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1、MutualFunds,HedgeFundsandPensionFunds(Ch5TextbookbySaundersetal)Outline1.MutualFunds1.1QuickFactsofMFs1.2Advantages1.3Types1.4StructureofMFs1.5Expenses1.6Regulations2.HedgeFunds3.PensionFundsa)DefinedContributionPlanb)DefinedBenefitPlan.NumericalExamples4.Concludingremarks11.1QuickFactsofCanadasMFIn
2、dustrynAssetsGrowthn1990,$25-billion.2001,$426-billion.2002,$391-billion.2004,$497.2-billion(SeenextSlide)nAgingofthebabyboomersandincreasinglifeexpectancynEntryofbanksintothemutualfundmarketnProfessionalmanagementanddiversificationatminimalcostn1990syearsoflowerinterestratesandstrongequitymarketsnO
3、ver25%returnon1993,1996,and1999,2002n75MFmanagementcompanies.(2004)nMarketshareofthetop10MFcompaniesaccountedfor77.9%ofallassetsin2004.n111dealerfirmsinvolvedinthesaleofMFs.n1,915MFsbeingsold2GrowthofMutualFunds4-4-333MutualFundNetAssetsinbillionsAsset Growth as percentage of previous years assetsMo
4、ney Market FundsLong-Term FundsSource:TheInvestmentFundsInstituteofCanada4NetSalesbyFundTypelong-termfundsonly(millions)Long-Term Stand-Alone FundsFund-of-FundsSource:TheInvestmentFundsInstituteofCanada51.MUTALFUNDSWhatisaMutualFund?nAMFisaseparate,legallyincorporated,equity-financedinvestmentvehicl
5、emanagedbyanassetmanagerforthebenefitoftheequityinvestors.nAMFpoolstheresourcesofmanysmallinvestorsbysellingthemsharesandusingtheproceedstoinvestinsecurities(e.g.,stocks,bonds,options,futures,currencies,ormoneymarketsecurities.)6MutualFundsFundParentCo.Dec04Assets($billions)1IGMFinancial(Investors,M
6、ackenzieFinancial)PowerCorpofCanada82.72RBCAssetManagementIncRoyalBank47.03C.I.MutualFundsInc.Independent43.14AimTrimarkInvestmentsAMVESCAPPLC,U.K.42.15CIBCAssetManagementCIBC41.76TDAssetManagementGroupTDCanadaTrust26.37FidelityInvestmentCanadaLtdFidelityInvestments,U.S.32.38AGFManagementLimitedInde
7、pendent23.39FranklinTempletonInvestmentsFranklinTempletonInv.US20.110BMOInvestmentsInc.BankofMontreal19.7TotalAssets387.4BigSixBankssubsidiaries.MFof$165.2-billion(1/3oftotalin2004)71.2AdvantagesofinvestinginMFnRecordkeepingandadministrationnDiversificationanddivisibility(seegraphontheadvantagesofgl
8、obaldiversification)nProfessionalManagementnLowerTransactionCosts81.3TypesofMFs1.EquityFunds:ValueFirms:Highdividendyields2.Fixed-Income(bond)Funds3.BalancedFunds(moneymarket,equityandbonds)4.GrowthFunds:Growthfirms.5.SpecializedFunds:Specificeconomicsectors,andregions6.MoneyMarketFunds:T-bills,BAs,
9、termdeposits,provincialshort-termnotes,commercialpaper.7.IndexFunds.Theytrytoreplicateanindex.Example:S&P/TSX60indexfund.nIndexfundsarepassivelymanagedfunds,incontrast,types1-6areactivelymanagedfunds.9TypesofMutualFunds4-4-101010Vanguard500IndexFundInvestorShares(VFINX)AverageAnnualTotalReturnsasof0
10、3/31/2004TenLargestHoldingsasof04/30/20041.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%ofTotalNetAssets11Vanguard500IndexFundInvestorShares(VFIN
11、X)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%12InternationalDiversification&RiskPortfolioofCanadianandinternationalstocksBy diversifying the portfolio,the variance of the portf
12、olios return relative to the variance of the markets return(beta)is reduced to the level of systematic risk-the risk of the market itself.20406080Numberofstocksinportfolio10203040501100PortfolioofCanadianstocks12%27%Percentrisk131.4StructureofMFnOpen-endFund(mostcommon).Mutualfundinwhichsharescanber
13、edeemedatanytimeatapricethatistiedtotheNAV(attheendoftheday).nNosetnumberofsharesoutstanding.Thenumbermaygoupordowneachdayasnewinvestments(purchase)arriveorasredemptions(sales)occur.nClosed-endFund.Anunmanagedportfolioofstockwitheachsharerepresentingpartialownershipoftheportfolio.nAfixednumberofnore
14、deemablesharesaresoldataninitialofferingandarethentradedinorganizedexchangeslikecommonstock.nThemarketpriceofthesesharesdependontheinteractionofdemandandsupplyforthesefunds14InvestorsbuysharesinMFandownershipisproportionaltothenumberofsharespurchased.ThevalueofeachshareiscalledthenetassetvalueorNAV.
15、NAV=MarketvalueofassetsminusliabilitiesSharesOutstanding.E.g.,TheBalanceSheetoftheIndexTrust500amutualindexfundsponsoredbytheVanguardGroupattheendofDec1996wasasfollows.Assets(Cash,bondandstocksatcurrentmarketvalue):$105,496million.Liabilities:$844million.#Shares:773.3million.DeterminetheNAVA:NAV=($1
16、05,496million-$844million)/773.3million=$135.3815Amutualfundisusuallycalledanopen-endfundbecausethenumberofsharesincreases(decreases)withnewpurchases(redemptions)ofmutualfundshares.EXAMPLEAssumethatatthebeginningofadayaMFhasaNetAssets(NA0)portfolioof$100million,andsharesoutstanding(units)of5million.
17、a)WhatistheNAVofthefund?Assumethatduringthedaythemutualfundsold$600,000offundshares(units)andunitholderswithdrew(redeemed)$200,000,andthepricesofallthesecuritiesintheportfolioremainconstant.b)Howmanyshares(units)wereissued(sold)?c)Howmanyshares(units)wereredeemed?d)Whatisthenumberofshares(units)atth
18、eendoftheday?16e)Whatisthetotalvalueofnetassetsattheendoftheday(NA1)?f)WhatistheNAVattheendoftheday?g)Supposetheassetmanagerispaidafeeof0.5%oftheincreaseinthetotalvalueofnetassets.Whatisthedollaramountofthefeeobtainedattheendoftheday?171.5MFexpensesnOperatingExpenses:Administrativeexpenses(legal,cus
19、todial,andrecord-keepingfees)andadvisoryfeespaidtotheinvestmentmanager.nOthercharges:Generalmarketingexpenses,andtrailer feestodistributors,e.g.,financialadvisorsforprovidingservicestoinvestorsoftheMF.TheOperationExpensesandOtherChargesasaratiooftotalassetsisreferredastheManagementexpenseratio(MER).
20、Usuallyexpressedasa%oftotalassetsundermanagement(range0.2%-2.5%)18nSalesCharges:CommissionspaidtobrokersLoadfund(Front-andBack-Endcharge).nFrontcharge(typically8%):atthetimeofthepurchasenBack-Endcharge.DeferredSalescharge(typically6%)uponsalenNo-LoadfundnNosalefee.SoldbysponsoringMF.nSpecialFeesnSpe
21、cificadministrativecosts(e.g.accountset-upfee,transferfee,RRSPregistrationfee)arepaiddirectlybyindividualinvestors.19RateofReturnofaMutualFundRofR=(NAV1-NAV0+Incomeandcapitalgaindistributions)/NAV0Example#1nAfundhasaninitialNAVatthestartofthemonthNAV0=$20(Netassetvalueperunit)nMakesincomedistributio
22、nsof$0.15andcapitalgaindistributionsof$0.05,nEndthemonthNAVisNAV1=$20.10A:MonthlyRofR=?20Example#2nConsiderafundwithn$100millioninnetassetsatthestartoftheyear(NA0)n10millionsharesoutstanding.nThefundinvestsinaportfolioofstocksthatprovidesnoincomebutincreasesinvalueby10%.nThemanagementexpenseratio(ME
23、R),includingothercharges,is1%(0.01)ofinitialtotalnetassetvalueofthefunds.nWhatistherateofreturnforuninvestorinthefund?A:NAV0=?NAV1=?Expensespershare=MER*Netassetvalue/#shares=RofR=(NAV1-ExpensespershareNAV0)/NAV0AlternativelyRofR=(NAV1-NAV0)/NAV0MER=211.6RegulationsnProvincialsecuritiesnIfdistribute
24、dbyInvestmentdealersnOSFIandprovincialregulators(BankAct,TLMs,InsuranceCompaniesAct)nIfdistributedbyBanks,TLMs,InsuranceCompaniesSelfRegulatoryOrganizations(SRO)nDistributionoftheMFindustry.nMutualFundDealersAssociation(MFDA)nProductionofMF(creationofpubliclytradedsecurities)nInvestmentIndustryRegulatoryOrganizationofCanada(IIROC)InvestmentFundsInstituteofCanada(IFIC)nInformationproviderconcerningtheindustryandtoreflecttheindustryconcernstogovernmentandthepublicatlarge.22