m*****i
发帖数: 628 | | S**C
发帖数: 2964 | 2 I do not know, maybe they have deep insight on how S&P 500 index will change
so they can front-run the market, or more likely, their may do share
lending which contributes. Anyway, the difference is rather small... for
almost 15 years, the total aggregated difference is ~1%.
【在 m*****i 的大作中提到】
: https://personal.vanguard.com/us/funds/snapshot?FundId=0854&FundIntExt=INT
: 这个 index fund 为什么总beat benchmark?
| z****7
发帖数: 880 | 3 http://www.portfolio.com/views/blogs/market-movers/2007/11/19/h
How Can Index Funds Beat the Market?
Ben Stein loves Dimensional Fund Advisors. They "run the most amazingly
successful, low-cost, unmanaged but somehow deep-value index funds I have
ever found," he says, adding that "their returns are amazing, and they
charge almost nothing." It's a bit weird: how can an index fund have "
amazing" returns? Surely the whole point of an index fund is that it's more
or less the same as the underlying index?
Michael Lewis has a huge article on DFA in the December issue of Portfolio,
but even he seems a little unclear on exactly how Dimensional gets its
returns.
If all financial advice is worthless and the only sensible strategy is
to buy an index fund that tracks the market, why would anyone need a D.F.A.
financial adviser? Why, for that matter, should anyone pay D.F.A. the 50
basis points it takes off the top of its oldest fund? D.F.A.'s answer to
this is interesting: It can beat the index. The firm doesn't ever come right
out and say, "We can beat the market," but over and over again, the
financial advisers in attendance are shown charts of D.F.A.'s large-cap
funds outperforming Standard & Poor’s 500-stock index and D.F.A.'s small-
cap fund outperforming the Russell 2000.
In each case, the reason for D.F.A.'s superior performance is slightly
different. In one instance, D.F.A. found a better way to rebalance the
portfolio when the underlying index changes; in another, it came up with
improvements in capturing small-cap risk. All these little opportunities can
be (and are) rationalized as something other than market inefficiency, but
they are hard to exploit, even with the help of D.F.A. The lesson of
efficient-markets theory is that when anyone from Wall Street calls you up
with financial advice, you should be very afraid. But it isn’t fear that
prompts investors to embrace D.F.A. It’s greed.
It's a little more obvious why individual investors might choose DFA: they
can talk to a human being who will reassure them on a regular basis that
they're making extremely intelligent investment decisions. But the question
of whether and how DFA manages to beat the market is still a very
interesting one.
My theory, for what it's worth, is that most index-fund managers beat the
market, but that they tend to keep the excess profits for themselves, rather
than passing them on to investors. If you invest your money with Barclays
or Vanguard, they will return to you the index, plus or minus a tiny fee. If
they themselves make more than that, that's pure profit for them.
Anecdotally, I've heard stories along these lines: that index-fund managers
can be extremely aggressive in the pursuit of their own profits.
And then there's the whole issue of repos. An individual investor holding a
basket of Dow stocks can't lend those stocks out to hedge funds. But a
massive institutional investor can and does lend those stocks every day.
Wouldn't you expect such lending activity to boost a fund's returns? Are
repos the secret to making money running index funds? And if not, why not?
Read more: http://www.portfolio.com/views/blogs/market-movers/2007/11/19/how-can-index-funds-beat-the-market/#ixzz1lMHJhxM0
【在 m*****i 的大作中提到】
: https://personal.vanguard.com/us/funds/snapshot?FundId=0854&FundIntExt=INT
: 这个 index fund 为什么总beat benchmark?
| z****7
发帖数: 880 | 4 http://finance.sina.com.cn/money/fund/20120121/092511253067.sht
沪深300指数基金本是同根生业绩差不小(表)
文 | 本刊记者 叶辉
沪深300(2506.090,19.85,0.80%)基金是目前市场上最热门的指数产品，算上分级
基金，目前跟踪沪深300指数的基金达到25只。可能很多人都会觉得，既然跟踪同一只
指数，这些基金的业绩差距应该微乎其微。事实果真如此吗？
《投资与理财》记者对比25只指数基金2011年的收益数据发现，这些基金的业绩差
距不小。沪深300指数2011年下跌25.01%，剔除成立时间不足一年的3只产品，22只沪深
300指数基金虽然都战胜了指数，但它们平均亏损22.5%。
Wind数据显示，表现最好的3只产品分别是申万菱信(微博)沪深300价值业绩-16.39
%，富国沪深300业绩-17.67%，银河沪深300业绩-17.72%，它们都跑赢指数超过7%。表
现最差的3只产品分别是浦银安盛沪深300业绩-24.8%，长城久泰沪深300业绩-24.11%，
国投瑞银瑞和300业绩-24.08%。
可以看到，一头一尾两只产品申万菱信沪深300价值和浦银安盛沪深300基金2011年
的业绩差达到8.41%。由于浦银安盛沪深300成立于2010年12月10日，进入2011年才开始
建仓，我们不妨换一个产品，拿排名倒数第二的长城久泰沪深300进行比较，业绩差也
达到7.72%。
不过记者注意到，表现突出的申万菱信沪深300价值和银河沪深300价值跟踪的都是
沪深300价值指数。该指数是沪深300系列指数中的一个，两者略有区别。
真正表现最好的是富国沪深300，这是一只增强型指数基金，跑赢跟踪的标的指数7
.3%。不过，5只增强型沪深300指数基金业绩也是好坏参半：富国沪深300表现最好，国
富沪深300亏损22.72%，中欧沪深300亏损22.95%，3只产品好于大部分普通沪深300指数
基金。浦银安盛沪深300亏损24.8%，长城久泰沪深300亏损24.11%，成为沪深300指数基
金垫底的两名。
专家指出，指数基金的投资目标就是准确跟踪指数，作为一种特殊的产品，它即使
战胜指数，也不见得是好事。因为，今天它能帮你跑赢市场，明天也可能跑输市场。当
然，作为增强型指数基金就不一样了，这些基金的目标是战胜指数。
建信沪深300基金经理梁洪昀之前接受记者采访时就指出，跟踪误差越小，表明指
数基金的运作状况越理想，说明该基金比较稳定。
22只沪深300指数基金2011年表现
证券代码 证券简称 类型 2011年净值增长率% 成立以来净值增长率%
基金成立日
310398.OF 申万菱信沪深300价值 普通型 -16.3876 -30.1 2010
-02-11
100038.OF 富国沪深300 增强型 -17.6656 -21.7 2009-12-16
519671.OF 银河沪深300价值 普通型 -17.717 -30.8 2009-12-
28
163407.OF 兴全沪深300 普通型 -19.7921 -22.84 2010-11-02
450008.OF 国富沪深300 增强型 -22.7231 -16 2009-09-03
160706.OF 嘉实沪深300 普通型 -22.9475 137.16 2005-08-29
160807.OF 长盛沪深300 普通型 -22.9518 -18.56 2010-08-04
166007.OF 中欧沪深300 增强型 -22.9585 -18.96 2010-06-24
110020.OF 易方达沪深300 普通型 -23.0159 -27.25 2009-08-
26
270010.OF 广发沪深300 普通型 -23.0161 24.66 2008-12-30
000051.OF 华夏沪深300 普通型 -23.4428 -32.4 2009-07-10
481009.OF 工银瑞信(微博)沪深300 普通型 -23.5341 -3.63
2009-03-05
050002.OF 博时裕富沪深300 普通型 -23.5496 105.43 2003-08
-26
020011.OF 国泰沪深300 普通型 -23.5628 -51.829 2007-11-11
160615.OF 鹏华沪深300 普通型 -23.6019 -12.57 2009-04-03
165309.OF 建信沪深300 普通型 -23.702 -32.4 2009-11-05
161811.OF 银华沪深300 普通型 -23.7395 -27.4 2009-10-14
519300.OF 大成沪深300 普通型 -23.762 75.05 2006-04-06
202015.OF 南方沪深300 普通型 -23.8638 -7.86 2009-03-25
161207.OF 国投瑞银瑞和300 普通型 -24.0872 -29.31 2009-10
-14
200002.OF 长城久泰沪深300 增强型 -24.113 139.78 2004-05-
21
519116.OF 浦银安盛沪深300 增强型 -24.7992 -25.1 2010-12-
10 | z****7
发帖数: 880 | 5 还能想到可能有两个原因可以beat大盘，都不违反index的法规
1）借出股票，收利息
2）market making,收bid/ask spread. | s********n
发帖数: 1962 | 6 beat指数7%的index fund都应该关门。我要是想beat index，我就不买index了。
39
【在 z****7 的大作中提到】
: http://finance.sina.com.cn/money/fund/20120121/092511253067.sht
: 沪深300指数基金本是同根生业绩差不小(表)
: 文 | 本刊记者 叶辉
: 沪深300(2506.090,19.85,0.80%)基金是目前市场上最热门的指数产品，算上分级
: 基金，目前跟踪沪深300指数的基金达到25只。可能很多人都会觉得，既然跟踪同一只
: 指数，这些基金的业绩差距应该微乎其微。事实果真如此吗？
: 《投资与理财》记者对比25只指数基金2011年的收益数据发现，这些基金的业绩差
: 距不小。沪深300指数2011年下跌25.01%，剔除成立时间不足一年的3只产品，22只沪深
: 300指数基金虽然都战胜了指数，但它们平均亏损22.5%。
: Wind数据显示，表现最好的3只产品分别是申万菱信(微博)沪深300价值业绩-16.39
| t*m
发帖数: 4414 | 7 beat指数这么多，std dev也不好看啊。
【在 s********n 的大作中提到】
: beat指数7%的index fund都应该关门。我要是想beat index，我就不买index了。
:
: 39
| t*m
发帖数: 4414 | 8 based on morningstar, VIIIX slightly beat SP500 every year in the past
decade.
meanwhile, Fidelity Spartan 500 Index Institutional (FXSIX) is not so
outstanding. | S**C
发帖数: 2964 | 9 I find this sales pitch disguised as financial advise sort of disgusting...
The fact is for retail investors, you cannot buy DFA funds except through
financial advisors.
more
,
【在 z****7 的大作中提到】
: http://www.portfolio.com/views/blogs/market-movers/2007/11/19/h
: How Can Index Funds Beat the Market?
: Ben Stein loves Dimensional Fund Advisors. They "run the most amazingly
: successful, low-cost, unmanaged but somehow deep-value index funds I have
: ever found," he says, adding that "their returns are amazing, and they
: charge almost nothing." It's a bit weird: how can an index fund have "
: amazing" returns? Surely the whole point of an index fund is that it's more
: or less the same as the underlying index?
: Michael Lewis has a huge article on DFA in the December issue of Portfolio,
: but even he seems a little unclear on exactly how Dimensional gets its
| j****y
发帖数: 1714 | 10 index funds have slightly different way to track the index.
Naive tracking of S&P 500 will cause forced buy or sell some stock if some
stock is added or dropped from the index. This will cause slightly less
return compared to a broader, total market index fund.
Buying total stock index fund can avoid such a problem.
This is the reason why VTSMX mostly always beats S&P 500
http://quote.morningstar.com/fund/chart.aspx?t=VTSMX®ion=USA
Bottomline: buy total stock index fund if you can, avoid S&P 500. | S**C
发帖数: 2964 | 11 The reason that SPY lose to TSM is during the last decade or so, smaller
companies return better, and why the smaller companies return better? Aside
from small-value premium, the main reason is small-caps start from a much
lower valuations than large caps. How about now? The small caps is more
expensive than their large cap counterpart, so it does not set up well for
the small-caps going forward, and for the same reason, TSM against SPY, on
relative basis.
【在 j****y 的大作中提到】
: index funds have slightly different way to track the index.
: Naive tracking of S&P 500 will cause forced buy or sell some stock if some
: stock is added or dropped from the index. This will cause slightly less
: return compared to a broader, total market index fund.
: Buying total stock index fund can avoid such a problem.
: This is the reason why VTSMX mostly always beats S&P 500
: http://quote.morningstar.com/fund/chart.aspx?t=VTSMX®ion=USA
: Bottomline: buy total stock index fund if you can, avoid S&P 500.
| s****i
发帖数: 2993 | 12 all index funds have tracking error because they can't track the index 100%
-- it would be too costly keep trading up to the index.
so they all have a small amount of cash which gives them ability to
rebalance and slightly time the market. | j*****h
发帖数: 3292 | 13 if they have positive tracking error each year for 10 years in a row, the
fund managers must have done something good.
Or check the disclosure carefully.
%
【在 s****i 的大作中提到】
: all index funds have tracking error because they can't track the index 100%
: -- it would be too costly keep trading up to the index.
: so they all have a small amount of cash which gives them ability to
: rebalance and slightly time the market.
|
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