active att alpha 銀行 cer buying 指數 round mis

Dotcom era warning for index funds and ETFs amid great tech sell-off
科技股動蕩背後的被動押註與價格扭曲

If value investors have been on the rack in recent times, their experience has stemmed, at least in part,
from inadequate exposure to Faang stocks — the fabled Facebook, Amazon, Apple, Netflix and
Google/Alphabet.

如果說價值型投資者一段時間以來痛苦萬分，那麽這種體驗至少在一定程度上源於他們對
Faang 股票的敞口不足——Faang 是指 Facebook、亞馬遜(Amazon)、蘋果(Apple)、Netflix 和谷
歌(Google)/Alphabet。

Since last Thursday’s spectacular $120bn fall in Facebook’s market capitalisation, we have witnessed
a great tech sell-off that may point to a watershed in the value versus passive investment saga. Yet by

now, as in the tech bubble of the late 1990s, many value investors (who buy stocks because they are
cheap compared with their fundamentals) have thrown in the towel and bought into the Faangs. So is
this a rerun of the dotcom story?
自上周四 Facebook 市值驚人地蒸發 1200 億美元以來，我們目睹了一場大規模的科技股拋售，
這可能預示著價值型與被動型投資對壘故事中的一道分水嶺。但如今，就像上世紀 90 年代末
的科技泡沫一樣，許多價值型投資者（他們購買股票的原因是股價與基本面相比很便宜）投降
了，買入了 Faang 股票。那麽，這是互聯網股熱潮的重演嗎?

Yes and no. Certainly a tired bull market has increasingly been driven by an ever shrinking pool of
tech stocks, which bears some similarity to events at the turn of the millennium.
是，也不是。當然，牛市力度減弱越來越是由於不斷縮水的科技股造成的。這與世紀之交的行
情有些相似。

It is also true that many fund managers with a value focus have again felt obliged to switch to a
momentum approach to hang on to footloose clients.
的確，許多專註於價值的基金管理公司再次感到有必要轉向一種動能策略，來留住隨心所欲的
客戶。

And, as in the late 1990s, indexed funds have been forced buyers of overpriced tech stocks. In
indices weighted according to market value, net inflows into passive portfolios result in the share of
overvalued stocks in the index increasing in a rising market and potentially declining in a falling one.
與 1990 年代末一樣，指數型基金也被迫買入了價格過高的科技股。在按市值加權的指數中，
被動型投資組合的資金凈流入導致那些估值過高的股票在指數中所占的比例，在市場上漲時會
上升，在市場下跌時可能下降。

Yet the Faang phenomenon is very different from the dotcom equivalent, which was accompanied by
a great deal of dross — a welter of companies with no earnings, puffed by unscrupulous, conflicted
analysts and prone to collapse at the first gust in a market squall. Today’s tech boom is powered by
big companies with strong revenue streams and, in the main, credible business models.
然而，Faang 現象與互聯網股熱潮大不相同，後者伴隨著大量濫竽充數的公司——很多公司沒
有盈利，被寡廉鮮恥、前後矛盾的分析師吹捧，容易在市場風暴的第一陣風吹來時崩潰。如今
的科技股熱潮是由擁有強勁收入流、以及總體而言可信的商業模式的大公司推動的。

Their resilience is exemplified by the financial dynamics of Google’s battle with the European
Commission over abuse of its market power in mobile operating systems. Alphabet, Google’s parent,
confronts a $4.3bn fine with cash and marketable securities in its balance sheet of $102bn, net
income at the half year of $12.6bn and a tax charge of just 14.6 per cent of pre-tax income.
Faang 的韌性，在谷歌與歐盟委員會(European Commission)圍繞其在移動操作系統上濫用市場
力量展開鬥爭時的財務狀況中得到了體現。谷歌母公司 Alphabet 面臨 43 億歐元罰款，但其資
產負債表上的現金和有價證券價值達 1020 億美元，半年凈利潤為 126 億美元，稅負僅為稅前
收入的 14.6%。

Also striking is how the forced buying effect is immeasurably greater this time because of the growth
of both indexed mutual funds and exchange traded funds. According to the Bank for International
Settlements, passive funds managed about $8tn, or 20 per cent of global investment fund assets, as of
June 2017, up from 8 per cent a decade earlier. This growth was at the expense of active investors
who experienced outflows over the same decade.
同樣引人註目的是，由於指數型共同基金和交易所交易基金(ETF)的增長，這一次的被迫買入
效應比以往增大得無法估量。根據國際清算銀行(BIS)的數據，截至 2017 年 6 月，被動型基金
管理的資產約 8 萬億美元，占全球投資基金資產的 20%，高於 10 年前的 8%。這種增長是以
同一時期資金流出主動型基金為代價的。

At the same time, ETFs outpaced indexed mutual funds, accounting for 40 per cent of passive fund
assets in June 2017 compared with around 30 per cent in 2007. And now the ETF universe is being
expanded by the addition of smart beta ETFs, whereby indices are adjusted to reflect styles of
investment such as tech, growth, low volatility and so forth.
與此同時，ETF 的增速超過了指數型共同基金，2017 年 6 月占被動型基金資產的 40%，而 2007
年這一比例約為 30%。如今，隨著智能貝塔 ETF 的加入，ETF 領域正在擴大。智能貝塔 ETF
的特點是，對指數進行調整，以反映科技、成長、低波動性等投資風格。

The increased size of this passive investment industry means an underlying conflict of interest has
become more intense. ETF managers operate a low-cost, low-fees business model that means they
seek scale. Having Facebook or Apple in an ETF helps it achieve this. So many smart beta ETFs are
biased towards the largest capitalisation, highly liquid tech stocks.
被動投資行業規模的擴大，意味著潛在的利益沖突變得更激烈。ETF 基金經理使用的是一種低
成本、低收費的商業模式，這意味著他們尋求擴大規模。在 ETF 組合中持有 Facebook 或蘋果，
有助於實現這一目標。所以，許多智能貝塔 ETF 都傾向於持有市值最高、流動性極佳的科技
股。

It is hard to believe that this does not result in distorted market prices. Inter alia, the growth of
passive investing must lead to greater correlation of indexed securities and a reduction in
company-specific information contained in stock prices.
我們很難相信這不會導致市場價格扭曲。尤其是，被動型投資的增長註定會導致指數成分證券
之間的相關性增大，以及股票價格所反映的跟具體公司相關的信息減少。

Howard Marks, co-chairman of Oaktree Capital Management, the US alternative investment
manager, argues that for a stock to be added to an index or smart beta fund amounts to an artificial
form of increased popularity and it is relative popularity that determines the relative prices of stocks
in the short run.
美國另類投資基金公司橡樹資本管理公司(Oaktree Capital Management)的聯席主席霍華德•馬
克斯(Howard Marks)指出，將一只股票添加到一個指數或智能貝塔基金中，相當於人為提高它
的受歡迎度，而在短期內決定股票相對價格的正是相對受歡迎度。

As with tech stocks in 2000, he says, the seeming perpetual motion machine created by all this
forced buying by passive investors is unlikely to work forever: if funds ever flow out of equities and
thus ETFs, what has been disproportionately bought will have to be disproportionately sold.
他表示，與 2000 年的科技股一樣，被動型投資者的被迫買入，看似制造了一種永動機，但它
不太可能永遠運轉下去：如果資金從股票中、進而從 ETF 中撤出，那麽之前高得不成比例的
買入將註定變成高得不成比例的拋售。

It is not clear where index funds and ETFs will find buyers for their overweighted, highly
appreciated holdings, Mr Marks adds, if they have to sell in a crunch. So appreciation that was driven
by passive buying is likely eventually to turn out to be rotational, not perpetual.
馬克斯補充稱，如果在危機中，指數基金和 ETF 不得不賣出，那麽它們將在哪裏為其權重過
高、估值高企的資產找到買家，目前尚不清楚。因此，由被動買入驅動的升值最終可能會回轉，
而不會一直維持下去。

An important difference with the dotcom era concerns concentration risk and liquidity. The Faangs
account for 12 per cent of the S&P 500 and 27 per cent of the Nasdaq 100 index. So investors in
ETFs should not assume they are safely diversified. And the ETFs’ apparent promise of liquidity,
especially in bond markets, has yet to be tested in a downturn. The stakes are much higher now.
與互聯網熱潮時代的一個重要區別是，集中性風險和流動性。Faang 占標普 500 指數(S&P 500)
的權重為 12%，占納斯達克 100 指數(Nasdaq 100)的權重為 27%。因此，ETF 投資者不應想當
然地認為它們是安全多元化的。而 ETF 表面上的流動性承諾——尤其是在債券市場上——尚
未在市場下跌時期得到檢驗。現在的風險要高得多。

忘記一切，全神貫註。1