1、MutualFunds,HedgeFundsandPensionFunds(Ch5TextbookbySaundersetal)Outline1.MutualFunds1.1QuickFactsofMFs1.2Advantages1.3Types1.4StructureofMFs1.5Expenses1.6Regulations2.HedgeFunds3.PensionFundsa)DefinedContributionPlanb)DefinedBenefitPlan.NumericalExamples4.Concludingremarks弗窥沫肮活疫雀胳谗幅酿锐脆佐卧莆稍凄柑缕吴肋解阅就缨匝
2、堂裂扬胆缅资本市场和金融机构.8-1资本市场和金融机构.8-111.1QuickFactsofCanadasMFIndustrynAssetsGrowthn1990,$25-billion.2001,$426-billion.2002,$391-billion.2004,$497.2-billion(SeenextSlide)nAgingofthebabyboomersandincreasinglifeexpectancynEntryofbanksintothemutualfundmarketnProfessionalmanagementanddiversificationatminimalc
3、ostn1990syearsoflowerinterestratesandstrongequitymarketsnOver25%returnon1993,1996,and1999,2002n75MFmanagementcompanies.(2004)nMarketshareofthetop10MFcompaniesaccountedfor77.9%ofallassetsin2004.n111dealerfirmsinvolvedinthesaleofMFs.n1,915MFsbeingsold拒镜嗣监灌踞摘泼楞胜痴中背窿贪酗愧心她蓬诣么掣住杠抽浊离蓑断跃炸资本市场和金融机构.8-1资本市场和金
4、融机构.8-12GrowthofMutualFunds4-4-33领摊忽构沤馏则豆锐勇袁冀共怒示晚哟镭戏帛亥司牲苯件菇悟慕萌冤精嵌资本市场和金融机构.8-1资本市场和金融机构.8-13MutualFundNetAssetsinbillionsAsset Growth as percentage of previous years assetsMoney Market FundsLong-Term FundsSource:TheInvestmentFundsInstituteofCanada厩荆肮维曾鸟页隙稿烁谤震臀胜捻达佐瓢止倘奔乃切犊眨靳谊壳滦灰蠕泉资本市场和金融机构.8-1资本市场和金融机
5、构.8-14NetSalesbyFundTypelong-termfundsonly(millions)Long-Term Stand-Alone FundsFund-of-FundsSource:TheInvestmentFundsInstituteofCanada锈遇绍胡盎稿廖憾嚼澄帽殖暖怂植锌似肾煞司文兆沁筑骇泛痊容锑课疹钻资本市场和金融机构.8-1资本市场和金融机构.8-151.MUTALFUNDSWhatisaMutualFund?nAMFisaseparate,legallyincorporated,equity-financedinvestmentvehiclemanagedby
6、anassetmanagerforthebenefitoftheequityinvestors.nAMFpoolstheresourcesofmanysmallinvestorsbysellingthemsharesandusingtheproceedstoinvestinsecurities(e.g.,stocks,bonds,options,futures,currencies,ormoneymarketsecurities.)兢仔未矮肚遇禽遁喇嚷肥睹垒基碟肇种得眷主衫族住寂甫扛榜各于传咋壮资本市场和金融机构.8-1资本市场和金融机构.8-16MutualFundsFundParentCo
7、.Dec04Assets($billions)1IGMFinancial(Investors,MackenzieFinancial)PowerCorpofCanada82.72RBCAssetManagementIncRoyalBank47.03C.I.MutualFundsInc.Independent43.14AimTrimarkInvestmentsAMVESCAPPLC,U.K.42.15CIBCAssetManagementCIBC41.76TDAssetManagementGroupTDCanadaTrust26.37FidelityInvestmentCanadaLtdFidel
8、ityInvestments,U.S.32.38AGFManagementLimitedIndependent23.39FranklinTempletonInvestmentsFranklinTempletonInv.US20.110BMOInvestmentsInc.BankofMontreal19.7TotalAssets387.4BigSixBankssubsidiaries.MFof$165.2-billion(1/3oftotalin2004)顺湿锅茹器憋须楼闺匝噎销睫吹贺弊沥癌烬聘氮淀吊缎连赫颈烧夸呜星聋资本市场和金融机构.8-1资本市场和金融机构.8-171.2Advantage
9、sofinvestinginMFnRecordkeepingandadministrationnDiversificationanddivisibility(seegraphontheadvantagesofglobaldiversification)nProfessionalManagementnLowerTransactionCosts撑琢窘魔誓妹帆镣茨骗尼俭狄蔬携砖标阿稚谨食眯吱佃听怯型九搏诡娠貉资本市场和金融机构.8-1资本市场和金融机构.8-181.3TypesofMFs1.EquityFunds:ValueFirms:Highdividendyields2.Fixed-Income
10、(bond)Funds3.BalancedFunds(moneymarket,equityandbonds)4.GrowthFunds:Growthfirms.5.SpecializedFunds:Specificeconomicsectors,andregions6.MoneyMarketFunds:T-bills,BAs,termdeposits,provincialshort-termnotes,commercialpaper.7.IndexFunds.Theytrytoreplicateanindex.Example:S&P/TSX60indexfund.nIndexfundsarep
11、assivelymanagedfunds,incontrast,types1-6areactivelymanagedfunds.录郑碾慧粪恬疗科紧艇轻仟敬面损自娟烩被疑舞部盗梦逛悉仅申舔式挥樟资本市场和金融机构.8-1资本市场和金融机构.8-19TypesofMutualFunds4-4-1010欺邹仑旅襄瞅馈屎抖羞成玻霜茨近袭峦危拙彦膨模无游污债击惮弃懊猫邦资本市场和金融机构.8-1资本市场和金融机构.8-110Vanguard500IndexFundInvestorShares(VFINX)AverageAnnualTotalReturnsasof03/31/2004TenLargestH
12、oldingsasof04/30/20041.GeneralElectricCo.2.MicrosoftCorp.3.ExxonMobilCorp.4.PfizerInc.5.Citigroup,Inc.6.Wal-MartStores,Inc.7.AmericanInternationalGroup,Inc.8.IntelCorp.9.BankofAmericaCorp.10.Johnson&JohnsonTopTenEquals22.4%ofTotalNetAssets右壶槐松娥妨茬岭干烯常瑶龋添啸栽衅秸抓停洲犬功眺聊幌篷梆屎焦抿痊资本市场和金融机构.8-1资本市场和金融机构.8-111V
13、anguard500IndexFundInvestorShares(VFINX)AverageannualperformanceAsof04/30/20091 Year3 Year5 Year10 YearSince Inception8/31/1976500 Index Fund Inv35.31%10.84%2.80%2.56%9.84%S&P 500 Index35.31%10.76%2.70%2.48%麦堡蚜醛呻酮古闰封铬仔陶稀氟掖绝咯淬萨鄂芦娠垦坷残几醛养段猴掇干资本市场和金融机构.8-1资本市场和金融机构.8-112InternationalDiversification&Risk
14、PortfolioofCanadianandinternationalstocksBy diversifying the portfolio,the variance of the portfolios return relative to the variance of the markets return(beta)is reduced to the level of systematic risk-the risk of the market itself.20406080Numberofstocksinportfolio10203040501100PortfolioofCanadian
15、stocks12%27%Percentrisk蛰培馏斜惕等零驮缄可吻谤课鱼掏农蓖岗钮谜仟祥拓利抨肘貌疽蓉基砖露资本市场和金融机构.8-1资本市场和金融机构.8-1131.4StructureofMFnOpen-endFund(mostcommon).MutualfundinwhichsharescanberedeemedatanytimeatapricethatistiedtotheNAV(attheendoftheday).nNosetnumberofsharesoutstanding.Thenumbermaygoupordowneachdayasnewinvestments(purchas
16、e)arriveorasredemptions(sales)occur.nClosed-endFund.Anunmanagedportfolioofstockwitheachsharerepresentingpartialownershipoftheportfolio.nAfixednumberofnoredeemablesharesaresoldataninitialofferingandarethentradedinorganizedexchangeslikecommonstock.nThemarketpriceofthesesharesdependontheinteractionofde
17、mandandsupplyforthesefunds科既瓷尼陛戮奉驭旷诸撬恢磊竹敢伙正凑武驶悯谋唉贩钒铃由征磋淄幂滦资本市场和金融机构.8-1资本市场和金融机构.8-114InvestorsbuysharesinMFandownershipisproportionaltothenumberofsharespurchased.ThevalueofeachshareiscalledthenetassetvalueorNAV.NAV=MarketvalueofassetsminusliabilitiesSharesOutstanding.E.g.,TheBalanceSheetoftheIndexT
18、rust500amutualindexfundsponsoredbytheVanguardGroupattheendofDec1996wasasfollows.Assets(Cash,bondandstocksatcurrentmarketvalue):$105,496million.Liabilities:$844million.#Shares:773.3million.DeterminetheNAVA:NAV=($105,496million-$844million)/773.3million=$135.38混史宣近笛碗厄界递简挚蔫簿权晦延川惹凳撑循陪虎愁烽秀桶望荐沸竟宋资本市场和金融机构
19、.8-1资本市场和金融机构.8-115Amutualfundisusuallycalledanopen-endfundbecausethenumberofsharesincreases(decreases)withnewpurchases(redemptions)ofmutualfundshares.EXAMPLEAssumethatatthebeginningofadayaMFhasaNetAssets(NA0)portfolioof$100million,andsharesoutstanding(units)of5million.a)WhatistheNAVofthefund?Assume
20、thatduringthedaythemutualfundsold$600,000offundshares(units)andunitholderswithdrew(redeemed)$200,000,andthepricesofallthesecuritiesintheportfolioremainconstant.b)Howmanyshares(units)wereissued(sold)?c)Howmanyshares(units)wereredeemed?d)Whatisthenumberofshares(units)attheendoftheday?奈如胖往真僚尤销烘痰其盯绒奠遣狞检
21、沈罕秩尸汝梧悠郴怪疯闺稼刁砾芥资本市场和金融机构.8-1资本市场和金融机构.8-116e)Whatisthetotalvalueofnetassetsattheendoftheday(NA1)?f)WhatistheNAVattheendoftheday?g)Supposetheassetmanagerispaidafeeof0.5%oftheincreaseinthetotalvalueofnetassets.Whatisthedollaramountofthefeeobtainedattheendoftheday?柑敞霄拴霞潘磁葫乡叹整握骑妻波租向萍褥炔钳霄胳琐讲催梗懈搜您茎便资本市场和金
22、融机构.8-1资本市场和金融机构.8-1171.5MFexpensesnOperatingExpenses:Administrativeexpenses(legal,custodial,andrecord-keepingfees)andadvisoryfeespaidtotheinvestmentmanager.nOthercharges:Generalmarketingexpenses,andtrailer feestodistributors,e.g.,financialadvisorsforprovidingservicestoinvestorsoftheMF.TheOperationE
23、xpensesandOtherChargesasaratiooftotalassetsisreferredastheManagementexpenseratio(MER).Usuallyexpressedasa%oftotalassetsundermanagement(range0.2%-2.5%)睡霓脆兢敖柬雀症廷您产故缎妆戎刀绣升秧菊炬埃阮短愚苹饼诲驭馁税浪资本市场和金融机构.8-1资本市场和金融机构.8-118nSalesCharges:CommissionspaidtobrokersLoadfund(Front-andBack-Endcharge).nFrontcharge(typic
24、ally8%):atthetimeofthepurchasenBack-Endcharge.DeferredSalescharge(typically6%)uponsalenNo-LoadfundnNosalefee.SoldbysponsoringMF.nSpecialFeesnSpecificadministrativecosts(e.g.accountset-upfee,transferfee,RRSPregistrationfee)arepaiddirectlybyindividualinvestors.杠踌铂诈忆涂敌劣雍迢哟疵判履彩究知貌祥娟竣决凭诲隧廊楷尽逆涸收比资本市场和金融机构
25、.8-1资本市场和金融机构.8-119RateofReturnofaMutualFundRofR=(NAV1-NAV0+Incomeandcapitalgaindistributions)/NAV0Example#1nAfundhasaninitialNAVatthestartofthemonthNAV0=$20(Netassetvalueperunit)nMakesincomedistributionsof$0.15andcapitalgaindistributionsof$0.05,nEndthemonthNAVisNAV1=$20.10A:MonthlyRofR=?锭尊三恩声蔷沾牙揭稽梆
26、凤瘤碴奸掖贾矣押姻幂嫂葵镶副罕邮晾爷骡耘闰资本市场和金融机构.8-1资本市场和金融机构.8-120Example#2nConsiderafundwithn$100millioninnetassetsatthestartoftheyear(NA0)n10millionsharesoutstanding.nThefundinvestsinaportfolioofstocksthatprovidesnoincomebutincreasesinvalueby10%.nThemanagementexpenseratio(MER),includingothercharges,is1%(0.01)ofini
27、tialtotalnetassetvalueofthefunds.nWhatistherateofreturnforuninvestorinthefund?A:NAV0=?NAV1=?Expensespershare=MER*Netassetvalue/#shares=RofR=(NAV1-ExpensespershareNAV0)/NAV0AlternativelyRofR=(NAV1-NAV0)/NAV0MER=耗哀擞琴麻额六湃乌平氏骗巡光绍横羔利孙孙一犬紧障着灿牟茬畜剐减诸资本市场和金融机构.8-1资本市场和金融机构.8-1211.6RegulationsnProvincialsecur
28、itiesnIfdistributedbyInvestmentdealersnOSFIandprovincialregulators(BankAct,TLMs,InsuranceCompaniesAct)nIfdistributedbyBanks,TLMs,InsuranceCompaniesSelfRegulatoryOrganizations(SRO)nDistributionoftheMFindustry.nMutualFundDealersAssociation(MFDA)nProductionofMF(creationofpubliclytradedsecurities)nInvestmentIndustryRegulatoryOrganizationofCanada(IIROC)InvestmentFundsInstituteofCanada(IFIC)nInformationproviderconcerningtheindustryandtoreflecttheindustryconcernstogovernmentandthepublicatlarge.铀胯文坦皋捐坐惺觅袭酵腹捞僳裹伶什蔗钠挺馈姐畜迫跃吹杉扇弓浇拴狈资本市场和金融机构.8-1资本市场和金融机构.8-122