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自从第一只成功市场化运作的交易所基金(Exchange-Traded Funds,ETFs)——Spiders于1993年产生以来,不到10年的时间,ETFs资产规模迅速膨胀。截止到2002年8月底,全球范围内已有257只ETF,总资产值超过1242亿美元,成为全球基金业发展中越来越重要的组成部分。 ETFs的成功,并非一蹴而就。共经历了投资组合保险(Portfolio Insurance)→超级基金(Super Trust)→交易所基金(ETFs)3个阶段。前两个阶段由于金融产品自身的内在缺陷或者受市场竞争的影响,均以失败告终。ETFs则汲取了前两个阶段的教训,取行了成功。回溯ETFs的发展历程,可以从理论上了解金融工程的核心——无套利思想和组合分解技术,了解金融产品设计实务及走向市场时所面临的管制、竞争、以及技术问题。对于发展适应我国投资者需求的ETFs或其他金融产品很有借鉴意义。 “从组合保险到交易所基金”系列文章,将分3篇详细阐述组合保险、超级基金、ETFs的金融工程原理以及实际运作时遇到的问题。本期文章主要追溯ETF最初的发展源头——组合保险的原理及动作。 本栏目主持人宋逢明教授通过本刊向热心读者发出邀请,欢迎致力于金融工程研究和开发的同仁及对金融工程有浓厚兴趣的人士,和我们一道推动中国金融工程业的发展。
Since less than 10 years after the success of the first commercially successful Exchange-Traded Funds (Spreads), the so-called Exchange-Traded Funds (ETFs), the assets of ETFs have rapidly expanded. As of the end of August 2002, there were 257 ETFs worldwide with total assets of more than 124.2 billion U.S. dollars, making it an increasingly important part of the global fund industry. The success of ETFs does not happen overnight. Experienced the Portfolio Insurance → Super Trust → ETFs. The first two stages ended in failure due to the inherent defects of financial products or the impact of market competition. The ETFs draw lessons from the first two phases and succeed. Backtracking the history of ETFs, we can theoretically understand the core of financial engineering - no arbitrage theory and combinatorial decomposition techniques, to understand the regulatory, competition and technical issues faced in financial product design practice and market. It is of great reference for the development of ETFs or other financial products that meet the needs of our investors. A series of articles, “From Portfolio Insurance to Exchange Funds,” will detail the financial engineering principles of portfolio insurance, super-funds and ETFs in three articles and the problems encountered in actual operation. This article mainly traces the original development of ETF - the principle and action of portfolio insurance. This section of the host Professor Song Fengming through our magazine to invite enthusiastic readers, welcome to financial engineering research and development of colleagues and those who have a keen interest in financial engineering, and we work together to promote the development of China’s financial engineering industry.