收益少双重专业理财，双重风险分散
