股市轟炸机队长 personal page - To The Moon

股市轟炸机队长

股市轟炸机队长

财富自由靠投资

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股市轟炸机队长

2022-01-27

$云顶新加坡(G13.SI)$Looking forward to 5.8-6.5

股市轟炸机队长

2022-01-25

$Sea Ltd(SE)$Round 2 tonight

股市轟炸机队长

2021-12-30

$Grab Holdings(GRAB)$I use gojek more than grab now.

股市轟炸机队长

2021-12-23

Happy 2022

股市轟炸机队长

2021-07-21

Positive is good ??

Sorry, the original content has been removed

股市轟炸机队长

2021-04-03

✌?

Twenty Years of Public Funds

股市轟炸机队长

2020-12-30

Great ariticle, would you like to share it?

Nearly two years after being grounded due to two serious air crashes, the Boeing 737 MAX is making its first commercial flight.

Go to Tiger App to see more news

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href=\"https://ttm.financial/S/G13.SI\">$云顶新加坡(G13.SI)$</a>Looking forward to 5.8-6.5","listText":"<a href=\"https://ttm.financial/S/G13.SI\">$云顶新加坡(G13.SI)$</a>Looking forward to 5.8-6.5","text":"$云顶新加坡(G13.SI)$Looking forward to 5.8-6.5","images":[],"top":1,"highlighted":1,"essential":1,"paper":1,"likeSize":4,"commentSize":0,"repostSize":0,"link":"https://ttm.financial/post/9090706306","isVote":1,"tweetType":1,"viewCount":6372,"authorTweetTopStatus":1,"verified":2,"comments":[{"author":{"id":"3580625969745490","authorId":"3580625969745490","name":"Traderopedia","avatar":"https://static.tigerbbs.com/49aa77ad0af13cd80f20edbad1234522","crmLevel":11,"crmLevelSwitch":1,"authorIdStr":"3580625969745490","idStr":"3580625969745490"},"content":"u wait long long.. maybe 109 years later","text":"u wait long long.. maybe 109 years later","html":"u wait long long.. maybe 109 years later"}],"imageCount":0,"langContent":"EN","totalScore":0},{"id":9090138922,"gmtCreate":1643111013030,"gmtModify":1676533775076,"author":{"id":"3567575098485843","authorId":"3567575098485843","name":"股市轟炸机队长","avatar":"https://static.tigerbbs.com/1ec92b2a3335762e71e118cc8d1b3753","crmLevel":11,"crmLevelSwitch":0,"followedFlag":false,"authorIdStr":"3567575098485843","idStr":"3567575098485843"},"themes":[],"title":"","htmlText":"<a href=\"https://ttm.financial/S/SE\">$Sea Ltd(SE)$</a>Round 2 tonight&nbsp;","listText":"<a href=\"https://ttm.financial/S/SE\">$Sea Ltd(SE)$</a>Round 2 tonight&nbsp;","text":"$Sea Ltd(SE)$Round 2 tonight","images":[],"top":1,"highlighted":1,"essential":1,"paper":1,"likeSize":6,"commentSize":0,"repostSize":0,"link":"https://ttm.financial/post/9090138922","isVote":1,"tweetType":1,"viewCount":7072,"authorTweetTopStatus":1,"verified":2,"comments":[],"imageCount":0,"langContent":"EN","totalScore":0},{"id":9003085648,"gmtCreate":1640825968115,"gmtModify":1676533545086,"author":{"id":"3567575098485843","authorId":"3567575098485843","name":"股市轟炸机队长","avatar":"https://static.tigerbbs.com/1ec92b2a3335762e71e118cc8d1b3753","crmLevel":11,"crmLevelSwitch":0,"followedFlag":false,"authorIdStr":"3567575098485843","idStr":"3567575098485843"},"themes":[],"title":"","htmlText":"<a href=\"https://ttm.financial/S/GRAB\">$Grab Holdings(GRAB)$</a>I use gojek more than grab now.","listText":"<a href=\"https://ttm.financial/S/GRAB\">$Grab Holdings(GRAB)$</a>I use gojek more than grab now.","text":"$Grab Holdings(GRAB)$I use gojek more than grab now.","images":[],"top":1,"highlighted":1,"essential":1,"paper":1,"likeSize":5,"commentSize":0,"repostSize":0,"link":"https://ttm.financial/post/9003085648","isVote":1,"tweetType":1,"viewCount":4621,"authorTweetTopStatus":1,"verified":2,"comments":[],"imageCount":0,"langContent":"EN","totalScore":0},{"id":9000509413,"gmtCreate":1640224231777,"gmtModify":1676533509126,"author":{"id":"3567575098485843","authorId":"3567575098485843","name":"股市轟炸机队长","avatar":"https://static.tigerbbs.com/1ec92b2a3335762e71e118cc8d1b3753","crmLevel":11,"crmLevelSwitch":0,"followedFlag":false,"authorIdStr":"3567575098485843","idStr":"3567575098485843"},"themes":[],"title":"","htmlText":"Happy 2022","listText":"Happy 2022","text":"Happy 2022","images":[{"img":"https://static.itradeup.com/news/6c31f11b954b6dfbae4d1348688f78ed","width":"1125","height":"1476"}],"top":1,"highlighted":1,"essential":1,"paper":1,"likeSize":3,"commentSize":0,"repostSize":0,"link":"https://ttm.financial/post/9000509413","isVote":1,"tweetType":1,"viewCount":6307,"authorTweetTopStatus":1,"verified":2,"comments":[],"imageCount":1,"langContent":"EN","totalScore":0},{"id":176095531,"gmtCreate":1626843473623,"gmtModify":1703766265143,"author":{"id":"3567575098485843","authorId":"3567575098485843","name":"股市轟炸机队长","avatar":"https://static.tigerbbs.com/1ec92b2a3335762e71e118cc8d1b3753","crmLevel":11,"crmLevelSwitch":0,"followedFlag":false,"authorIdStr":"3567575098485843","idStr":"3567575098485843"},"themes":[],"title":"","htmlText":"Positive is good ??&nbsp;","listText":"Positive is good ??&nbsp;","text":"Positive is good ??","images":[],"top":1,"highlighted":1,"essential":1,"paper":1,"likeSize":2,"commentSize":0,"repostSize":0,"link":"https://ttm.financial/post/176095531","repostId":"1198517210","repostType":4,"isVote":1,"tweetType":1,"viewCount":4728,"authorTweetTopStatus":1,"verified":2,"comments":[],"imageCount":0,"langContent":"EN","totalScore":0},{"id":340207090,"gmtCreate":1617413974910,"gmtModify":1704699492258,"author":{"id":"3567575098485843","authorId":"3567575098485843","name":"股市轟炸机队长","avatar":"https://static.tigerbbs.com/1ec92b2a3335762e71e118cc8d1b3753","crmLevel":11,"crmLevelSwitch":0,"followedFlag":false,"authorIdStr":"3567575098485843","idStr":"3567575098485843"},"themes":[],"title":"","htmlText":"✌?","listText":"✌?","text":"✌?","images":[],"top":1,"highlighted":1,"essential":1,"paper":1,"likeSize":3,"commentSize":2,"repostSize":0,"link":"https://ttm.financial/post/340207090","repostId":"2124759854","repostType":4,"repost":{"id":"2124759854","kind":"highlight","pubTimestamp":1617411600,"share":"https://ttm.financial/m/news/2124759854?lang=en_US&edition=fundamental","pubTime":"2021-04-03 09:00","market":"us","language":"zh","title":"Twenty Years of Public Funds","url":"https://stock-news.laohu8.com/highlight/detail?id=2124759854","media":"小鲜传","summary":"净值与价格的故事仍将继续","content":"<p><b>I. Passionate Years</b></p><p>In 1986, at that time<a href=\"https://laohu8.com/S/601398\">Industrial and Commercial Bank</a>Its subsidiary, Shanghai Trust & Investment Corporation, established a securities business department to conduct stock trading. In 1988, the People's Bank of China approved pilot treasury bill trading in several cities. In 1990, the Shanghai and Shenzhen Stock Exchanges opened one after another. In 1992, mutual funds were established in Shenzhen, Shenyang, Dalian, Wuhan and other places. In August 1993, Zibo Fund, originating from Shandong, was listed on the Shanghai Stock Exchange, becoming China's first listed fund. Subsequently, many more funds were listed and traded in various regions. Zibo Fund issued a net asset value of 1 yuan and closed at 5 yuan on the day of listing. In 2000, Zibo Fund was restructured and merged into Hanbo Fund. The fund's highest transaction price during its existence reached 12.39 yuan, and its lowest price was 1.6 yuan. The price has always been far higher than the net asset value. To today's investors, such a \"record\" would inevitably make them cover their faces and laugh: \"Back then, people were really foolish and had a lot of money.\" But is history really that simple? That's probably not entirely true.</p><p>The Zibo Fund is directly approved by the People's Bank of China and mainly invests in the equity of township enterprises and related service industries in the Zibo area. This investment shall not be less than 60% of the fund's net asset value. At the same time, you can invest in various bonds and listed company stocks, with this investment not exceeding 40% of the fund's net asset value.</p><p>Therefore, it is clear that this Zibo fund is not a securities investment fund as we usually understand it today, but a hybrid of securities and industrial investment funds. Moreover, from a legal perspective, it is clearly not established based on a contract, but rather an independent legal entity approved by the central bank. Or we could simply say that it is actually a listed company whose main business is investment and holding.</p><p>If we look at its valuation from this perspective, it becomes easier to understand. In 1993, China's economy overheated across the board. The CPI grew by 14.7% year-on-year, and fixed asset investment grew by 45.3%. People's pursuit of investment opportunities has reached a frenzy. The extremely high premium of Zibo funds is a micro-reflection of this macro background.</p><p>In \"Romance of the Three Kingdoms\", Luo Guanzhong arranged a line for Zhang Jiao, the leader of the Yellow Turban Uprising: \"The most rare thing is the hearts of the people.\" Now that the people's hearts are in line, it would be a pity not to seize the opportunity to conquer the world. For Zibo Fund, the situation it faces is not far from that of Zhang Jiao back then. If the market gives me a valuation of 10 times price-to-book ratio, then I can double my net assets by simply issuing 10% more share capital. The money raised can easily yield double-digit returns no matter where it is placed, even in treasury bonds used for preservation subsidies. If share capital is diluted by 10% while profits double, wouldn't that mean explosive growth in performance?</p><p><b>If earnings growth is sufficient to maintain a high valuation, or even drive up the valuation level further, then it will form a cycle of high valuation, high financing, and high growth. This process is exactly what Soros calls reflexivity.</b></p><p>Unfortunately, from its listing in 1993 to its restructuring in 2000, regulators never gave Zibo Fund such an opportunity. However, in 1995, several listed funds, including Zibo Fund, experienced a brief period of hype. The reason was rumors that the \"Fund Management Law\" would be introduced that year, and small-cap funds might expand their fundraising. Expanding fundraising is the key to driving this reflexive process. So you're saying the market back then was just \"stupid people with a lot of money\"?</p><p>However, the legendary \"Fund Management Law\" has never been seen. It was not until 1997 that the China Securities Regulatory Commission (CSRC) promulgated the \"Interim Measures for the Administration of Securities Investment In 2003, the Securities Investment Fund Law was approved by the National People's Congress and officially became a national law. Please note that compared to the rumors in 1995, the name of the finally passed law now includes four more words: \"Securities Investment\".</p><p><b>China's securities investment funds ultimately chose a contractual legal system.</b>The fund company is the manager. The units issued by the fund are beneficiary certificates, and the holders of the fund units are the clients. All these arrangements seem to be a matter of course today. In fact, there is another legal system for corporate funds.</p><p>Corporate funds are legal entities that can issue shares, which are jointly owned by the fund manager and investors. Many of the industrial investment funds we see today are corporate funds. In China, there are probably no corporate-type securities investment funds. However, there are also quite a few corporate mutual funds in the United States.</p><p>From a reflexive perspective, contractual funds are not reflexive. Because when customers subscribe to fund units, the price is only based on the net asset value. In other words, only the stocks, bonds, and cash held by the fund are valued. The fund's own brand, reputation, historical performance, and resource investment such as the fund company's investment research team, front and back offices, and intangible assets are not valued. Whether they add value or destroy it, they are ignored.</p><p>Therefore, contractual funds are theoretically impossible to issue at a high premium, and it is impossible to expand a large amount of capital with a small share capital, so the reflective process cannot be achieved. Corporate funds, on the other hand, have the potential to achieve reflexivity. For example, some industrial investment funds listed on the National Equities Exchange and Quotations (NEEQ) achieved ultra-high premium issuances of around 10 times price-to-book ratio in 2014 and 2015, resulting in a multiple increase in net assets.</p><p>For example, Silicon Valley Paradise had share capital of 1.375 billion yuan and net assets of 3.37 billion yuan in the first half of 2015. After the share issuance, the share capital only increased to 1.477 billion yuan, but the net assets doubled to 6.89 billion yuan.</p><p>For example, Zhongke Zhaoshang had share capital of 1.182 billion yuan and net assets of 1.92 billion yuan at the end of 2014. After the share issuance, the share capital only increased to 1.8 billion, but the net assets surged to 14.6 billion.</p><p>It's important to understand that it typically takes several months or even years for a company to raise funds, start production, and generate profits. However, many financial assets are invested and returns begin to be calculated immediately. Therefore, if it weren't for the stock market crash in the second half of 2015 and the market downturn, the performance of these companies would have been almost a foregone conclusion. A classic reflexive process can be described as a failure at the last minute.</p><p>For investors, when participating in contractual funds, the relationship between you and the fund company is always that of a client and a manager. All the fund's returns to you are reflected solely in the net asset value of assets such as stocks and bonds. This fund and all other developments of the fund company have nothing to do with you. The fund company's recruitment of new clients has nothing to do with you, an existing client.</p><p>However, in corporate funds, investors and fund companies are team partners who work together to start a business and build a business. In addition to book value, investors can also enjoy the profits and losses brought about by fund companies' \"competition for the Central Plains\". If new investors want to come in, they must obtain the consent of a majority of the existing shareholders, and the price will certainly not be cheap. In today's industrial investment, the investment price for Series C rounds generally cannot be lower than that for Series B rounds, and the price for Series D rounds cannot be lower than that for Series C rounds. This first-come, first-served \"courtesy\" has almost become an industry practice.</p><p>When we watch movies and TV series, we hate it when others \"spoil\" them. Knowing the ending in advance will prevent you from fully immersing yourself in the prequel, affecting the viewing experience. When we study history, we must also eliminate the influence of spoilers. If, at the turn of the century, China had ultimately chosen a corporate legal system. Therefore, it was quite reasonable for the earliest batch of fund companies to buy at a high premium in 1993.</p><p>In fact, entry-level investment is very common in high-tech venture capital. For example, if I'm optimistic about a particular niche market, but I can't see the technological route and competitive landscape clearly, then I'll invest in all three or five of the best companies on the market.<b>Moreover, the price at this point is not calculated based on current financial data, but rather backwards based on future industry prospects.</b>Because no matter which company grows bigger, I can act as an old shareholder and collect the \"road money\" paid by those who come later.</p><p>In 2012, when star fund manager Wang Yawei left China Asset Management, he gave this account to reporters. He served as a mutual fund manager for 14 years, from Xinghua Fund to Huaxia Large Cap Selection. If you reinvest with dividends, you can turn 1 yuan into 28 yuan in about 14 years. This return is already quite astonishing. However, when China Asset Management was established in 1998, its registered capital was only 70 million yuan. By the time of the equity transfer in 2012, the overall valuation was 16 billion yuan, plus dividends of up to 4 billion yuan, resulting in an adjusted return of more than 200 times. Therefore, in the same year of 2014, the value growth of fund companies themselves far exceeded the performance growth of the best funds in the market.</p><p>Whether those who speculated on Zibo funds back then ever harbored such lofty dreams is now unknown. Zibo Fund is like an abandoned road sign. It points to a \"parallel time and space\" that is completely different from the world today.</p><p><b>II. Being attacked from both sides</b></p><p>In 1998, the Shanghai Composite Index fell by 3.97%. Behind this modest figure lies the turmoil in the macroeconomy and surrounding markets. In 1997, the Thai baht began to depreciate. After entering 1998, the financial crisis swept across Asia, Russia's Treasury Bond defaulted, and global stock markets plummeted.</p><p>Among the major global markets that year, Hong Kong stocks were under the greatest pressure. Because Hong Kong's economic fundamentals are highly linked to East Asia, the legal tender of the Hong Kong dollar is pegged to the US dollar. If the Hong Kong dollar can depreciate, then Hong Kong dollar-denominated stock prices can receive some support. Therefore, although the Hong Kong government directly intervened in the market and intervened strongly, the Hang Seng Index still fell by almost half in August 1998.</p><p>During this period, the A-share market performed calmly. However, regulators are already worried and under even greater pressure than in Hong Kong. On the one hand, the government has promised that the RMB will not depreciate. On the other hand, at that time, the overall P/E of A-shares was as high as 40 times, and only 5% of individual stocks had a P/E of less than 20 times. Moreover, market makers are rampant, engaging in speculation and manipulation, and a large number of retail investors are addicted to it. If foreign tycoons break in, the consequences will be unimaginable.</p><p>The concept of market makers has been far removed from the A-share market for many years. Back then, the so-called \"market maker\" referred to an individual or group of funds who controlled the vast majority of the circulating shares of a listed company and then controlled the rise and fall of the stock price at will by transferring them from one hand to the other. Then, in the next day or few days, whether the stock price will rise or fall becomes the bottom set by the market makers, while retail investors guess the riddle, just like the size of a bet in a casino.</p><p>If the dealer manipulates the game skillfully, it can last a long time. But if you mess it up, the consequences can be extremely disastrous. In 2003, the Delong Group collapsed, and they were the manipulators.<a href=\"https://laohu8.com/S/000633\">Alloy Investment</a>The trend of the 95% plunge is shown in the chart below:</p><p><img src=\"https://static.tigerbbs.com/237422e025b1ec69079e44fc95daa788\" tg-width=\"1000\" tg-height=\"457\" referrerpolicy=\"no-referrer\"></p><p>Against this backdrop, the \"old ten\" public fund management companies emerged. At this time, the fund was appointed in a time of crisis. They have always had two missions. On the one hand, we need to introduce new investment styles to the market. This proves that it is possible to make money without manipulating the market, thereby improving market pricing efficiency. On the other hand, it is also necessary to educate investors. This proves that diversified and long-term investment is superior to short-term speculation, thereby changing investors' risk appetite.</p><p>Based on these two considerations, most of the newly launched funds from 1998 to 2001 had two characteristics. First, the scale is extremely large, either 2 billion or 3 billion. Even if we look at it more than ten years from now, this scale is quite considerable. Moreover, 3 billion back then is no different from 3 billion today. It's worth noting that China's GDP in 1998 was less than 10% of that in 2020, and its M2 money supply was less than 5% of that in 2020. Second, it will be closed for a long time, with a uniform closure period of 15 years. I bought it when I was learning to speak, and when I came out, I was already a college student. This design is quite a test of investors' patience. Later, many \"old funds\" issued before 1998, such as Fund Zibo, were also restructured into such super-large-scale, long-term closed-end \"new funds\".</p><p>The launch of the new fund was warmly welcomed by shareholders. The five funds launched in 1998, each with a size of 2 billion yuan and a total of 10 billion yuan, attracted a total of 536.6 billion yuan in subscriptions, with an average success rate of less than 2%. Funds that did not win the lottery have been transferred to the secondary market and are highly sought after, resulting in a premium of over 100% for new funds. Its enthusiasm is no different from that of \"old funds\".</p><p>However, the new fund is too large, and the issuance speed is gradually accelerating. In 1999, the issuance size of new funds increased from 2 billion to 3 billion each. Speculative capital in the market quickly lost its support. Premium turns into parity, and parity turns into discount.</p><p>The chart below shows the trend of discounts and premiums of listed closed-end funds and the total size of the fund industry from 1998 to 2015. The fund data excludes samples that have been listed for less than 60 days and have a duration of less than one year. The total size of the fund industry only includes equity and mixed funds and is displayed on the logarithmic axis.</p><p><img src=\"https://static.tigerbbs.com/f139ba9aa73b2889cacf2f6806d3c1b2\" tg-width=\"1000\" tg-height=\"523\" referrerpolicy=\"no-referrer\"></p><p>As can be seen from the chart above, with the large-scale issuance of new funds, the premium rate of closed-end funds plummeted and turned into a discount. No new funds were launched throughout 2000 and the first three quarters of 2001. The premium rate for closed-end funds has gradually turned positive again.</p><p>In September 2001, open-ended funds were launched, and fund issuance accelerated again, with the premium rate for closed-end funds stabilizing as low as around -30%. After 2008, the size of the fund industry stabilized, and the premium rate of closed funds also rebounded to around -10%, stabilizing again until the last closed fund expired in 2016. In 2001,<a href=\"https://laohu8.com/S/CHN\">China Fund</a>The industry has once again made a strategic choice in its development path, shifting from closed-end funds to open-end funds. Why make this change? The most common explanation is that open-ended funds allow investors to vote with their feet, which helps achieve survival of the fittest in the fund industry. This statement seems high-sounding and irrefutable.<b>In fact, just as the vast majority of stock investors lack the ability to select stocks, there is no evidence to suggest that fund investors, as a group, have the ability to \"select funds\".</b></p><p>In May 2020, I conducted statistics on all equity and equity-oriented open-ended funds in the A-share market to examine the changes in their size after their issuance. The results showed that the median change in scale after six months was -30.5%, and the median change in scale after one year was -47%.</p><p>Why use the median? Because a small fund grows by 1000%, it's easy to mislead the average. Therefore, for sample sets with significant intrinsic differences, we usually look at the median. We can roughly understand it this way: the most common situation is that one-third of open-ended fund investors run away in six months and half in a year.</p><p>I think the above results are sufficient to demonstrate that the trading discount of fund-locked funds is not due to fund investors' dissatisfaction with their performance, but rather to deep-rooted short-term speculation habits. After holding it for a while, it always has to go. If you close it off and prevent him from redeeming it, then he would rather sell it at a discount on the secondary market.</p><p>Even more interestingly, in the above statistics, if we only look at funds with a net asset value of less than 1 yuan, their median change in size after six months is -22.8%, and their median change in size after one year is -35.8%. In other words, fund investors are unwilling to leave after losing money. Another symmetrical phenomenon is that many star funds are reluctant to accept \"market rewards\" and are afraid to expand their size. A typical example is Wang Yawei's Huaxia Large-Cap Selection Fund. Although it is an open-ended fund, it has not been open for subscription for a long time, only for redemption. The combination of these two phenomena amounts to \"survival of the fittest,\" which is completely contrary to popular explanations.</p><p><b>When the fund industry was first developed, the slogan they shouted was that \"expert wealth management\" outperformed retail investors. Unexpectedly, experts are now trying to cater to the short-term preferences of retail investors.</b>Isn't this putting the cart before the horse? Many new fund managers face enormous marketing pressure from the very beginning of their careers, leaving them with no opportunity to develop a long-term vision. Even stocks that are firmly bullish are forced to be sold at the bottom under redemption pressure. Therefore, I believe that shifting from closed to open is a bad thing rather than a good thing for the growth of the investment research team, at least the losses outweigh the gains.</p><p>However, given the specific market environment at the turn of the century, these losses were probably a necessary cost. Because the fund industry is always facing opposition from both sides, it has to face both the market and its clients. When necessary, only by compromising with customers can we better focus on dealing with the market.</p><p>From a micro perspective, no matter what method a fund company adopts, it must first expand its industry scale and solve its basic needs before it can calmly cultivate its own investment and research talent pool. From a macro perspective, without a certain amount of capital in the fund industry, it is impossible to form a discourse system for institutional investors in the market, and therefore it is impossible to talk about improving market efficiency.</p><p>By today's standards, not all of the many fund managers in the market understand value investing. However, with at least the double ten constraint (individual stocks accounting for no more than 10% of the fund's net asset value and the fund's share capital holding no more than 10%), coupled with quarterly report disclosure, bank custody, and a series of standardized management measures, it is definitely not possible to control, shake up, and violently manipulate the market like in the 1990s. Back then, being able to achieve \"standardized operation\" was already commendable.</p><p>In fact, regulators have never given up their efforts to \"revive\" closed-end funds for many years. They use various sweet offers to persuade investors to give up their short-term trading habits. This also led to another public case, which we will discuss later.</p><p><b>III. The Mystery of Discounts and Premiums</b></p><p>After 2001, the secondary market price of closed-end funds was consistently and significantly lower than their net asset value. This may be the first market phenomenon in the history of A-shares that has attracted strong attention from the academic community. Today, dozens of papers that discussed this phenomenon can be easily found on the China Knowledge Network.</p><p>According to academic norms, a literature review is required before the study. However, in this review, scholars have applied the situation in China after 2001 to the experiences of the United States and the United Kingdom. After all, there are only a few English papers that are easy to find. As far as I can see, none of the articles mention the history of China's \"old fund\" prices being significantly higher than their net asset value for a long time in the 1990s. Even after the restructuring in 1998, no article reviewed the V-shaped trend of the new fund from premium to discount and then to premium.</p><p><b>Therefore, the question of the relationship between price and net asset value becomes \"why do closed-end funds always trade at a discount?\" A specific historical phenomenon becomes a logical problem.</b>So what is the answer? Those papers in the United States simply look for reasons in terms of costs, accounting, and taxes. However, these specific reasons simply do not exist in China. Therefore, we have no choice but to end with \"no conclusion\" or simply with \"market irrationality\".</p><p>Actually, if you ask me, the answer can be summed up in four words:<b>Oversupply</b>。 It's that simple. If the fund industry develops more slowly and doesn't launch so many products, closed-end funds are very likely to continue trading at parity or even premium as they did before 2001.</p><p>A single fund has a scale of several billion yuan, with daily trading volume of only tens of millions, and an average turnover rate of less than 1%. Can this 1% represent all fund investors? Imagine if we required all holders to place a sell order, how would the order price be distributed? Perhaps 10% of people will be listed near the market price, 20% will be listed between the market price and the net asset value, 60% will be listed near the net asset value, and another 10% will probably be listed far above the net asset value. Of course, the above numbers are entirely my intuitive guess, but this distribution probably makes sense.</p><p>Similar issues exist regarding the relationship between dividends and share buybacks. Both of these are means for listed companies to distribute cash, and the academic community has published countless papers to discuss their impact on stock prices. We can also think of it this way: if all shareholders are required to place sell orders, then only a few percent or even a few thousandths of the orders will be placed near the current price, while the vast majority of other sell orders will be placed significantly higher, or even far higher, than the current price. In other words, a 5% daily turnover rate for a stock only indicates that 5% of its shareholders agree with the market price. Another 95% of shareholders believe the valuation is higher than the current price; otherwise, they would have chosen to sell.</p><p>Therefore, the effect of dividends is like sunshine, with only one ex-rights effect on the stock price.<b>Repurchases, on the other hand, targeted the elimination of the relatively least optimistic segment of all shareholders. Therefore, share buybacks have a strong upward distortion effect on stock prices.</b>I think this simple logic is more convincing than frighteningly complex mathematical models.</p><p>The above explains discounted transactions from a spatial perspective, and it is not difficult to understand from a temporal perspective. Many industries have experienced widespread losses or even losses across the entire industry. In 2016, the entire steel and coal industry suffered losses. What does this mean? This only means that some players should quit. If everyone stubbornly refuses to quit, they will continue to lose money. Fortunately, China has supply-side structural reforms. The shipping industry is a completely international industry, and it has been losing money since 2008.</p><p>Therefore, the fact that closed-end funds are generally discounted, including most US mutual funds that cannot outperform the index, shows that there are too many players, but there is still a stock of foolish money supporting them. This is probably a cyclical phenomenon rather than a logical problem. The fundamental reason is that since the 1980s, global stock markets have been in a long-term bull market and have not experienced the full adjustment that occurred in the 1930s and 1970s.</p><p>Since taking office in 1998, China's fund industry has been under pressure to mature. It hardly experienced the blue ocean phase of natural accumulation, and directly entered the red ocean according to the government's strategic plan. This is very similar to industries such as photovoltaics and wind power. In other words, the competition within the industry is extremely fierce, even brutal. However, the overall output value has risen very rapidly, and the systemic importance of the industry has increased dramatically.</p><p>China's fund industry started developing from scratch in 1998, and by 2007, nearly 30% of the circulating market capitalization of A-shares was controlled by fund companies. Please note that what is even more exciting than the 30% ratio is the momentum of going from 0 to 30% in less than ten years, which seems to be within easy reach of 40%, 50%, and 60%.</p><p>As a result, some people in leading fund companies began to have wild ideas. They felt that being just a financial investor was not interesting; they needed to be active investors and participate in the company's operational decisions. As far away as Carl in the United States<a href=\"https://laohu8.com/S/IKAN\">Ican</a>This is similar to Baoneng and Anbang in previous years. In short, the era of market makers is long gone, and value investing is just the foundation. Under the new conditions, the gameplay needs to be upgraded further.</p><p>This feeling is completely understandable. After all, whether you hold 3% or 30% of a company's shares, the enthusiasm, expectations, and sense of responsibility you invest will be drastically different. Therefore, the overall atmosphere in the fund industry during those years was in no way inferior to the heyday of internet giants. Even now, when I think back to those youthful days, I can't help but feel a surge of emotion. That feeling is similar to: the world is yours, and it is ours, but ultimately it is ours.</p><p>Unfortunately, life is unpredictable and fate can play tricks on us. At the beginning of 2020, fund companies controlled less than 7% of the A-share market capitalization. The dreams of active investors can only be mapped to another parallel universe.</p><p>From the perspective of society as a whole, a fund company's investment research team consists of only a few dozen people. If they were just buying and selling stocks, it wouldn't matter if the amount reached tens or hundreds of billions. However, if they can control dozens or hundreds of listed companies, even if it's just to speak for their interests, things will be much more complicated.</p><p>Wall Street has been widely criticized for siphoning off too much public resources during the Great Recession of 2008. This was even more evident during the COVID-19 crisis in March 2020. The Federal Reserve isn't enough to cut interest rates by 1 percentage point at once; they must be lowered to 0. Just buying Treasury Bond isn't enough; they also need to buy junk bonds. The government's various deficit plans are increasing them by 3 or 5 percentage points. If these policies aren't sufficient, the stock market will lie underground and \"die\" for you to see. When it had enough sugar, it rolled over and sat up again, and it was full of energy. If Wall Street didn't have a strong will, it would obviously be impossible for it to engage in such an effective game with the authorities, as scattered as Chinese stock market investors, who would thrive with a little sunshine.</p><p><b>Does China really want its own Wall Street? It's probably because I both want to and don't want to.</b></p><p><b>IV. The First Pot of Gold</b></p><p>I once talked to my old colleagues in the mutual fund industry about how there are so many investment schools in the market, but most fund managers started from scratch and were completely blank slates before entering the industry. What exactly determines their style? Chen Yangfan of Mammoth Asset Management said: At first, everyone was just exploring randomly until they earned their first pot of gold. How they earned their first pot of gold is basically what their style is. I completely agree with this statement.</p><p>The \"new funds\" issued between 1998 and 2001 were later called closed-end funds. It is the first pot of gold for many veteran stock market investors and fund investors. Simply put, you can blindly buy hedged funds throughout their entire lifespan, and you can basically make money in the end. Of course, there is a window of opportunity when you can lose money after buying. However, it is very short, and it is not easy to choose. Moreover, as long as you buy before the 2007 bull market, you will definitely make a huge profit in the end.</p><p>From the end of 2004 to the end of 2012, the average return of closed-end funds was 540%, while the average return of open-end funds was 236%, and the average return of individual stocks was 141%. The average return of closed-end funds can outperform all open-ended funds except Huaxia Large Cap Selection, and can also outperform more than 93% of individual stocks.</p><p>Why are there such amazing results?<b>There are two main reasons: high discounts and a strong market trend.</b></p><p>In 2004, the fund industry barely reached a scale of 200 billion yuan, and it was almost completely powerless to sprint towards 300 billion yuan again. In his book \"Fund Evergreen,\" Fan Yonghong, the first general manager of China Asset Management, recalled that the later legendary China Asset Management Large-Cap Selection only raised 2 million units on its first day of issuance. Sales staff at China Asset Management even had to compete with distribution channels for wine, \"exchanging a glass of wine for a 1 million yuan fund.\" Based on typical sales rebates, 1 million seems like a considerable amount. However, it's important to understand that a large portion of a 1 million yuan mutual fund subscription will be lost in the short term, and the remaining portion will only generate a 1.5% management fee per year. After deducting various costs, the actual benefits are likely to be negative.</p><p>In this market condition of severe oversupply, the secondary market trading price of secured funds is far lower than their net asset value, with an average discount of 28%. However, if you only focus on these 28 points and spread them out over the next few decades or so to slowly reply to them, it doesn't seem very attractive. This is indeed the case; until 2014, the average discount of secured funds was still more than 10 percentage points. In ten years, the discount rate has only returned to 18 percentage points, an annualized rate of less than 2%.</p><p>However, once high discounts are combined with a strong market trend, the situation changes completely. The same applies to buying assets worth 3 yuan with 2 yuan in cash. You could call it a 33% discount rate, or you could call it a 1.5 times leverage ratio. The discount rate has become a leverage ratio!</p><p><b>Therefore, the extremely high returns of secured funds are actually the result of the combination of two factors. First, the high discounts caused by the rapid development of the fund industry from 2001 to 2004; second, the magnificent bull market of 2006 and 2007.</b></p><p>Of course, like other investment opportunities, if you want to buck the trend and buy at the bottom, you have to overcome a few scary \"ghost stories\". For example, there were rumors in the market at the time that closed-end funds of the same company would transfer benefits to open-end funds. However, as we have already proven, most fund investors simply do not have the ability to choose funds. The fund manager risked violating regulations and laws by finally giving his colleagues a 2% return, but the fund investors were completely unaware of it, and in fact, they ran away even more. Why did you go through all this trouble?</p><p>Some people worry that fund managers who have frozen funds will operate recklessly and deliberately lose money. This makes it even more ridiculous. First, deliberately losing money is not beneficial to either the fund company or the fund manager. Moreover, under the efficient market assumption, intentionally losing money is just as difficult as \"intentionally\" making money. If you specifically buy junk stocks, you might actually make more money.</p><p>There used to be a joke that a strategist with a 70% accuracy rate in predictions could earn a million yuan annual salary. If the accuracy drops to 50%, then he is worthless. However, if the accuracy rate drops further to 5%, then he should be worth an annual salary of 5 million. And why? Because positive and negative indicators have the same value, you just need to listen to them the other way around. The key is that the accuracy rate should deviate from 50%, the more the better; it doesn't matter which way it deviates.</p><p>As mentioned earlier, after the suspension of closed-end funds in 2001, regulators were unwilling to completely abandon the closed-end fund market. However, retail investors have a stubborn habit of short-term speculation, and open-ended funds have also established a mainstream position. If we continue to issue classic closed-end funds at this point, we will most likely face the problem of discounting upon listing. Theoretically, holders can ignore market prices and simply hold their shares. However, the reality is that unrealized losses in the market price have had a significant negative impact on fund sales. So regulators handed this problem over to fund companies, asking them to design innovative closed-end funds to attract investors.</p><p>In September 2007, Dacheng Youxuan went public. It is the first innovative closed-end fund in the A-share market. Its innovations are mainly twofold: First, it sets up performance-based compensation, with the commission rate being 10% above the water level. Secondly, a conversion clause has been set up, stipulating that if the discount exceeds 20% for 50 consecutive trading days, the fund will be converted from a closed-end fund to an open-end fund.</p><p>When Dacheng Youxuan first went public, the market had high expectations for the magic of performance-based rewards, hoping that it could motivate the investment research teams of fund companies and create outstanding results. However, judging from the results, the fund's performance was not ideal, so after a brief premium, it quickly switched to discount trading, with the discount even exceeding that of classic closed-end funds.</p><p>The second innovative closed-end fund in the A-share market is called Ruifu Progress, which also has two innovations: First, it has designed a relatively complex leverage mechanism. The leverage ratio is roughly around 2 times. Secondly, a reopening clause has also been set up, stipulating that if the discount exceeds 30% for 60 consecutive trading days, it will be reopened.</p><p>Ruifu Progress lasted for 5 years from its listing in 2007 to its maturity in 2012, basically achieving continuous premium trading with an average premium rate of around 20%. In this respect alone, it is clearly more successful than Dacheng Youxuan. The reason seems to be simple: retail investors' preference for leverage exceeds their expectations for active management.</p><p>In April 2010, the China Financial Futures Exchange (CFFEX) opened up stock index futures, allowing leverage ratios to easily reach more than 5 times. Ruifu Enterprise's premium rate subsequently declined significantly, and it even experienced a discount at one point. In 2012, Furui Progress was renewed according to the contract, and the leverage ratio returned from more than 3 times to 2 times. Market interest became weaker, and the price fell rapidly until the discount rate approached 20% before stabilizing.</p><p>This shows that retail investors in the A-share market prefer short-term speculation and leverage. As for trust in expert financial management, if it exists, it ranks third at most. In 2018, Xingquan Heyi IPO, managed by Xie Zhiyu of Xingquan Fund, sold 30 billion yuan in a single day, making it a blockbuster. The fund was closed in its first year, but it was still discounted by 6% upon listing. It opened a year later, and half of the shares held were sold off as is \"customary\". It's clear that even star fund managers find it difficult to escape this vicious cycle.</p><p><b>V. Tiered Funds</b></p><p>According to the original approach, regulators wanted to establish a gentleman's agreement with retail investors. Regulators offered two characteristics: \"performance\" and \"leverage\" in exchange for retail investors accepting the condition of \"closure\". But now that the gentleman's agreement seems impossible, wouldn't it be wonderful to simply graft the \"leverage\" onto open-ended funds and directly increase their scale?</p><p>The basic principle behind this type of open-ended fund with leverage is that it is mostly divided into two levels: A and B. If the money from both levels is invested together, Class B will bear both losses and profits, while Class A will only receive fixed income. Therefore, they are collectively referred to as tiered funds</p><p>Overseas, leveraged funds generally only have leverage levels and no seniority levels. Or rather, they all use virtual priorities. The functions corresponding to the priority are all implemented by investment banks or derivatives markets. The advantage of doing this is that the size of the priority can be scaled at any time.</p><p>For example, a 2x leveraged fund. If an investor puts in 100 million yuan, the fund company will lend another 100 million yuan to provide margin financing. Then today the market fell by 5%, investors suffered a loss of 0.10 billion, and the principal dropped to 0.90 billion. Near the close of trading that day, the fund company had to reduce the margin trading amount to 90 million yuan, so that the fund's leverage would still remain at 2 times. If the market rises tomorrow, it will be adjusted back. Therefore, the margin trading amount needs to be adjusted every trading day.</p><p>From the perspective of investment products, senior funds in overseas leveraged funds are actually a lucrative opportunity. High security and good profitability, the best of both worlds. The only downside is that it has to be \"summoned and dismissed at will,\" which is unstable.</p><p>Our A-share tiered funds are essentially taking out this lucrative piece of money and distributing it to other interested fund investors to enjoy. Of course, the cost of doing this is that the size of the priority can only be adjusted in certain pre-determined special circumstances, and it is impossible to scale it down every day at the close of trading.</p><p>This innovation is not originally intended to be bad. However, problems arise when applied to a specific market environment. The first crisis for leveraged funds occurred on May 20, 2014. The protagonist was Yinhua Ruijin, a B-level fund, which is a leveraged fund. It is passive in investing, focusing on the Shenzhen 100 Index. Therefore, the rise and fall of the Shenzhen 100 Index completely determines its net asset value. In terms of sales, it has been very successful, growing from a scale of 1 billion to more than 10 billion in just four years since its launch. But the problem lies in this scale.</p><p>Due to the continuous market decline from 2011 to 2014, coupled with the continuous interest payments for senior tranches, Yinhua Ruijin's net asset value has reached near the liquidation line. In other words, if it falls further, it may affect the safety of senior funds. Therefore, once the liquidation line is reached, the product must be partially liquidated.</p><p><img src=\"https://static.tigerbbs.com/338c1c17b086c4274475aeedc22f6172\" tg-width=\"1000\" tg-height=\"464\" referrerpolicy=\"no-referrer\"></p><p>As we have explained earlier, the priority size of leveraged funds will not be gradually adjusted during the previous decline. Therefore, if a partial liquidation occurs, the potential one-time sell-off amount will reach more than 10 billion yuan. At this time, the average daily trading volume of the entire Shenzhen 100 Index was only over 10 billion yuan. Once a margin collapse occurs, it would be a heavy blow to an already exhausted market.</p><p>Moreover, since Yinhua Ruijin is a passive fund that tracks the index, the fund manager has no right to actively adjust the position. As long as the index falls below the corresponding level, it is absolutely certain that Yinhua Ruijin will be liquidated.</p><p>And then a miracle happened. At 9:38 a.m. on May 20, 2014, the Shenzhen 100 Index clearly fell below the margin call line of Yinhua Ruijin, and then was immediately pulled back sharply. Moreover, this tiny golden needle actually became the historical bottom of the Shenzhen 100 Index, and it has never fallen below it since. The image below shows the time-sharing record I kept back then:</p><p><img src=\"https://static.tigerbbs.com/0483c2453de1675c635e63d0ceb881a0\" tg-width=\"1000\" tg-height=\"448\" referrerpolicy=\"no-referrer\"></p><p>The origin of this mysterious force remains an unsolved mystery. Perhaps because the incident ultimately escaped unscathed, it caused almost no uproar, both within and outside the industry.</p><p>Tiers A and B of tiered funds each have their own net asset value and price. However, because they cannot be subscribed to and redeemed separately, they may experience significant discounts or premiums, respectively. However, A and B together form a complete open-ended fund, which can be subscribed to and redeemed. Therefore, the sum of the prices of A and B cannot deviate significantly from the sum of their net worth.</p><p>For example, both A and B have a net value of 1. At this point, the price of A can be 1.2, then the price of B is 0.8, or the price of A is 0.7, then the price of B is 1.3. In short, the prices of both can deviate from the net asset value, but the sum of the two must be stable. Otherwise, arbitrage opportunities will occur.</p><p>Due to retail investors' love of leverage, there are quite a few arbitrage opportunities where leveraged funds are priced at a premium. However, the vast majority of these opportunities are \"visible but intangible\". It is theoretically valid, but it cannot be implemented in practice. There are four main reasons:</p><p>First and foremost,<b>The vast majority of leveraged funds cannot be subscribed to and redeemed in real time.</b>If you observe a premium on day T, subscribe before the market closes on that day. On T+1, the fund company confirms the number of shares. On T+2, the fund units are reflected in the brokerage system. You also need to issue a split order before you can sell A and B respectively on T+3. At this point, is the premium still there? Generally speaking, it's no longer there. If it's still there, the arbitrage has been successful. Therefore, this issue is also related to the stability of the premium level.</p><p>The second point is<b>The price of Class A is unstable. Because A-level investors typically view it as a long-term bond.</b>They think about it this way: If I invest 100 yuan today with an annual interest rate of 6%, then the interest for 10 years will be 60 yuan, the interest for 20 years will be 120 yuan, and the interest for 30 years will be 180 yuan... So if the interest rate changes by 1%, it will have a great impact on them. However, a 1% price change for Class A does not have a significant impact on them. Of course, institutional investors will be more meticulous in their calculations. However, the trading volume of Class A is too small, there is no liquidity, and institutions rarely participate.</p><p>The third point is<b>The premium level for Class B is also unstable. When the market lacks a trend, retail investors generally regard the B-level as a magic weapon for oversold rebounds.</b>In other words, when the market plummets, Class B tends to experience a premium. Two or three days later, regardless of whether a rebound occurs or not, this premium will usually disappear.</p><p>The fourth point is...<b>The subscription fee rate for leveraged funds can reach as high as 1% to 1.5%, which greatly increases the cost of arbitrage trading.</b></p><p>However, during the bull market of 2014 and 2015, the above situation changed significantly, and premium arbitrage by leveraged funds became easier to achieve again.</p><p>First of all<a href=\"https://laohu8.com/S/601688\">Huatai Securities</a>They launched a \"blind demolition\" service, and other securities companies followed suit. The so-called blind split means that on T+1 day, the fund company confirms the shares, and before it has been reflected to the brokerage firm, you directly issue a split order to the brokerage firm. In this way, on T+2 days, the brokerage firm directly enters the split A and B into the system, and you can trade immediately. This technological innovation has greatly reduced the uncertainty of premium arbitrage.</p><p>Secondly, the price of Class A has stabilized. Starting in the second half of 2014, the central bank continuously lowered the reserve requirement ratio and interest rates, forcing many insurance companies and fixed-income products to seek returns within the securities market. Institutional investors were quite rational and quickly stabilized the price of Class A shares within a very small range, preventing them from fluctuating wildly.</p><p>Thirdly, the premium level for Class B has also stabilized. This is the simplest, yet most crucial, principle: when a bull market arrives, with boundless enthusiasm, prices continue to rise at a premium.</p><p>Article 4. The subscription fee is usually calculated as a percentage, but the highest tier has an upper limit of 1,000 yuan. Therefore, for funds of more than 5 million yuan, the fee is no longer a restriction. Why did it constitute a restriction in the past? Because of poor liquidity in the past, the amount of capital invested in a single arbitrage was too large, and I was afraid I wouldn't be able to get it out. During a bull market, liquidity has improved significantly, allowing for direct investment in whole-house renovations.</p><p>From the end of 2014 to mid-2015, funds focused on premium arbitrage in leveraged funds achieved returns of approximately 2 to 3 times. This performance outperforms most mutual funds, but it's not too exaggerated. However, its advantage is that it \"doesn't hang a string until it sees the Japanese,\" moving when there is a signal and stopping when there is no signal, so there is no question of hesitating to cut losses. Therefore, the gains of the bull market were preserved. Most public and private funds experienced severe pullback/retracement in the subsequent stock market crash.</p><p>So, after the market peaks, what investment opportunities do leveraged funds still have? Actually, there are some options: observe which Class B positions are about to be liquidated, and then buy the corresponding Class A positions.</p><p>As we mentioned earlier, in May 2014, the market experienced a near-miss potential crisis. At the time, Yinhua Ruijin was a giant fund with a potential sell-off of around 10 billion yuan. However, during the stock market crash, the situation changed to several giant funds, plus dozens of small and medium-sized funds, with tens of billions of yuan in potential sell-offs, which were exposed continuously within a concentrated period of time.</p><p>On August 24, 2015, ChiNext B shares were liquidated, triggering a sell-off of approximately 4.5 billion yuan. On August 27, Securities B suffered a liquidation, triggering a sell-off of approximately 7.5 billion yuan. On August 28, state-owned enterprises liquidated their positions after converting to B-shares, triggering a sell-off of approximately 13 billion yuan...</p><p>Because the terms, share capital, and net asset value information of mutual funds are all publicly available, the key information under which these funds would liquidate their positions and the size of the potential sell-off is also publicly available. If you anticipate that a fund is about to be liquidated, the most rational decision is to short the relevant stocks first, both to avoid risk and to induce a liquidation. After the fund executes the liquidation, buy it back from the low point. Facts have repeatedly proven that every giant leveraged fund that has been wiped out has created a trap in the market, with the liquidation positions always being cut at the lowest point.</p><p>The above characteristics are extremely disadvantageous to Class B, while Class A benefits. The specific calculations are quite complex, so I'll skip them here. Those interested can consult the relevant fund's prospectus and other materials.</p><p>The fact that leveraged funds \"passively dumped their shares\" during the stock market crash has drawn widespread criticism both inside and outside the industry. In 2018, the China Securities Regulatory Commission (CSRC) issued the \"New Asset Management Regulations,\" requiring all tiered funds to undergo complete transformation. However, a large number of leveraged funds were still trading until early 2020. However, I believe that even if leveraged funds really disappear, newer products will emerge in the future.</p><p>The story of net worth and price will continue.</p><p>Author: Ding Chang</p>","source":"lsy1617412441808","collect":0,"html":"<!DOCTYPE html>\n<html>\n<head>\n<meta http-equiv=\"Content-Type\" content=\"text/html; charset=utf-8\" />\n<meta name=\"viewport\" content=\"width=device-width,initial-scale=1.0,minimum-scale=1.0,maximum-scale=1.0,user-scalable=no\"/>\n<meta name=\"format-detection\" content=\"telephone=no,email=no,address=no\" />\n<title>Twenty Years of Public Funds</title>\n<style type=\"text/css\">\na,abbr,acronym,address,applet,article,aside,audio,b,big,blockquote,body,canvas,caption,center,cite,code,dd,del,details,dfn,div,dl,dt,\nem,embed,fieldset,figcaption,figure,footer,form,h1,h2,h3,h4,h5,h6,header,hgroup,html,i,iframe,img,ins,kbd,label,legend,li,mark,menu,nav,\nobject,ol,output,p,pre,q,ruby,s,samp,section,small,span,strike,strong,sub,summary,sup,table,tbody,td,tfoot,th,thead,time,tr,tt,u,ul,var,video{ font:inherit;margin:0;padding:0;vertical-align:baseline;border:0 }\nbody{ font-size:16px; line-height:1.5; color:#999; background:transparent; }\n.wrapper{ overflow:hidden;word-break:break-all;padding:10px; }\nh1,h2{ font-weight:normal; line-height:1.35; margin-bottom:.6em; }\nh3,h4,h5,h6{ line-height:1.35; margin-bottom:1em; }\nh1{ font-size:24px; }\nh2{ font-size:20px; }\nh3{ font-size:18px; }\nh4{ font-size:16px; }\nh5{ font-size:14px; }\nh6{ font-size:12px; }\np,ul,ol,blockquote,dl,table{ margin:1.2em 0; }\nul,ol{ margin-left:2em; }\nul{ list-style:disc; }\nol{ list-style:decimal; }\nli,li p{ margin:10px 0;}\nimg{ max-width:100%;display:block;margin:0 auto 1em; }\nblockquote{ color:#B5B2B1; border-left:3px solid #aaa; padding:1em; }\nstrong,b{font-weight:bold;}\nem,i{font-style:italic;}\ntable{ width:100%;border-collapse:collapse;border-spacing:1px;margin:1em 0;font-size:.9em; }\nth,td{ padding:5px;text-align:left;border:1px solid #aaa; }\nth{ font-weight:bold;background:#5d5d5d; }\n.symbol-link{font-weight:bold;}\n/* header{ border-bottom:1px solid #494756; } */\n.title{ margin:0 0 8px;line-height:1.3;color:#ddd; }\n.meta {color:#5e5c6d;font-size:13px;margin:0 0 .5em; }\na{text-decoration:none; color:#2a4b87;}\n.meta .head { display: inline-block; overflow: hidden}\n.head .h-thumb { width: 30px; height: 30px; margin: 0; padding: 0; border-radius: 50%; float: left;}\n.head .h-content { margin: 0; padding: 0 0 0 9px; float: left;}\n.head .h-name {font-size: 13px; color: #eee; margin: 0;}\n.head .h-time {font-size: 12.5px; color: #7E829C; margin: 0;}\n.small {font-size: 12.5px; display: inline-block; transform: scale(0.9); -webkit-transform: scale(0.9); transform-origin: left; -webkit-transform-origin: left;}\n.smaller {font-size: 12.5px; display: inline-block; transform: scale(0.8); -webkit-transform: scale(0.8); transform-origin: left; -webkit-transform-origin: left;}\n.bt-text {font-size: 12px;margin: 1.5em 0 0 0}\n.bt-text p {margin: 0}\n</style>\n</head>\n<body>\n<div class=\"wrapper\">\n<header>\n<h2 class=\"title\">\nTwenty Years of Public Funds\n</h2>\n<h4 class=\"meta\">\n<p class=\"head\">\n<strong class=\"h-name small\">小鲜传</strong><span class=\"h-time small\">2021-04-03 09:00</span>\n</p>\n</h4>\n</header>\n<article>\n<p><b>I. Passionate Years</b></p><p>In 1986, at that time<a href=\"https://laohu8.com/S/601398\">Industrial and Commercial Bank</a>Its subsidiary, Shanghai Trust & Investment Corporation, established a securities business department to conduct stock trading. In 1988, the People's Bank of China approved pilot treasury bill trading in several cities. In 1990, the Shanghai and Shenzhen Stock Exchanges opened one after another. In 1992, mutual funds were established in Shenzhen, Shenyang, Dalian, Wuhan and other places. In August 1993, Zibo Fund, originating from Shandong, was listed on the Shanghai Stock Exchange, becoming China's first listed fund. Subsequently, many more funds were listed and traded in various regions. Zibo Fund issued a net asset value of 1 yuan and closed at 5 yuan on the day of listing. In 2000, Zibo Fund was restructured and merged into Hanbo Fund. The fund's highest transaction price during its existence reached 12.39 yuan, and its lowest price was 1.6 yuan. The price has always been far higher than the net asset value. To today's investors, such a \"record\" would inevitably make them cover their faces and laugh: \"Back then, people were really foolish and had a lot of money.\" But is history really that simple? That's probably not entirely true.</p><p>The Zibo Fund is directly approved by the People's Bank of China and mainly invests in the equity of township enterprises and related service industries in the Zibo area. This investment shall not be less than 60% of the fund's net asset value. At the same time, you can invest in various bonds and listed company stocks, with this investment not exceeding 40% of the fund's net asset value.</p><p>Therefore, it is clear that this Zibo fund is not a securities investment fund as we usually understand it today, but a hybrid of securities and industrial investment funds. Moreover, from a legal perspective, it is clearly not established based on a contract, but rather an independent legal entity approved by the central bank. Or we could simply say that it is actually a listed company whose main business is investment and holding.</p><p>If we look at its valuation from this perspective, it becomes easier to understand. In 1993, China's economy overheated across the board. The CPI grew by 14.7% year-on-year, and fixed asset investment grew by 45.3%. People's pursuit of investment opportunities has reached a frenzy. The extremely high premium of Zibo funds is a micro-reflection of this macro background.</p><p>In \"Romance of the Three Kingdoms\", Luo Guanzhong arranged a line for Zhang Jiao, the leader of the Yellow Turban Uprising: \"The most rare thing is the hearts of the people.\" Now that the people's hearts are in line, it would be a pity not to seize the opportunity to conquer the world. For Zibo Fund, the situation it faces is not far from that of Zhang Jiao back then. If the market gives me a valuation of 10 times price-to-book ratio, then I can double my net assets by simply issuing 10% more share capital. The money raised can easily yield double-digit returns no matter where it is placed, even in treasury bonds used for preservation subsidies. If share capital is diluted by 10% while profits double, wouldn't that mean explosive growth in performance?</p><p><b>If earnings growth is sufficient to maintain a high valuation, or even drive up the valuation level further, then it will form a cycle of high valuation, high financing, and high growth. This process is exactly what Soros calls reflexivity.</b></p><p>Unfortunately, from its listing in 1993 to its restructuring in 2000, regulators never gave Zibo Fund such an opportunity. However, in 1995, several listed funds, including Zibo Fund, experienced a brief period of hype. The reason was rumors that the \"Fund Management Law\" would be introduced that year, and small-cap funds might expand their fundraising. Expanding fundraising is the key to driving this reflexive process. So you're saying the market back then was just \"stupid people with a lot of money\"?</p><p>However, the legendary \"Fund Management Law\" has never been seen. It was not until 1997 that the China Securities Regulatory Commission (CSRC) promulgated the \"Interim Measures for the Administration of Securities Investment In 2003, the Securities Investment Fund Law was approved by the National People's Congress and officially became a national law. Please note that compared to the rumors in 1995, the name of the finally passed law now includes four more words: \"Securities Investment\".</p><p><b>China's securities investment funds ultimately chose a contractual legal system.</b>The fund company is the manager. The units issued by the fund are beneficiary certificates, and the holders of the fund units are the clients. All these arrangements seem to be a matter of course today. In fact, there is another legal system for corporate funds.</p><p>Corporate funds are legal entities that can issue shares, which are jointly owned by the fund manager and investors. Many of the industrial investment funds we see today are corporate funds. In China, there are probably no corporate-type securities investment funds. However, there are also quite a few corporate mutual funds in the United States.</p><p>From a reflexive perspective, contractual funds are not reflexive. Because when customers subscribe to fund units, the price is only based on the net asset value. In other words, only the stocks, bonds, and cash held by the fund are valued. The fund's own brand, reputation, historical performance, and resource investment such as the fund company's investment research team, front and back offices, and intangible assets are not valued. Whether they add value or destroy it, they are ignored.</p><p>Therefore, contractual funds are theoretically impossible to issue at a high premium, and it is impossible to expand a large amount of capital with a small share capital, so the reflective process cannot be achieved. Corporate funds, on the other hand, have the potential to achieve reflexivity. For example, some industrial investment funds listed on the National Equities Exchange and Quotations (NEEQ) achieved ultra-high premium issuances of around 10 times price-to-book ratio in 2014 and 2015, resulting in a multiple increase in net assets.</p><p>For example, Silicon Valley Paradise had share capital of 1.375 billion yuan and net assets of 3.37 billion yuan in the first half of 2015. After the share issuance, the share capital only increased to 1.477 billion yuan, but the net assets doubled to 6.89 billion yuan.</p><p>For example, Zhongke Zhaoshang had share capital of 1.182 billion yuan and net assets of 1.92 billion yuan at the end of 2014. After the share issuance, the share capital only increased to 1.8 billion, but the net assets surged to 14.6 billion.</p><p>It's important to understand that it typically takes several months or even years for a company to raise funds, start production, and generate profits. However, many financial assets are invested and returns begin to be calculated immediately. Therefore, if it weren't for the stock market crash in the second half of 2015 and the market downturn, the performance of these companies would have been almost a foregone conclusion. A classic reflexive process can be described as a failure at the last minute.</p><p>For investors, when participating in contractual funds, the relationship between you and the fund company is always that of a client and a manager. All the fund's returns to you are reflected solely in the net asset value of assets such as stocks and bonds. This fund and all other developments of the fund company have nothing to do with you. The fund company's recruitment of new clients has nothing to do with you, an existing client.</p><p>However, in corporate funds, investors and fund companies are team partners who work together to start a business and build a business. In addition to book value, investors can also enjoy the profits and losses brought about by fund companies' \"competition for the Central Plains\". If new investors want to come in, they must obtain the consent of a majority of the existing shareholders, and the price will certainly not be cheap. In today's industrial investment, the investment price for Series C rounds generally cannot be lower than that for Series B rounds, and the price for Series D rounds cannot be lower than that for Series C rounds. This first-come, first-served \"courtesy\" has almost become an industry practice.</p><p>When we watch movies and TV series, we hate it when others \"spoil\" them. Knowing the ending in advance will prevent you from fully immersing yourself in the prequel, affecting the viewing experience. When we study history, we must also eliminate the influence of spoilers. If, at the turn of the century, China had ultimately chosen a corporate legal system. Therefore, it was quite reasonable for the earliest batch of fund companies to buy at a high premium in 1993.</p><p>In fact, entry-level investment is very common in high-tech venture capital. For example, if I'm optimistic about a particular niche market, but I can't see the technological route and competitive landscape clearly, then I'll invest in all three or five of the best companies on the market.<b>Moreover, the price at this point is not calculated based on current financial data, but rather backwards based on future industry prospects.</b>Because no matter which company grows bigger, I can act as an old shareholder and collect the \"road money\" paid by those who come later.</p><p>In 2012, when star fund manager Wang Yawei left China Asset Management, he gave this account to reporters. He served as a mutual fund manager for 14 years, from Xinghua Fund to Huaxia Large Cap Selection. If you reinvest with dividends, you can turn 1 yuan into 28 yuan in about 14 years. This return is already quite astonishing. However, when China Asset Management was established in 1998, its registered capital was only 70 million yuan. By the time of the equity transfer in 2012, the overall valuation was 16 billion yuan, plus dividends of up to 4 billion yuan, resulting in an adjusted return of more than 200 times. Therefore, in the same year of 2014, the value growth of fund companies themselves far exceeded the performance growth of the best funds in the market.</p><p>Whether those who speculated on Zibo funds back then ever harbored such lofty dreams is now unknown. Zibo Fund is like an abandoned road sign. It points to a \"parallel time and space\" that is completely different from the world today.</p><p><b>II. Being attacked from both sides</b></p><p>In 1998, the Shanghai Composite Index fell by 3.97%. Behind this modest figure lies the turmoil in the macroeconomy and surrounding markets. In 1997, the Thai baht began to depreciate. After entering 1998, the financial crisis swept across Asia, Russia's Treasury Bond defaulted, and global stock markets plummeted.</p><p>Among the major global markets that year, Hong Kong stocks were under the greatest pressure. Because Hong Kong's economic fundamentals are highly linked to East Asia, the legal tender of the Hong Kong dollar is pegged to the US dollar. If the Hong Kong dollar can depreciate, then Hong Kong dollar-denominated stock prices can receive some support. Therefore, although the Hong Kong government directly intervened in the market and intervened strongly, the Hang Seng Index still fell by almost half in August 1998.</p><p>During this period, the A-share market performed calmly. However, regulators are already worried and under even greater pressure than in Hong Kong. On the one hand, the government has promised that the RMB will not depreciate. On the other hand, at that time, the overall P/E of A-shares was as high as 40 times, and only 5% of individual stocks had a P/E of less than 20 times. Moreover, market makers are rampant, engaging in speculation and manipulation, and a large number of retail investors are addicted to it. If foreign tycoons break in, the consequences will be unimaginable.</p><p>The concept of market makers has been far removed from the A-share market for many years. Back then, the so-called \"market maker\" referred to an individual or group of funds who controlled the vast majority of the circulating shares of a listed company and then controlled the rise and fall of the stock price at will by transferring them from one hand to the other. Then, in the next day or few days, whether the stock price will rise or fall becomes the bottom set by the market makers, while retail investors guess the riddle, just like the size of a bet in a casino.</p><p>If the dealer manipulates the game skillfully, it can last a long time. But if you mess it up, the consequences can be extremely disastrous. In 2003, the Delong Group collapsed, and they were the manipulators.<a href=\"https://laohu8.com/S/000633\">Alloy Investment</a>The trend of the 95% plunge is shown in the chart below:</p><p><img src=\"https://static.tigerbbs.com/237422e025b1ec69079e44fc95daa788\" tg-width=\"1000\" tg-height=\"457\" referrerpolicy=\"no-referrer\"></p><p>Against this backdrop, the \"old ten\" public fund management companies emerged. At this time, the fund was appointed in a time of crisis. They have always had two missions. On the one hand, we need to introduce new investment styles to the market. This proves that it is possible to make money without manipulating the market, thereby improving market pricing efficiency. On the other hand, it is also necessary to educate investors. This proves that diversified and long-term investment is superior to short-term speculation, thereby changing investors' risk appetite.</p><p>Based on these two considerations, most of the newly launched funds from 1998 to 2001 had two characteristics. First, the scale is extremely large, either 2 billion or 3 billion. Even if we look at it more than ten years from now, this scale is quite considerable. Moreover, 3 billion back then is no different from 3 billion today. It's worth noting that China's GDP in 1998 was less than 10% of that in 2020, and its M2 money supply was less than 5% of that in 2020. Second, it will be closed for a long time, with a uniform closure period of 15 years. I bought it when I was learning to speak, and when I came out, I was already a college student. This design is quite a test of investors' patience. Later, many \"old funds\" issued before 1998, such as Fund Zibo, were also restructured into such super-large-scale, long-term closed-end \"new funds\".</p><p>The launch of the new fund was warmly welcomed by shareholders. The five funds launched in 1998, each with a size of 2 billion yuan and a total of 10 billion yuan, attracted a total of 536.6 billion yuan in subscriptions, with an average success rate of less than 2%. Funds that did not win the lottery have been transferred to the secondary market and are highly sought after, resulting in a premium of over 100% for new funds. Its enthusiasm is no different from that of \"old funds\".</p><p>However, the new fund is too large, and the issuance speed is gradually accelerating. In 1999, the issuance size of new funds increased from 2 billion to 3 billion each. Speculative capital in the market quickly lost its support. Premium turns into parity, and parity turns into discount.</p><p>The chart below shows the trend of discounts and premiums of listed closed-end funds and the total size of the fund industry from 1998 to 2015. The fund data excludes samples that have been listed for less than 60 days and have a duration of less than one year. The total size of the fund industry only includes equity and mixed funds and is displayed on the logarithmic axis.</p><p><img src=\"https://static.tigerbbs.com/f139ba9aa73b2889cacf2f6806d3c1b2\" tg-width=\"1000\" tg-height=\"523\" referrerpolicy=\"no-referrer\"></p><p>As can be seen from the chart above, with the large-scale issuance of new funds, the premium rate of closed-end funds plummeted and turned into a discount. No new funds were launched throughout 2000 and the first three quarters of 2001. The premium rate for closed-end funds has gradually turned positive again.</p><p>In September 2001, open-ended funds were launched, and fund issuance accelerated again, with the premium rate for closed-end funds stabilizing as low as around -30%. After 2008, the size of the fund industry stabilized, and the premium rate of closed funds also rebounded to around -10%, stabilizing again until the last closed fund expired in 2016. In 2001,<a href=\"https://laohu8.com/S/CHN\">China Fund</a>The industry has once again made a strategic choice in its development path, shifting from closed-end funds to open-end funds. Why make this change? The most common explanation is that open-ended funds allow investors to vote with their feet, which helps achieve survival of the fittest in the fund industry. This statement seems high-sounding and irrefutable.<b>In fact, just as the vast majority of stock investors lack the ability to select stocks, there is no evidence to suggest that fund investors, as a group, have the ability to \"select funds\".</b></p><p>In May 2020, I conducted statistics on all equity and equity-oriented open-ended funds in the A-share market to examine the changes in their size after their issuance. The results showed that the median change in scale after six months was -30.5%, and the median change in scale after one year was -47%.</p><p>Why use the median? Because a small fund grows by 1000%, it's easy to mislead the average. Therefore, for sample sets with significant intrinsic differences, we usually look at the median. We can roughly understand it this way: the most common situation is that one-third of open-ended fund investors run away in six months and half in a year.</p><p>I think the above results are sufficient to demonstrate that the trading discount of fund-locked funds is not due to fund investors' dissatisfaction with their performance, but rather to deep-rooted short-term speculation habits. After holding it for a while, it always has to go. If you close it off and prevent him from redeeming it, then he would rather sell it at a discount on the secondary market.</p><p>Even more interestingly, in the above statistics, if we only look at funds with a net asset value of less than 1 yuan, their median change in size after six months is -22.8%, and their median change in size after one year is -35.8%. In other words, fund investors are unwilling to leave after losing money. Another symmetrical phenomenon is that many star funds are reluctant to accept \"market rewards\" and are afraid to expand their size. A typical example is Wang Yawei's Huaxia Large-Cap Selection Fund. Although it is an open-ended fund, it has not been open for subscription for a long time, only for redemption. The combination of these two phenomena amounts to \"survival of the fittest,\" which is completely contrary to popular explanations.</p><p><b>When the fund industry was first developed, the slogan they shouted was that \"expert wealth management\" outperformed retail investors. Unexpectedly, experts are now trying to cater to the short-term preferences of retail investors.</b>Isn't this putting the cart before the horse? Many new fund managers face enormous marketing pressure from the very beginning of their careers, leaving them with no opportunity to develop a long-term vision. Even stocks that are firmly bullish are forced to be sold at the bottom under redemption pressure. Therefore, I believe that shifting from closed to open is a bad thing rather than a good thing for the growth of the investment research team, at least the losses outweigh the gains.</p><p>However, given the specific market environment at the turn of the century, these losses were probably a necessary cost. Because the fund industry is always facing opposition from both sides, it has to face both the market and its clients. When necessary, only by compromising with customers can we better focus on dealing with the market.</p><p>From a micro perspective, no matter what method a fund company adopts, it must first expand its industry scale and solve its basic needs before it can calmly cultivate its own investment and research talent pool. From a macro perspective, without a certain amount of capital in the fund industry, it is impossible to form a discourse system for institutional investors in the market, and therefore it is impossible to talk about improving market efficiency.</p><p>By today's standards, not all of the many fund managers in the market understand value investing. However, with at least the double ten constraint (individual stocks accounting for no more than 10% of the fund's net asset value and the fund's share capital holding no more than 10%), coupled with quarterly report disclosure, bank custody, and a series of standardized management measures, it is definitely not possible to control, shake up, and violently manipulate the market like in the 1990s. Back then, being able to achieve \"standardized operation\" was already commendable.</p><p>In fact, regulators have never given up their efforts to \"revive\" closed-end funds for many years. They use various sweet offers to persuade investors to give up their short-term trading habits. This also led to another public case, which we will discuss later.</p><p><b>III. The Mystery of Discounts and Premiums</b></p><p>After 2001, the secondary market price of closed-end funds was consistently and significantly lower than their net asset value. This may be the first market phenomenon in the history of A-shares that has attracted strong attention from the academic community. Today, dozens of papers that discussed this phenomenon can be easily found on the China Knowledge Network.</p><p>According to academic norms, a literature review is required before the study. However, in this review, scholars have applied the situation in China after 2001 to the experiences of the United States and the United Kingdom. After all, there are only a few English papers that are easy to find. As far as I can see, none of the articles mention the history of China's \"old fund\" prices being significantly higher than their net asset value for a long time in the 1990s. Even after the restructuring in 1998, no article reviewed the V-shaped trend of the new fund from premium to discount and then to premium.</p><p><b>Therefore, the question of the relationship between price and net asset value becomes \"why do closed-end funds always trade at a discount?\" A specific historical phenomenon becomes a logical problem.</b>So what is the answer? Those papers in the United States simply look for reasons in terms of costs, accounting, and taxes. However, these specific reasons simply do not exist in China. Therefore, we have no choice but to end with \"no conclusion\" or simply with \"market irrationality\".</p><p>Actually, if you ask me, the answer can be summed up in four words:<b>Oversupply</b>。 It's that simple. If the fund industry develops more slowly and doesn't launch so many products, closed-end funds are very likely to continue trading at parity or even premium as they did before 2001.</p><p>A single fund has a scale of several billion yuan, with daily trading volume of only tens of millions, and an average turnover rate of less than 1%. Can this 1% represent all fund investors? Imagine if we required all holders to place a sell order, how would the order price be distributed? Perhaps 10% of people will be listed near the market price, 20% will be listed between the market price and the net asset value, 60% will be listed near the net asset value, and another 10% will probably be listed far above the net asset value. Of course, the above numbers are entirely my intuitive guess, but this distribution probably makes sense.</p><p>Similar issues exist regarding the relationship between dividends and share buybacks. Both of these are means for listed companies to distribute cash, and the academic community has published countless papers to discuss their impact on stock prices. We can also think of it this way: if all shareholders are required to place sell orders, then only a few percent or even a few thousandths of the orders will be placed near the current price, while the vast majority of other sell orders will be placed significantly higher, or even far higher, than the current price. In other words, a 5% daily turnover rate for a stock only indicates that 5% of its shareholders agree with the market price. Another 95% of shareholders believe the valuation is higher than the current price; otherwise, they would have chosen to sell.</p><p>Therefore, the effect of dividends is like sunshine, with only one ex-rights effect on the stock price.<b>Repurchases, on the other hand, targeted the elimination of the relatively least optimistic segment of all shareholders. Therefore, share buybacks have a strong upward distortion effect on stock prices.</b>I think this simple logic is more convincing than frighteningly complex mathematical models.</p><p>The above explains discounted transactions from a spatial perspective, and it is not difficult to understand from a temporal perspective. Many industries have experienced widespread losses or even losses across the entire industry. In 2016, the entire steel and coal industry suffered losses. What does this mean? This only means that some players should quit. If everyone stubbornly refuses to quit, they will continue to lose money. Fortunately, China has supply-side structural reforms. The shipping industry is a completely international industry, and it has been losing money since 2008.</p><p>Therefore, the fact that closed-end funds are generally discounted, including most US mutual funds that cannot outperform the index, shows that there are too many players, but there is still a stock of foolish money supporting them. This is probably a cyclical phenomenon rather than a logical problem. The fundamental reason is that since the 1980s, global stock markets have been in a long-term bull market and have not experienced the full adjustment that occurred in the 1930s and 1970s.</p><p>Since taking office in 1998, China's fund industry has been under pressure to mature. It hardly experienced the blue ocean phase of natural accumulation, and directly entered the red ocean according to the government's strategic plan. This is very similar to industries such as photovoltaics and wind power. In other words, the competition within the industry is extremely fierce, even brutal. However, the overall output value has risen very rapidly, and the systemic importance of the industry has increased dramatically.</p><p>China's fund industry started developing from scratch in 1998, and by 2007, nearly 30% of the circulating market capitalization of A-shares was controlled by fund companies. Please note that what is even more exciting than the 30% ratio is the momentum of going from 0 to 30% in less than ten years, which seems to be within easy reach of 40%, 50%, and 60%.</p><p>As a result, some people in leading fund companies began to have wild ideas. They felt that being just a financial investor was not interesting; they needed to be active investors and participate in the company's operational decisions. As far away as Carl in the United States<a href=\"https://laohu8.com/S/IKAN\">Ican</a>This is similar to Baoneng and Anbang in previous years. In short, the era of market makers is long gone, and value investing is just the foundation. Under the new conditions, the gameplay needs to be upgraded further.</p><p>This feeling is completely understandable. After all, whether you hold 3% or 30% of a company's shares, the enthusiasm, expectations, and sense of responsibility you invest will be drastically different. Therefore, the overall atmosphere in the fund industry during those years was in no way inferior to the heyday of internet giants. Even now, when I think back to those youthful days, I can't help but feel a surge of emotion. That feeling is similar to: the world is yours, and it is ours, but ultimately it is ours.</p><p>Unfortunately, life is unpredictable and fate can play tricks on us. At the beginning of 2020, fund companies controlled less than 7% of the A-share market capitalization. The dreams of active investors can only be mapped to another parallel universe.</p><p>From the perspective of society as a whole, a fund company's investment research team consists of only a few dozen people. If they were just buying and selling stocks, it wouldn't matter if the amount reached tens or hundreds of billions. However, if they can control dozens or hundreds of listed companies, even if it's just to speak for their interests, things will be much more complicated.</p><p>Wall Street has been widely criticized for siphoning off too much public resources during the Great Recession of 2008. This was even more evident during the COVID-19 crisis in March 2020. The Federal Reserve isn't enough to cut interest rates by 1 percentage point at once; they must be lowered to 0. Just buying Treasury Bond isn't enough; they also need to buy junk bonds. The government's various deficit plans are increasing them by 3 or 5 percentage points. If these policies aren't sufficient, the stock market will lie underground and \"die\" for you to see. When it had enough sugar, it rolled over and sat up again, and it was full of energy. If Wall Street didn't have a strong will, it would obviously be impossible for it to engage in such an effective game with the authorities, as scattered as Chinese stock market investors, who would thrive with a little sunshine.</p><p><b>Does China really want its own Wall Street? It's probably because I both want to and don't want to.</b></p><p><b>IV. The First Pot of Gold</b></p><p>I once talked to my old colleagues in the mutual fund industry about how there are so many investment schools in the market, but most fund managers started from scratch and were completely blank slates before entering the industry. What exactly determines their style? Chen Yangfan of Mammoth Asset Management said: At first, everyone was just exploring randomly until they earned their first pot of gold. How they earned their first pot of gold is basically what their style is. I completely agree with this statement.</p><p>The \"new funds\" issued between 1998 and 2001 were later called closed-end funds. It is the first pot of gold for many veteran stock market investors and fund investors. Simply put, you can blindly buy hedged funds throughout their entire lifespan, and you can basically make money in the end. Of course, there is a window of opportunity when you can lose money after buying. However, it is very short, and it is not easy to choose. Moreover, as long as you buy before the 2007 bull market, you will definitely make a huge profit in the end.</p><p>From the end of 2004 to the end of 2012, the average return of closed-end funds was 540%, while the average return of open-end funds was 236%, and the average return of individual stocks was 141%. The average return of closed-end funds can outperform all open-ended funds except Huaxia Large Cap Selection, and can also outperform more than 93% of individual stocks.</p><p>Why are there such amazing results?<b>There are two main reasons: high discounts and a strong market trend.</b></p><p>In 2004, the fund industry barely reached a scale of 200 billion yuan, and it was almost completely powerless to sprint towards 300 billion yuan again. In his book \"Fund Evergreen,\" Fan Yonghong, the first general manager of China Asset Management, recalled that the later legendary China Asset Management Large-Cap Selection only raised 2 million units on its first day of issuance. Sales staff at China Asset Management even had to compete with distribution channels for wine, \"exchanging a glass of wine for a 1 million yuan fund.\" Based on typical sales rebates, 1 million seems like a considerable amount. However, it's important to understand that a large portion of a 1 million yuan mutual fund subscription will be lost in the short term, and the remaining portion will only generate a 1.5% management fee per year. After deducting various costs, the actual benefits are likely to be negative.</p><p>In this market condition of severe oversupply, the secondary market trading price of secured funds is far lower than their net asset value, with an average discount of 28%. However, if you only focus on these 28 points and spread them out over the next few decades or so to slowly reply to them, it doesn't seem very attractive. This is indeed the case; until 2014, the average discount of secured funds was still more than 10 percentage points. In ten years, the discount rate has only returned to 18 percentage points, an annualized rate of less than 2%.</p><p>However, once high discounts are combined with a strong market trend, the situation changes completely. The same applies to buying assets worth 3 yuan with 2 yuan in cash. You could call it a 33% discount rate, or you could call it a 1.5 times leverage ratio. The discount rate has become a leverage ratio!</p><p><b>Therefore, the extremely high returns of secured funds are actually the result of the combination of two factors. First, the high discounts caused by the rapid development of the fund industry from 2001 to 2004; second, the magnificent bull market of 2006 and 2007.</b></p><p>Of course, like other investment opportunities, if you want to buck the trend and buy at the bottom, you have to overcome a few scary \"ghost stories\". For example, there were rumors in the market at the time that closed-end funds of the same company would transfer benefits to open-end funds. However, as we have already proven, most fund investors simply do not have the ability to choose funds. The fund manager risked violating regulations and laws by finally giving his colleagues a 2% return, but the fund investors were completely unaware of it, and in fact, they ran away even more. Why did you go through all this trouble?</p><p>Some people worry that fund managers who have frozen funds will operate recklessly and deliberately lose money. This makes it even more ridiculous. First, deliberately losing money is not beneficial to either the fund company or the fund manager. Moreover, under the efficient market assumption, intentionally losing money is just as difficult as \"intentionally\" making money. If you specifically buy junk stocks, you might actually make more money.</p><p>There used to be a joke that a strategist with a 70% accuracy rate in predictions could earn a million yuan annual salary. If the accuracy drops to 50%, then he is worthless. However, if the accuracy rate drops further to 5%, then he should be worth an annual salary of 5 million. And why? Because positive and negative indicators have the same value, you just need to listen to them the other way around. The key is that the accuracy rate should deviate from 50%, the more the better; it doesn't matter which way it deviates.</p><p>As mentioned earlier, after the suspension of closed-end funds in 2001, regulators were unwilling to completely abandon the closed-end fund market. However, retail investors have a stubborn habit of short-term speculation, and open-ended funds have also established a mainstream position. If we continue to issue classic closed-end funds at this point, we will most likely face the problem of discounting upon listing. Theoretically, holders can ignore market prices and simply hold their shares. However, the reality is that unrealized losses in the market price have had a significant negative impact on fund sales. So regulators handed this problem over to fund companies, asking them to design innovative closed-end funds to attract investors.</p><p>In September 2007, Dacheng Youxuan went public. It is the first innovative closed-end fund in the A-share market. Its innovations are mainly twofold: First, it sets up performance-based compensation, with the commission rate being 10% above the water level. Secondly, a conversion clause has been set up, stipulating that if the discount exceeds 20% for 50 consecutive trading days, the fund will be converted from a closed-end fund to an open-end fund.</p><p>When Dacheng Youxuan first went public, the market had high expectations for the magic of performance-based rewards, hoping that it could motivate the investment research teams of fund companies and create outstanding results. However, judging from the results, the fund's performance was not ideal, so after a brief premium, it quickly switched to discount trading, with the discount even exceeding that of classic closed-end funds.</p><p>The second innovative closed-end fund in the A-share market is called Ruifu Progress, which also has two innovations: First, it has designed a relatively complex leverage mechanism. The leverage ratio is roughly around 2 times. Secondly, a reopening clause has also been set up, stipulating that if the discount exceeds 30% for 60 consecutive trading days, it will be reopened.</p><p>Ruifu Progress lasted for 5 years from its listing in 2007 to its maturity in 2012, basically achieving continuous premium trading with an average premium rate of around 20%. In this respect alone, it is clearly more successful than Dacheng Youxuan. The reason seems to be simple: retail investors' preference for leverage exceeds their expectations for active management.</p><p>In April 2010, the China Financial Futures Exchange (CFFEX) opened up stock index futures, allowing leverage ratios to easily reach more than 5 times. Ruifu Enterprise's premium rate subsequently declined significantly, and it even experienced a discount at one point. In 2012, Furui Progress was renewed according to the contract, and the leverage ratio returned from more than 3 times to 2 times. Market interest became weaker, and the price fell rapidly until the discount rate approached 20% before stabilizing.</p><p>This shows that retail investors in the A-share market prefer short-term speculation and leverage. As for trust in expert financial management, if it exists, it ranks third at most. In 2018, Xingquan Heyi IPO, managed by Xie Zhiyu of Xingquan Fund, sold 30 billion yuan in a single day, making it a blockbuster. The fund was closed in its first year, but it was still discounted by 6% upon listing. It opened a year later, and half of the shares held were sold off as is \"customary\". It's clear that even star fund managers find it difficult to escape this vicious cycle.</p><p><b>V. Tiered Funds</b></p><p>According to the original approach, regulators wanted to establish a gentleman's agreement with retail investors. Regulators offered two characteristics: \"performance\" and \"leverage\" in exchange for retail investors accepting the condition of \"closure\". But now that the gentleman's agreement seems impossible, wouldn't it be wonderful to simply graft the \"leverage\" onto open-ended funds and directly increase their scale?</p><p>The basic principle behind this type of open-ended fund with leverage is that it is mostly divided into two levels: A and B. If the money from both levels is invested together, Class B will bear both losses and profits, while Class A will only receive fixed income. Therefore, they are collectively referred to as tiered funds</p><p>Overseas, leveraged funds generally only have leverage levels and no seniority levels. Or rather, they all use virtual priorities. The functions corresponding to the priority are all implemented by investment banks or derivatives markets. The advantage of doing this is that the size of the priority can be scaled at any time.</p><p>For example, a 2x leveraged fund. If an investor puts in 100 million yuan, the fund company will lend another 100 million yuan to provide margin financing. Then today the market fell by 5%, investors suffered a loss of 0.10 billion, and the principal dropped to 0.90 billion. Near the close of trading that day, the fund company had to reduce the margin trading amount to 90 million yuan, so that the fund's leverage would still remain at 2 times. If the market rises tomorrow, it will be adjusted back. Therefore, the margin trading amount needs to be adjusted every trading day.</p><p>From the perspective of investment products, senior funds in overseas leveraged funds are actually a lucrative opportunity. High security and good profitability, the best of both worlds. The only downside is that it has to be \"summoned and dismissed at will,\" which is unstable.</p><p>Our A-share tiered funds are essentially taking out this lucrative piece of money and distributing it to other interested fund investors to enjoy. Of course, the cost of doing this is that the size of the priority can only be adjusted in certain pre-determined special circumstances, and it is impossible to scale it down every day at the close of trading.</p><p>This innovation is not originally intended to be bad. However, problems arise when applied to a specific market environment. The first crisis for leveraged funds occurred on May 20, 2014. The protagonist was Yinhua Ruijin, a B-level fund, which is a leveraged fund. It is passive in investing, focusing on the Shenzhen 100 Index. Therefore, the rise and fall of the Shenzhen 100 Index completely determines its net asset value. In terms of sales, it has been very successful, growing from a scale of 1 billion to more than 10 billion in just four years since its launch. But the problem lies in this scale.</p><p>Due to the continuous market decline from 2011 to 2014, coupled with the continuous interest payments for senior tranches, Yinhua Ruijin's net asset value has reached near the liquidation line. In other words, if it falls further, it may affect the safety of senior funds. Therefore, once the liquidation line is reached, the product must be partially liquidated.</p><p><img src=\"https://static.tigerbbs.com/338c1c17b086c4274475aeedc22f6172\" tg-width=\"1000\" tg-height=\"464\" referrerpolicy=\"no-referrer\"></p><p>As we have explained earlier, the priority size of leveraged funds will not be gradually adjusted during the previous decline. Therefore, if a partial liquidation occurs, the potential one-time sell-off amount will reach more than 10 billion yuan. At this time, the average daily trading volume of the entire Shenzhen 100 Index was only over 10 billion yuan. Once a margin collapse occurs, it would be a heavy blow to an already exhausted market.</p><p>Moreover, since Yinhua Ruijin is a passive fund that tracks the index, the fund manager has no right to actively adjust the position. As long as the index falls below the corresponding level, it is absolutely certain that Yinhua Ruijin will be liquidated.</p><p>And then a miracle happened. At 9:38 a.m. on May 20, 2014, the Shenzhen 100 Index clearly fell below the margin call line of Yinhua Ruijin, and then was immediately pulled back sharply. Moreover, this tiny golden needle actually became the historical bottom of the Shenzhen 100 Index, and it has never fallen below it since. The image below shows the time-sharing record I kept back then:</p><p><img src=\"https://static.tigerbbs.com/0483c2453de1675c635e63d0ceb881a0\" tg-width=\"1000\" tg-height=\"448\" referrerpolicy=\"no-referrer\"></p><p>The origin of this mysterious force remains an unsolved mystery. Perhaps because the incident ultimately escaped unscathed, it caused almost no uproar, both within and outside the industry.</p><p>Tiers A and B of tiered funds each have their own net asset value and price. However, because they cannot be subscribed to and redeemed separately, they may experience significant discounts or premiums, respectively. However, A and B together form a complete open-ended fund, which can be subscribed to and redeemed. Therefore, the sum of the prices of A and B cannot deviate significantly from the sum of their net worth.</p><p>For example, both A and B have a net value of 1. At this point, the price of A can be 1.2, then the price of B is 0.8, or the price of A is 0.7, then the price of B is 1.3. In short, the prices of both can deviate from the net asset value, but the sum of the two must be stable. Otherwise, arbitrage opportunities will occur.</p><p>Due to retail investors' love of leverage, there are quite a few arbitrage opportunities where leveraged funds are priced at a premium. However, the vast majority of these opportunities are \"visible but intangible\". It is theoretically valid, but it cannot be implemented in practice. There are four main reasons:</p><p>First and foremost,<b>The vast majority of leveraged funds cannot be subscribed to and redeemed in real time.</b>If you observe a premium on day T, subscribe before the market closes on that day. On T+1, the fund company confirms the number of shares. On T+2, the fund units are reflected in the brokerage system. You also need to issue a split order before you can sell A and B respectively on T+3. At this point, is the premium still there? Generally speaking, it's no longer there. If it's still there, the arbitrage has been successful. Therefore, this issue is also related to the stability of the premium level.</p><p>The second point is<b>The price of Class A is unstable. Because A-level investors typically view it as a long-term bond.</b>They think about it this way: If I invest 100 yuan today with an annual interest rate of 6%, then the interest for 10 years will be 60 yuan, the interest for 20 years will be 120 yuan, and the interest for 30 years will be 180 yuan... So if the interest rate changes by 1%, it will have a great impact on them. However, a 1% price change for Class A does not have a significant impact on them. Of course, institutional investors will be more meticulous in their calculations. However, the trading volume of Class A is too small, there is no liquidity, and institutions rarely participate.</p><p>The third point is<b>The premium level for Class B is also unstable. When the market lacks a trend, retail investors generally regard the B-level as a magic weapon for oversold rebounds.</b>In other words, when the market plummets, Class B tends to experience a premium. Two or three days later, regardless of whether a rebound occurs or not, this premium will usually disappear.</p><p>The fourth point is...<b>The subscription fee rate for leveraged funds can reach as high as 1% to 1.5%, which greatly increases the cost of arbitrage trading.</b></p><p>However, during the bull market of 2014 and 2015, the above situation changed significantly, and premium arbitrage by leveraged funds became easier to achieve again.</p><p>First of all<a href=\"https://laohu8.com/S/601688\">Huatai Securities</a>They launched a \"blind demolition\" service, and other securities companies followed suit. The so-called blind split means that on T+1 day, the fund company confirms the shares, and before it has been reflected to the brokerage firm, you directly issue a split order to the brokerage firm. In this way, on T+2 days, the brokerage firm directly enters the split A and B into the system, and you can trade immediately. This technological innovation has greatly reduced the uncertainty of premium arbitrage.</p><p>Secondly, the price of Class A has stabilized. Starting in the second half of 2014, the central bank continuously lowered the reserve requirement ratio and interest rates, forcing many insurance companies and fixed-income products to seek returns within the securities market. Institutional investors were quite rational and quickly stabilized the price of Class A shares within a very small range, preventing them from fluctuating wildly.</p><p>Thirdly, the premium level for Class B has also stabilized. This is the simplest, yet most crucial, principle: when a bull market arrives, with boundless enthusiasm, prices continue to rise at a premium.</p><p>Article 4. The subscription fee is usually calculated as a percentage, but the highest tier has an upper limit of 1,000 yuan. Therefore, for funds of more than 5 million yuan, the fee is no longer a restriction. Why did it constitute a restriction in the past? Because of poor liquidity in the past, the amount of capital invested in a single arbitrage was too large, and I was afraid I wouldn't be able to get it out. During a bull market, liquidity has improved significantly, allowing for direct investment in whole-house renovations.</p><p>From the end of 2014 to mid-2015, funds focused on premium arbitrage in leveraged funds achieved returns of approximately 2 to 3 times. This performance outperforms most mutual funds, but it's not too exaggerated. However, its advantage is that it \"doesn't hang a string until it sees the Japanese,\" moving when there is a signal and stopping when there is no signal, so there is no question of hesitating to cut losses. Therefore, the gains of the bull market were preserved. Most public and private funds experienced severe pullback/retracement in the subsequent stock market crash.</p><p>So, after the market peaks, what investment opportunities do leveraged funds still have? Actually, there are some options: observe which Class B positions are about to be liquidated, and then buy the corresponding Class A positions.</p><p>As we mentioned earlier, in May 2014, the market experienced a near-miss potential crisis. At the time, Yinhua Ruijin was a giant fund with a potential sell-off of around 10 billion yuan. However, during the stock market crash, the situation changed to several giant funds, plus dozens of small and medium-sized funds, with tens of billions of yuan in potential sell-offs, which were exposed continuously within a concentrated period of time.</p><p>On August 24, 2015, ChiNext B shares were liquidated, triggering a sell-off of approximately 4.5 billion yuan. On August 27, Securities B suffered a liquidation, triggering a sell-off of approximately 7.5 billion yuan. On August 28, state-owned enterprises liquidated their positions after converting to B-shares, triggering a sell-off of approximately 13 billion yuan...</p><p>Because the terms, share capital, and net asset value information of mutual funds are all publicly available, the key information under which these funds would liquidate their positions and the size of the potential sell-off is also publicly available. If you anticipate that a fund is about to be liquidated, the most rational decision is to short the relevant stocks first, both to avoid risk and to induce a liquidation. After the fund executes the liquidation, buy it back from the low point. Facts have repeatedly proven that every giant leveraged fund that has been wiped out has created a trap in the market, with the liquidation positions always being cut at the lowest point.</p><p>The above characteristics are extremely disadvantageous to Class B, while Class A benefits. The specific calculations are quite complex, so I'll skip them here. Those interested can consult the relevant fund's prospectus and other materials.</p><p>The fact that leveraged funds \"passively dumped their shares\" during the stock market crash has drawn widespread criticism both inside and outside the industry. In 2018, the China Securities Regulatory Commission (CSRC) issued the \"New Asset Management Regulations,\" requiring all tiered funds to undergo complete transformation. However, a large number of leveraged funds were still trading until early 2020. However, I believe that even if leveraged funds really disappear, newer products will emerge in the future.</p><p>The story of net worth and price will continue.</p><p>Author: Ding Chang</p>\n<div class=\"bt-text\">\n\n\n<p> source：<a href=\"https://mp.weixin.qq.com/s/m395rIc6dylcNhPzb2rxPQ\">小鲜传</a></p>\n\n\n</div>\n</article>\n</div>\n</body>\n</html>\n","type":0,"thumbnail":"https://static.tigerbbs.com/de92023587fed32587f80a2f2769d655","relate_stocks":{},"source_url":"https://mp.weixin.qq.com/s/m395rIc6dylcNhPzb2rxPQ","is_english":false,"share_image_url":"https://static.laohu8.com/e9f99090a1c2ed51c021029395664489","article_id":"2124759854","content_text":"一、激情岁月\n\n 1986年，当时的工商银行下属上海信托投资公司成立证券业务部，开办股票交易。1988年，人民银行批准在多个城市试点国库券交易。1990年，沪深交易所相继开业。1992年，深圳、沈阳、大连、武汉等地纷纷设立共同基金。1993年8月，来自山东的淄博基金在上交所挂牌，成为中国第一只上市基金。随后各地又有不少基金上市交易。淄博基金发行净值1元，上市当天收盘价5元。2000年，淄博基金改制，并入基金汉博。该基金在存续期间的成交价最高达到12.39元，最低价也有1.6元。价格始终远远高于净值。\n\n如此“纪录”在今天的投资者看来，难免掩面哂笑：当年真是人傻钱多啊。可是历史果真如此简单吗？恐怕亦不尽然。\n淄博基金由人民银行总行直接批准设立，主要投资于淄博地区的乡镇企业和相关服务产业股权，这部分投资不少于基金净值的60%。同时可以投资各类债券和上市公司股票，这部分投资不多于基金净值的40%。\n由此可见，这个淄博基金并非我们现在通常理解的证券投资基金，而是一个证券和产业投资基金的混合体。而且从法律意义上看，它显然不是依据契约成立的，而是由央行批准成立的独立法人。或者我们可以干脆说，它实际上就是一个主营投资控股的上市公司。\n如果从这个角度来看它的估值，那就容易理解了。1993年，中国经济全面过热。CPI同比增速14.7%，固定资产投资增速45.3%。人们对于投资机会的追求达到了狂热的程度。淄博基金的超高溢价，正是这一宏观背景的微观反映。\n在《三国演义》中，罗贯中给黄巾起义的领袖张角安排了一段台词：至难得者，民心也。今民心已顺，若不乘势取天下，诚为可惜。对淄博基金来说，它所面对的形势跟当年张角相去不远。假如市场给了我10倍PB的估值，那么我只要增发10%的股本，就可以把净资产翻一倍。融到的这笔钱，无论放在哪里，哪怕是放在保值补贴的国库券里，都可以轻松拿到两位数的回报。股本摊薄10%，而利润翻番，业绩岂不是爆发式增长？\n如果业绩增长足以维持高估值，甚至推动估值水平进一步高涨，那么它就形成了一个高估值、高融资、高增长的循环。而这个过程，正是索罗斯所说的反身性。\n只可惜，从1993年上市到2000年改制，监管层始终没有给淄博基金这样的机会。只是在1995年，包括淄博基金在内的几家上市基金经历过一次短暂的炒作。起因是传言《基金管理法》要在当年出台，小盘基金可能进行扩募。而扩募，正是驱动反身性过程的关键。所以你说当时的市场只是“人傻、钱多”么？\n不过传说中的《基金管理法》始终不见踪影。直到1997年，证监会才颁布了《证券投资基金管理暂行办法》。2003年，《证券投资基金法》经过人大批准，正式成为国家法律。请注意，相比1995年的传言，最终通过的法律名称中多了“证券投资”4个字。\n中国的证券投资基金，最终选择了契约型的法律体系。基金公司是管理人。基金发行的份额是受益凭证，基金份额的持有者是客户。这一切安排，在今天看来似乎是天经地义的。其实在此之外，还有一种公司型基金的法律体系。\n公司型基金本身是法人，可以发行股票，基金管理人和投资者共同持有它的股票。今天我们可以见到的许多产业投资基金就是公司型基金。在中国，公司型的证券投资基金大概没有。但是在美国，公司型的证券投资基金也是不少的。\n从反身性的角度来说，契约型基金是没有反身性的。因为客户认购基金份额时，只以净值作价。也就是说，只有基金持有的股票、债券、现金才计价，这个基金本身的品牌、声誉、历史业绩，基金公司方面的投研团队、前后台、无形资产等资源投入统统不计价。也不论它们是增加了价值还是毁灭了价值，一概忽略不计。\n因此，契约型基金理论上不可能出现高溢价发行，不可能实现以较小股本扩充大量资本，所以反身性过程也就无法实现。公司型基金则是有可能实现反身性的。比如在新三板上市的一些产业投资基金，它们在2014、15年实现了10倍PB左右的超高溢价发行，净资产成倍增长。\n比如硅谷天堂，2015年中期股本13.75亿，净资产33.7亿。增发后，股本只增加到14.77亿，净资产却倍增至68.9亿。\n再比如中科招商，2014年底股本11.82亿，净资产19.2亿。增发后，股本只增加到18亿，净资产却激增至146亿。\n要知道，一般企业从融资、投产到产生效益，得有一个数月乃至数年的周期。然而很多金融资产是投入进去立即开始计算收益的。所以如果不是2015年下半年发生股灾，市场行情急转直下，这些公司的业绩爆发几乎是铁板定钉的事情。一次经典的反身性过程，可谓功亏一篑。\n对于投资者来说，参与契约型基金，你跟基金公司之间永远是客户与管理人的关系。基金对你的所有回报，仅仅体现在股票、债券等资产的净值上面。这个基金以及基金公司的一切其他发展都与你无关。基金公司要招募新客户，也与你这个老客户无关。\n但是在公司型基金中，投资者与基金公司是共同创业打天下的团队伙伴关系。除了账面净值之外，投资者还可以享受到基金公司“逐鹿中原”带来的损益。如果有新的投资者想要进来，就必须得到原有股东的多数同意，价格当然也不会便宜。在今天的产业投资中，C轮的入股价格一般不能低于B轮，D轮的价格不能低于C轮，这种先来后到的“礼遇”几乎已经成为行规了。\n我们平时看电影、电视剧，都会讨厌别人“剧透”。因为如果提前知道了结局，会导致你无法充分代入前续剧情，影响欣赏效果。我们研究历史，同样要排除剧透的影响。假如在世纪之交，中国最终选择了公司型的法律体系。那么在1993年，高溢价买入最早的一批基金公司，就具有相当的合理性。\n事实上，在高科技创业投资中，卡位式投资是很普遍的。比如我看好某一个细分领域，但是技术路线和竞争格局看不清楚，那么我就把市面上最好的3家或者5家公司全都投一遍。而且这时候的价格，不是按照眼前的财务数据来测算的，而是按照未来的行业前景倒推出来的。因为无论哪一家做大了，我都可以作为老股东，坐收后来者上缴的“买路钱”。\n2012年，明星基金经理王亚伟离开华夏基金时，跟记者算了这样一笔账。他担任公募基金经理14年，从基金兴华到华夏大盘精选。如果分红再投资的话，差不多14年时间可以把1块钱变成28块钱。这个回报已经相当惊人。但是华夏基金本身在1998年成立的时候，注册资本只有0.7亿。而到2012年股权转让时，整体估值是160亿，外加期间还有高达40亿元的分红，复权收益在200倍以上。所以同样是14年，基金公司本身的价值增长要远远超过全市场最优秀的基金的业绩增长。\n当年炒作淄博基金的人们，是否曾经抱有如此远大的梦想，如今已不可考。淄博基金就像是一块废弃的路标。它所指向的，是一片与当今世界完全不同的“平行时空”。\n二、腹背受敌\n1998年，上证指数下跌3.97%。在这个温和的数字背后，却是宏观经济和周边市场的惊涛骇浪。1997年，泰铢开始贬值。进入1998年之后，金融危机席卷亚洲，俄罗斯国债违约，全球股市暴跌。\n在当年的全球主要市场中，承压最大的是港股。因为香港的经济基本面与东亚地区高度关联，但是港币的法定币值却与美元挂钩。假如港币可以贬值，那么以港币计价的股票价格多少可以得到一些支撑。因此，虽然香港政府直接入市，强力干预，但是跌至1998年8月，恒生指数仍然近乎腰斩。\n在此期间，A股的走势波澜不惊。可是监管层却早已忧心忡忡，压力更甚于香港。一方面，国家已经承诺人民币不贬值。另一方面，当时A股的整体市盈率却高达40倍，只有5%的个股市盈率在20倍以内。而且庄家横行，投机炒作，大量散户沉迷其中。一旦外资大鳄破门而入，后果不堪设想。\n庄家这个概念，已经远离A股很多年了。当年的所谓庄家，是指一个人或者资金集团，他们控制了上市公司绝大多数的流通股份，然后再通过左手倒右手，就可以随意控制股价的涨跌。那么在未来一天或几天，股价将会上涨还是下跌，就成了庄家设置的底，而散户则去猜这个谜，就像赌场中的压大小一样。\n庄家如果操纵得巧妙，做庄游戏可以持续很久。可是一旦玩砸了，结果也是非常惨烈的。2003年德隆系崩盘，他们做庄的合金投资暴跌95%的走势如下图：\n\n就在这样的时代背景下，“老十家”公募基金管理公司问世了。此时的基金，可谓临危受命。它们的使命从来都有两条。一方面，要为市场引入新的投资风格。证明不坐庄也可以赚钱，进而提高市场定价效率。另一方面，也要教育投资者。证明分散投资、长期投资胜于短炒，进而改变投资者的风险偏好。\n基于这两点考虑，从1998年到2001年，新发的基金大都具有两个特点。一是规模特别大，不是20亿就是30亿。这个规模即使放到十几年后来看，也算是相当可观了。而且当年的30亿可不比今天的30亿。要知道，1998年中国的GDP还不到2020年的10%，M2货币供应量还不到2020年的5%。二是长期封闭，封闭期统一为15年。牙牙学语时买进去，出来已经是大学生了。这个设计相当考验投资者的耐心。后来，许多1998年以前发行的，像基金淄博那样的“老基金”也都改制成了这样超大规模、长期封闭的“新基金”。\n新基金的发行得到了股民的热烈欢迎。1998年发行的5只基金，规模每支20亿，总计100亿，共吸引认购资金5366亿，平均中签率不到2%。未中签资金转入二级市场大力追捧，使得新基金的溢价高达100%以上。其狂热程度与“老基金”并无二致。\n不过新基金的盘子毕竟太大，发行速度也逐渐加快。1999年，新基金的发行规模更从每支20亿上升到30亿。场内游资很快就支撑不住了。溢价转为平价，平价再转为折价。\n下图显示了从1998年到2015年，上市的封闭式基金折溢价与基金行业总规模的变化趋势。其中基金数据剔除了上市不满60天以及存续期不满1年的样本，基金行业总规模只统计股票型和混合型基金，并以对数坐标轴显示。\n\n从上图可以看出，随着新基金大规模发行，封闭式基金的溢价率迅速跳水并转入折价。整个2000年加上2001年前3季度，没有新基金发行。封基溢价率又逐渐转正。\n2001年9月，开放式基金问世，基金发行再次提速，封基溢价率一路探低至-30%左右启稳。2008年之后，基金行业规模趋于稳定，封基溢价率也回升到-10%左右再次稳定，直至2016年最后一支封基到期。2001年，中国基金行业的发展路线再次做出战略抉择，从封闭式基金转向开放式基金。为什么要做这个变化呢？最常见的解释是，开放式基金允许基民用脚投票，有助于实现基金行业的优胜劣汰。这个说法看似冠冕堂皇，无法反驳。事实上，就像绝大多数股民没有选股能力一样，没有任何证据显示，作为一个群体，基民有“择基”能力。\n2020年5月，笔者对A股所有的股票型和偏股型开放式基金进行了统计，考查它们发行之后的规模变化。结果显示，半年后规模变化的中位数是-30.5%，一年后规模变化的中位数是-47%。\n为什么要用中位数呢？因为一个小基金增长1000%，很容易就把平均数给带偏了。所以对于内在差异很大的样本集合，我们通常看中位数。我们大概可以这样理解，开放式基金的基民，半年跑掉三分之一，一年跑掉一半，这是最常见的情况。\n我想，上述结果足以说明，封基的交易折价，并非是因为基民对它们的业绩不满意，而是因为根深蒂固的短炒习惯。持有了一阵子，总是要走的。假如你封闭了不让他赎回，那么他就宁可在二级市场上折价抛出。\n更有趣的是，在上述统计中，如果我们只看那些净值低于1元的基金，则它们半年后的规模变化中位数是-22.8%，一年后的规模变化中位数是-35.8%。也就是说，亏钱了，基民反而不愿意走了。与之对称的另一个现象是，许多明星基金很不情愿接受“市场的奖赏”，害怕扩大规模。典型如王亚伟的华夏大盘精选，虽然身为开放式基金，却长期不开放申购，只开放赎回。上述两个现象加起来，就是“劣胜优汰”，与流行的解释完全相反。\n当初发展基金行业，喊出来的口号就是“专家理财”胜于散户。没想到，现在专家反而要去迎合散户的短期偏好。这不是本末倒置吗？许多新任基金经理，从职业生涯一开始就要面对巨大的营销压力，根本没机会去锻炼长远眼光。即使是坚定看好的股票，在赎回压力下也不得不割在底部。因此笔者认为，从封闭式转向开放式，仅对投研团队的成长而言，是坏事而非好事，至少是损失大于收益。\n不过具体到世纪之交的市场环境，这些损失恐怕又是必要的代价。因为基金行业从来就是腹背受敌，既要面对市场，又要面对客户。在必要情况下，只有对客户妥协了，才能更好地集中精力对付市场。\n从微观上说，一家基金公司，无论采取什么方式，首先要把行业规模做上去，解决了温饱问题，然后才能从容地培养自己的投资、研究人才梯队。从宏观上说，基金行业如果没有一定的资金规模，在市场上就不可能形成机构投资者的话语体系，也就谈不上提高市场效率。\n以今天的标准看，市场上那么多基金经理，也未必个个都懂得价值投资。但是至少有双十约束（个股占基金净值不超过10%，基金持有股本不超过10%），再加上季报披露，银行托管，等一系列规范化管理手段，想要像1990年代那样控盘、洗盘、暴力做庄肯定是不行了。而在当年，能够做到“规范操作”这一点就已经难能可贵了。\n其实多年以来，监管层一直没有放弃“复活”封闭式基金的努力。他们用各种甜头去说服投资者，换取他们放弃短炒习惯。由此还引出了另一桩公案，我们放在后文讲述。\n三、折溢价之谜\n2001年之后，封闭式基金的二级市场价格长期、明显低于其净值。这可能是A股历史上第一个能够引起学术界强烈关注的市场现象。今天在中国知网上，可以轻松搜索到数十篇当年讨论这一现象的论文。\n按照学术规范，研究之前需要先做文献回顾。可是学者们这一回顾，就把中国2001年之后的情况，给嫁接到美国和英国的经验上去了。毕竟容易查到的英文论文就是那么一些。据我所见，没有一篇文章提到了中国在1990年代“老基金”价格长期、大幅高于净值的历史。甚至连1998年改制之后，新基金从溢价到折价再到溢价的V型走势，也同样没有一篇文章对此进行回顾。\n于是价格与净值的关系问题，变成了“为什么封闭式基金总是折价交易”。一个具体的历史现象变成了一个逻辑问题。那么答案是什么呢？美国的那些论文，无非是从费用、会计和税收上去找原因。可是这些具体原因在中国根本不存在。于是，只好以“没有结论”，或者干脆以“市场非理性”收场。\n其实要我说，答案就4个字：供过于求。就这么简单，假如基金行业发展得慢一点，不要发那么多产品，封基就很有可能继续像2001年之前那样，平价甚至溢价交易。\n一支封基的规模数十亿，每天成交不过几千万，平均换手率在1%以下。这1%的人能够代表全体基民吗？想象一下，假如我们要求所有持有人都必须挂出一个卖单，委托价格会怎么分布呢？可能有10%的人会挂在市场价附近，20%的人会挂在市场价与净值之间，60%会挂在净值附近，还有10%大概会挂在远高于净值的位置上。当然，以上数字是我全凭直觉猜的，但是这样的分布关系大概不无道理。\n类似的问题还有分红和回购的关系。这两者都是上市公司分配现金的手段，它们对股价的影响如何，学术界不知道发了多少篇论文来讨论。其实我们也可以这样想，假如要求所有股东必须挂出卖单，那么大概只有百分之几甚至千分之几的委托会挂在现价附近，其他绝大多数卖单都会挂在明显高于，甚至远远高于现价的位置上。换句话说，一支股票日换手率5%，只能说明有5%的持股股东认同市场价。另外95%的股东心里的估值是高于现价的，否则他们就选择卖出了。\n因此，分红的效果是阳光普照，对股价只有一个除权的效果。而回购则是定向地消灭了全体股东中相对最不看好的那一部分。所以回购具有强烈的向上扭曲股价的效果。我觉得，相比于复杂得吓人的数学模型，这个简洁的逻辑更有说服力。\n以上是从空间维度上来解释折价交易，从时间维度上也不难理解。很多行业都出现过普遍亏损甚至全行业亏损的局面。2016年的钢铁煤炭就是全行业亏损。这说明什么呢？这只说明应当有玩家退出，如果大家都硬挺着不退，那就继续亏。还好中国有供给侧结构性改革。航运业是完全国际化的行业，它从2008年一直亏损到今天。\n所以封基普遍折价，包括美国的共同基金大多不能跑赢指数，这都说明玩家太多了，但还有股傻钱支持着他们。这很可能是周期现象而非逻辑问题。本质原因还是1980年代以来，全球股市一直处于长期牛市当中，没有经历过1930、1970年代那样的充分调整。\n从1998年临危受命开始，中国的基金行业一直是被催熟的。几乎没有经历过自然积累的蓝海阶段，直接就按照政府的战略规划进入红海。这一点，与光伏、风电等行业非常类似。也就是说，行业内部竞争非常激烈，甚至可以说是惨烈。但是整体产值上得非常快，行业的系统重要性急剧提高。\n中国基金行业1998年从0开始发展，到2007年，已经有将近30%的A股流通市值被控制在基金公司名下。请注意，比30%这个比例更激动人心的，是不到十年时间从0冲到30%的这个势头，似乎40%、50%、60%都在唾手可得的范围之内。\n于是，头部基金公司中的一部分人，就开始浮想联翩了。他们觉得，光做财务投资者没意思，要做积极投资者，参与公司经营决策。远如美国的卡尔伊坎，近如前些年的宝能、安邦。总之，庄家的时代已经远去，价值投资也只是基础。在新的条件下，玩法还要再升级。\n这种心情是完全可以理解的。毕竟一个公司，你持股3%还是30%，投入的热情、期待和责任感都会截然不同。所以那几年基金行业的整体气氛，一点儿不逊色于互联网巨头的高光时刻。至今我回想起那段青葱岁月，仍不免心潮澎湃。那种感觉类似于：这个世界是你们的，也是我们的，但归根结蒂是我们的。\n只可惜，世事无常，造化弄人。2020年初，基金公司控制的A股流通市值比例还不到7%。积极投资者的梦想，只能被映射到另一个平行时空去了。\n从全社会来看，一家基金公司的投研团队不过区区数十人。如果他们只是买卖股票的话，金额达到几百亿、几千亿也都没有什么。可是如果他们能够指掌几十家、几百家上市公司，哪怕只是为它们的利益代言几句，事情都会复杂很多。\n在2008年的大衰退中，华尔街占用了太多的公共资源，这一点已经广受诟病。在2020年3月的新冠危机中，这一点更是表现得淋漓尽致。美联储一次降息1个点还不行，必须降到0，光买国债还不行，还要买垃圾债，政府的各种赤字计划更是3个点、5个点地往上加，这些政策不给足，股市就躺在地下“死”给你看。等糖给够了，它又翻身坐起来了，而且还精神百倍。如果华尔街没有坚强的意志力，像中国股民这样一盘散沙，给点阳光就灿烂，显然是不可能与当局进行如此有效的博弈。\n中国真的想要一条自己的华尔街吗？恐怕是既想，又不想。\n四、第一桶金\n笔者曾跟公募基金行业的老同事们聊起：市场上的投资流派那么多，而基金经理大多是白手起家，入行之前都是一张白纸。到底是什么因素决定了他们的风格呢？猛犸资产的陈扬帆说：一开始大家都是随机摸索，直到他们赚到了人生中的第一桶金。而这第一桶金是怎么赚到的，他们的风格基本就是什么样了。对此说法，我深以为然。\n1998到2001年发行的“新基金”，后来称为封闭式基金。它就是很多老股民、老基民的第一桶金。简单地说，封基这个品种，在它的整个存续期间，你可以闭着眼睛随便买，拿到最后基本上都能赚钱。当然，买了能亏钱的窗口期是存在的。但是很短，要选到也不容易。而且你只要是在2007年大牛市之前买入，那么最后一定是大赚特赚。\n从2004年底到2012年底，封闭式基金的平均回报是540%，而开放式基金的平均回报是236%，个股的平均回报是141%。封闭式基金的平均回报可以跑赢除华夏大盘精选之外的所有开放式基金，也可以跑赢93%以上的个股。\n为什么会有如此惊人的结果呢？主要是两方面的原因，一是高折价，二是大行情。\n2004年，基金行业勉为其难地攀上了2000亿规模，几乎已经完全无力再向3000亿冲刺了。华夏基金的首任总经理范勇宏在《基金常青》中回忆到，后来封神的华夏大盘精选，发行首日只募集了200万份。华夏基金的销售人员甚至不得不跟渠道的人拼酒，“一杯酒换100万基金”。按照一般的销售返点来理解，100万这个数字似乎不小。可是要知道，100万的公募基金认购，首先短期内就会跑掉一大块，然后剩下的部分每年只能产生1.5%的管理费，去除各种成本之后，实际效益很可能是负数。\n在这种严重供过于求的市况下，封基的二级市场交易价格远远低于其净值，平均折价达到28%。可是如果你眼睛只盯着这28个点，把它分摊到未来几年十几年里去慢慢回复，似乎也没什么吸引力。事实也确实如此，直到2014年，封基的平均折价还有10个点以上。十年时间，折价率只回复了18个点，年化不到2%。\n可是一旦高折价叠加大行情，那情况就完全改观了。同样是用2块钱现金买入价值3块钱的资产。你可以称它为33%的折价率，也可以称之为1.5倍的杠杆率。折价率变成了杠杆率！\n所以封基的超高回报，其实是两个因素叠加的结果。一是2001到04年基金行业超速发展导致的高折价，二是2006、07年波澜壮阔的大牛市。\n当然，跟其他投资机会一样，想要逆市抄底，总得克服几个吓人的“鬼故事”。比如说，当时市场风传，同一个公司的封闭式基金会向开放式基金做利益输送。可是我们前面已经证明了，大多数基民根本就没有择基能力。基金经理冒着违规违法的风险，好不容易给同事送了2个点的收益，结果基民们根本不知道，甚至反而跑得更多了。何苦来哉？\n还有人担心封基的基金经理会乱操作，故意亏钱。这就更可笑了。首先，故意亏钱对基金公司和基金经理都没有好处。更何况，在有效市场假设下，故意亏钱的难度和“故意”赚钱是一样的。你去专买垃圾股，很可能反而赚得更多。\n以前有一个玩笑话，说是策略分析师的预测准确率能有70%，就可以拿100万年薪。如果准确率下降到50%，那他就一文不值了。可是如果准确率进一步下降到5%，那么他就应该价值年薪500万。为什么呢？因为正向指标和反向指标的价值是一样的，你只要反过来听就可以了。关键是准确率要偏离50%，偏得越多越好，往哪里偏倒不重要。\n前文说到，2001年封基停发之后，监管层并不愿意完全放弃封闭式基金这块阵地。可是散户短炒的习惯很顽固，开放式基金也已经确立了主流地位。此时如果继续发行经典型的封闭式基金，大概率又会面临上市即折价的问题。理论上说，持有人可以不看市场价格，只管自己持有。但现实情况是，市价浮亏给基金销售带来了极大的负面影响。于是监管层把这个问题交给基金公司，让它们设计一些创新型封闭式基金来吸引投资者。\n2007年9月，大成优选上市。它是A股市场第一只创新型封闭式基金。它的创新主要是两条：一是设置了业绩报酬，提成比例是水位线以上10%。二是设置了转开放条款，如果连续50个交易日折价超过20%，就从封闭式基金转为开放式基金。\n大成优选刚刚上市时，市场对业绩报酬的魔力非常期待，希望它能够调动基金公司投研团队的积极性，创造出明星佳绩。但是从结果上看，基金业绩并不理想，所以在短暂溢价之后，很快就转入折价交易，折价幅度甚至超过了经典型封基。\nA股市场的第二只创新型封闭式基金叫做瑞福进取，它的创新也有两条：一是设计了一个比较复杂的杠杆机制。杠杆比率大致在2倍左右。二是同样设置了转开放条款，如果连续60个交易日折价超过30%，则转开放。\n瑞福进取从2007年上市到2012年到期，存续期5年，基本上实现了持续溢价交易，平均溢价率在20%左右。仅就这一点而言，显然它比大成优选成功。其中原因，似乎可以简单归结为散户对杠杆喜爱，超过了对主动管理的期待。\n2010年4月，中金所开放股指期货，杠杆比率可以轻松达到5倍以上。瑞福进取的溢价率随之明显下滑，甚至一度出现折价。2012年，福瑞进取按合同续期，杠杆率从3倍多回归到2倍，市场兴趣更淡，价格迅速走低，直到折价率接近20%才企稳。\n由此可见，A股散户第一喜欢短炒，第二喜欢杠杆。至于对专家理财的信任么，如果存在的话，也顶多排第三。2018年，兴全基金的谢治宇管理的兴全合宜发行，一日售磬300亿，堪称爆款。该基金首年封闭，结果一上市照样折价6%。一年后开放，持有份额按“惯例”跑掉一半。可见明星基金经理也难以逃脱这个怪圈。\n五、分级基金\n按照原本的思路，监管层是想跟散户建立一个君子协定。监管层拿出“业绩”和“杠杆”这两个特性，换取散户接受“封闭”这个条件。可是现在君子协定眼见得做不成了，干脆把“杠杆”嫁接到开放式基金上去，直接做规模，岂不美哉？\n这一类具有杠杆功能的开放式基金，基本原理大都是分成AB两级。两级的钱放到一起投资，亏了赚了都由B级承担，A级只拿固定收益。所以它们统称为分级基金。\n在海外，杠杆基金一般只有杠杆级，没有优先级。或者说，它们都使用虚拟的优先级。与优先级相应的功能，都是由投行或者衍生品市场来实现的。这样做的好处是优先级的规模可以随时缩放。\n比如说2倍杠杆基金。投资者放1个亿进来，基金公司就再去借1个亿给它配资。然后今天市场跌了5%，投资者承担0.1亿损失，本金下降到0.9亿。当天临近收盘时，基金公司就要把配资金额也缩减到0.9亿，这样一来，基金的杠杆就仍然保持2倍。明天市场要是涨了，就再调回去。所以这个配资金额，每个交易日都要调整一次。\n从投资品种的角度看，海外杠杆基金中的优先资金其实是一块肥肉。安全性又高，收益性又好，两全其美。唯一坏处就是必须“招之即来，挥之即去”，不稳定。\n我们A股的分级基金呢，就等于是把这块肥肉拿出来，分给其他有兴趣的基民们去享用。当然，这么做的代价就是，优先级的规模只能在一些事先规定好的特殊情况下才进行调整，不可能每天收盘缩放一次。\n这种创新，本意不坏。但是放到具体的市场环境中，就出现问题了。分级基金的第一次危机发生在2014年5月20日，主角叫做银华锐进，是一只B级，也就是杠杆级基金。它在投资上是被动的，盯住深证100指数。所以深证100指数的涨跌就完全决定了它的净值。从销售上说，它是非常成功的，上市4年，从10亿规模做到100多亿。可是问题就出在这规模上。\n由于2011到2014年市场连续下跌，再加上不断支付优先级的利息，银华锐进的净值已经到了暴仓线附近。也就是说，假如再跌的话，就可能要影响优先级的资金安全了。所以一旦达到暴仓线，产品就要部分平仓。\n\n我们前面已经解释过，在此之前的下跌过程中，分级基金的优先级规模是不会逐步调整的。所以一旦发生部分平仓，潜在的一次性抛盘金额将高达100多亿。而此时整个深证100指数的日均成交金额也不过100多亿。一旦暴仓事件发生，对于本已疲惫的市场，无异于一次重锤。\n而且由于银华锐进是盯住指数的被动基金，所以基金经理无权主动调整仓位，只要指数跌破相应点位，银华锐进暴仓就是完全确定的事情。\n结果奇迹发生了。2014年5月20日上午9点38分，深证100指数明显跌破了银华锐进的暴仓线，然后立刻就被直线拉起。而且这个细小的金针，居然成了深证100指数的历史大底，从此之后再也没有跌破过。下图是我当年留下的分时记录：\n\n这股神秘力量来自何方，至今仍是未解之谜。可能是因为这件事最终有惊无险，所以无论在业内还是业外，几乎都没有产生什么波澜。\n分级基金的AB两级，分别有自己的净值和价格。但是因为它们不能单独申购赎回，所以它们可能分别出现很大的折价或溢价。但是A和B加在一起，作为一份完整的开放式基金，又是可以申购赎回的。所以A和B的价格之和不能大幅偏离净值之和。\n举例来说，A和B的净值都是1。此时A的价格可以是1.2，那么B的价格就是0.8，或者A的价格是0.7，那么B的价格就是1.3。总之，两者的价格可以分别偏离净值，但是两者之和必须是稳定的。否则就会产生套利机会。\n由于散户对于杠杆的热爱，分级基金出现溢价的套利机会还是挺多的。但是这种机会绝大多数都是“看得见，摸不着”。理论上成立，但是操作上不能实现。原因主要有4条：\n首先一条最重要的，绝大多数分级基金不能实时申购赎回。假如你T日观察到溢价，当天收盘前申购。T+1日基金公司确认份额。T+2日基金份额反映到券商系统，你还要下一个分拆指令，T+3日才能分别卖出A和B。这时候，溢价还在吗？一般来说是不在了。如果还在，套利就成功了。所以这个问题还跟溢价水平的稳定性有关。\n第二条，就是A级的价格不稳定。因为A级的投资者通常是把它当成长期债券来看的。他们是这样考虑问题的：我今天投入100元，年利率6%，那么10年利息60元，20年利息120元，30年利息180元……所以如果利率变动1%，对他们的影响很大。但是A级的价格变动1%，对他们的影响并不大。当然，机构投资者会算得精细一些。但是A级的交易量太小，没有流动性，机构很少参与。\n第三条，就是B级的溢价水平也不稳定。当市场没有趋势性行情的时候，散户一般将B级视为超跌反弹的神器。也就是说，市场急跌的时候，B级往往出现溢价。两三天后，无论反弹出现与否，这个溢价一般都会消失。\n第四条，就是分级基金的申购费率最高可达1%到1.5%，极大地提高了套利交易的成本。\n可是在2014、15年的牛市中，以上情况发生了重大变化，分级基金的溢价套利又变得容易实现了。\n首先是华泰证券推出了“盲拆”业务，其他证券公司陆续跟进。所谓盲拆，就是T+1日基金公司确认份额，还没有反映到券商，你就直接对券商下分拆指令。这样T+2日券商直接把分拆完的A和B录入系统，你就可以立即交易了。这项技术创新，极大地缩小了溢价套利的不确定性。\n第二条，A级的价格稳定了。从2014年下半年开始，央行连续降准降息，许多保险公司和固收产品不得不跑到证券市场内部来找收益。机构投资者比较理性，很快就把A级的价格稳定在一个很小的区间内，不再胡乱波动了。\n第三条，B级的溢价水平也稳定了。这条道理最简单，但是也最关键：牛市来了，豪情万丈，一路溢价。\n第四条，申购费通常按百分比计算，但是最高一档却有1000元的金额上限，所以对于500万以上的资金来说，费用也不再构成限制了。为什么以前构成限制呢？因为以前流动性差，一次套利投入的资金量太大了，怕出不来。而在牛市中，流动性大幅改善了，整装资金可以直接上。\n从2014年底到2015年中，专注于分级基金溢价套利的资金，收益率大约在2到3倍之间。这个业绩强于大多数公募基金，但是也不算太夸张。不过它的好处是“不见鬼子不挂弦”，有信号就动，没信号就停，不存在犹豫割肉的问题。所以牛市的成果得以保留。而大多数公募和私募都在后来的股灾中经历了严重回撤。\n那么在市场见顶之后，分级基金还有什么投资机会吗？其实也是有的，那就是观察哪些B级将要暴仓了，然后买入与它们对应的A级。\n我们前面说过，2014年5月，大盘经历了一次千钧一发的潜在危机。当时是银华锐进一支巨型基金，100亿左右的潜在抛盘。可是到股灾期间，情况变成了好几支巨型基金，外加几十支中小基金，数百亿的潜在抛盘，而且还在一个集中的时间段内连续爆出。\n2015年8月24日，创业板B暴仓，引发抛盘约45亿。8月27日，证券B暴仓，引发抛盘约75亿。8月28日，国企改B暴仓，引发抛盘约130亿……\n因为公募基金的条款、份额和净值信息都是公开的，所以这些基金会在什么情况下暴仓，潜在的抛盘有多大，这些关键信息也都等于是公开的。那么如果你预计到某支基金将要暴仓，最理性的决策就是抢先抛空相关股票，一是避险，二是诱发其暴仓。等到基金执行平仓之后，再从低点买回来。事实也反复证明，每支暴仓的巨型分级基金，都在市场上砸了一个坑，平仓盘总是割在最低点。\n上述特点对B级是极为不利的，而与之对应的则是A级得利。具体计算比较复杂，这里就略过了。有兴趣的可以查阅相关基金的招募说明书等资料。\n分级基金在股灾中“被动砸盘”的事实，引起了业界内外的广泛批评。2018年，证监会发布《资管新规》要求所有分级基金全部转型。然而直到2020年初，大批分级基金仍在交易。不过我相信，即使分级基金真的消失了，将来也还会有更新的品种问世。\n净值与价格的故事仍将继续。\n本文作者：丁昶","news_type":1,"symbols_score_info":{}},"isVote":1,"tweetType":1,"viewCount":6211,"authorTweetTopStatus":1,"verified":2,"comments":[],"imageCount":0,"langContent":"EN","totalScore":0},{"id":333648479,"gmtCreate":1609258572191,"gmtModify":1704978165313,"author":{"id":"3567575098485843","authorId":"3567575098485843","name":"股市轟炸机队长","avatar":"https://static.tigerbbs.com/1ec92b2a3335762e71e118cc8d1b3753","crmLevel":11,"crmLevelSwitch":0,"followedFlag":false,"authorIdStr":"3567575098485843","idStr":"3567575098485843"},"themes":[],"title":"","htmlText":"Great ariticle, would you like to share it?","listText":"Great ariticle, would you like to share it?","text":"Great ariticle, would you like to share it?","images":[],"top":1,"highlighted":1,"essential":1,"paper":1,"likeSize":0,"commentSize":0,"repostSize":0,"link":"https://ttm.financial/post/333648479","repostId":"2095257967","repostType":2,"repost":{"id":"2095257967","kind":"news","pubTimestamp":1609257660,"share":"https://ttm.financial/m/news/2095257967?lang=en_US&edition=fundamental","pubTime":"2020-12-30 00:01","market":"us","language":"zh","title":"Nearly two years after being grounded due to two serious air crashes, the Boeing 737 MAX is making its first commercial flight.","url":"https://stock-news.laohu8.com/highlight/detail?id=2095257967","media":"界面","summary":"法新社12月29日消息，当地时间29日上午，一架执飞美国航空AA718航班的波音737 MAX客机从迈阿密国际机场起飞，是该机型因两起严重空难停飞近2年后首次复飞商业航班。美国航空是该机型2019年3月停飞以来，首个复飞这一机型的民航运营商。美国联邦航空局上月解除对波音737 MAX的停飞令，认可波音在飞行操作软件和飞行员培训要求方面的更改，意味着受其管辖的航空运营商在完成新的合规要求后可以复飞这一机型。","content":"<p><div>AFP reported on December 29 that a Boeing 737 MAX passenger plane operating American Airlines flight AA718 took off from Miami International Airport on the morning of December 29 local time, marking the aircraft's first resumption of commercial flights in nearly two years after being grounded due to two serious air crashes. According to a previous report by The Wall Street Journal, flight AA718 is scheduled to take off from Miami International Airport at 10:32 a.m. local time on the 29th and land at LaGuardia Airport in New York at 1:30 p.m. American Airlines says the flight is expected to be nearly full, according to airline president Robert Isom...</p><p><a href=\"http://gu.qq.com/resources/shy/news/detail-v2/index.html#/?id=nesSN20201230000157773ee081&s=b\">Web page link</a></div></p>","source":"tencent","collect":0,"html":"<!DOCTYPE html>\n<html>\n<head>\n<meta http-equiv=\"Content-Type\" content=\"text/html; charset=utf-8\" />\n<meta name=\"viewport\" content=\"width=device-width,initial-scale=1.0,minimum-scale=1.0,maximum-scale=1.0,user-scalable=no\"/>\n<meta name=\"format-detection\" content=\"telephone=no,email=no,address=no\" />\n<title>Nearly two years after being grounded due to two serious air crashes, the Boeing 737 MAX is making its first commercial flight.</title>\n<style type=\"text/css\">\na,abbr,acronym,address,applet,article,aside,audio,b,big,blockquote,body,canvas,caption,center,cite,code,dd,del,details,dfn,div,dl,dt,\nem,embed,fieldset,figcaption,figure,footer,form,h1,h2,h3,h4,h5,h6,header,hgroup,html,i,iframe,img,ins,kbd,label,legend,li,mark,menu,nav,\nobject,ol,output,p,pre,q,ruby,s,samp,section,small,span,strike,strong,sub,summary,sup,table,tbody,td,tfoot,th,thead,time,tr,tt,u,ul,var,video{ font:inherit;margin:0;padding:0;vertical-align:baseline;border:0 }\nbody{ font-size:16px; line-height:1.5; color:#999; background:transparent; }\n.wrapper{ overflow:hidden;word-break:break-all;padding:10px; }\nh1,h2{ font-weight:normal; line-height:1.35; margin-bottom:.6em; }\nh3,h4,h5,h6{ line-height:1.35; margin-bottom:1em; }\nh1{ font-size:24px; }\nh2{ font-size:20px; }\nh3{ font-size:18px; }\nh4{ font-size:16px; }\nh5{ font-size:14px; }\nh6{ font-size:12px; }\np,ul,ol,blockquote,dl,table{ margin:1.2em 0; }\nul,ol{ margin-left:2em; }\nul{ list-style:disc; }\nol{ list-style:decimal; }\nli,li p{ margin:10px 0;}\nimg{ max-width:100%;display:block;margin:0 auto 1em; }\nblockquote{ color:#B5B2B1; border-left:3px solid #aaa; padding:1em; }\nstrong,b{font-weight:bold;}\nem,i{font-style:italic;}\ntable{ width:100%;border-collapse:collapse;border-spacing:1px;margin:1em 0;font-size:.9em; }\nth,td{ padding:5px;text-align:left;border:1px solid #aaa; }\nth{ font-weight:bold;background:#5d5d5d; }\n.symbol-link{font-weight:bold;}\n/* header{ border-bottom:1px solid #494756; } */\n.title{ margin:0 0 8px;line-height:1.3;color:#ddd; }\n.meta {color:#5e5c6d;font-size:13px;margin:0 0 .5em; }\na{text-decoration:none; color:#2a4b87;}\n.meta .head { display: inline-block; overflow: hidden}\n.head .h-thumb { width: 30px; height: 30px; margin: 0; padding: 0; border-radius: 50%; float: left;}\n.head .h-content { margin: 0; padding: 0 0 0 9px; float: left;}\n.head .h-name {font-size: 13px; color: #eee; margin: 0;}\n.head .h-time {font-size: 12.5px; color: #7E829C; margin: 0;}\n.small {font-size: 12.5px; display: inline-block; transform: scale(0.9); -webkit-transform: scale(0.9); transform-origin: left; -webkit-transform-origin: left;}\n.smaller {font-size: 12.5px; display: inline-block; transform: scale(0.8); -webkit-transform: scale(0.8); transform-origin: left; -webkit-transform-origin: left;}\n.bt-text {font-size: 12px;margin: 1.5em 0 0 0}\n.bt-text p {margin: 0}\n</style>\n</head>\n<body>\n<div class=\"wrapper\">\n<header>\n<h2 class=\"title\">\nNearly two years after being grounded due to two serious air crashes, the Boeing 737 MAX is making its first commercial flight.\n</h2>\n<h4 class=\"meta\">\n<p class=\"head\">\n<strong class=\"h-name small\">界面</strong><span class=\"h-time small\">2020-12-30 00:01</span>\n</p>\n</h4>\n</header>\n<article>\n<p><div>AFP reported on December 29 that a Boeing 737 MAX passenger plane operating American Airlines flight AA718 took off from Miami International Airport on the morning of December 29 local time, marking the aircraft's first resumption of commercial flights in nearly two years after being grounded due to two serious air crashes. According to a previous report by The Wall Street Journal, flight AA718 is scheduled to take off from Miami International Airport at 10:32 a.m. local time on the 29th and land at LaGuardia Airport in New York at 1:30 p.m. American Airlines says the flight is expected to be nearly full, according to airline president Robert Isom...</p><p><a href=\"http://gu.qq.com/resources/shy/news/detail-v2/index.html#/?id=nesSN20201230000157773ee081&s=b\">Web page link</a></div></p>\n<div class=\"bt-text\">\n\n\n<p> source：<a href=\"http://gu.qq.com/resources/shy/news/detail-v2/index.html#/?id=nesSN20201230000157773ee081&s=b\">界面</a></p>\n\n\n</div>\n</article>\n</div>\n</body>\n</html>\n","type":0,"thumbnail":"https://static.tigerbbs.com/bdb8607c49d458cc725ea39c594afa2a","relate_stocks":{"BA":"波音"},"source_url":"http://gu.qq.com/resources/shy/news/detail-v2/index.html#/?id=nesSN20201230000157773ee081&s=b","is_english":false,"share_image_url":"https://static.laohu8.com/9a95c1376e76363c1401fee7d3717173","article_id":"2095257967","content_text":"法新社12月29日消息，当地时间29日上午，一架执飞美国航空AA718航班的波音737 MAX客机从迈阿密国际机场起飞，是该机型因两起严重空难停飞近2年后首次复飞商业航班。据《华尔街日报》此前报道，按照计划，AA718航班将于当地时间29日10点32分从迈阿密国际机场起飞，下午1点30分降落在纽约拉瓜迪亚机场。美国航空说，这趟航班预计将几乎客满，航空公司总裁罗伯特·伊索姆（Robert Isom）也在乘客之列。美国航空是该机型2019年3月停飞以来，首个复飞这一机型的民航运营商。美国联邦航空局上月解除对波音737 MAX的停飞令，认可波音在飞行操作软件和飞行员培训要求方面的更改，意味着受其管辖的航空运营商在完成新的合规要求后可以复飞这一机型。","news_type":1,"symbols_score_info":{"BA":1}},"isVote":1,"tweetType":1,"viewCount":4652,"authorTweetTopStatus":1,"verified":2,"comments":[],"imageCount":0,"langContent":"EN","totalScore":0}],"hots":[{"id":9090706306,"gmtCreate":1643256200480,"gmtModify":1676533791399,"author":{"id":"3567575098485843","authorId":"3567575098485843","name":"股市轟炸机队长","avatar":"https://static.tigerbbs.com/1ec92b2a3335762e71e118cc8d1b3753","crmLevel":11,"crmLevelSwitch":0,"followedFlag":false,"idStr":"3567575098485843","authorIdStr":"3567575098485843"},"themes":[],"title":"","htmlText":"<a href=\"https://ttm.financial/S/G13.SI\">$云顶新加坡(G13.SI)$</a>Looking forward to 5.8-6.5","listText":"<a href=\"https://ttm.financial/S/G13.SI\">$云顶新加坡(G13.SI)$</a>Looking forward to 5.8-6.5","text":"$云顶新加坡(G13.SI)$Looking forward to 5.8-6.5","images":[],"top":1,"highlighted":1,"essential":1,"paper":1,"likeSize":4,"commentSize":0,"repostSize":0,"link":"https://ttm.financial/post/9090706306","isVote":1,"tweetType":1,"viewCount":6372,"authorTweetTopStatus":1,"verified":2,"comments":[{"author":{"id":"3580625969745490","authorId":"3580625969745490","name":"Traderopedia","avatar":"https://static.tigerbbs.com/49aa77ad0af13cd80f20edbad1234522","crmLevel":11,"crmLevelSwitch":1,"idStr":"3580625969745490","authorIdStr":"3580625969745490"},"content":"u wait long long.. maybe 109 years later","text":"u wait long long.. maybe 109 years later","html":"u wait long long.. maybe 109 years later"}],"imageCount":0,"langContent":"EN","totalScore":0},{"id":9090138922,"gmtCreate":1643111013030,"gmtModify":1676533775076,"author":{"id":"3567575098485843","authorId":"3567575098485843","name":"股市轟炸机队长","avatar":"https://static.tigerbbs.com/1ec92b2a3335762e71e118cc8d1b3753","crmLevel":11,"crmLevelSwitch":0,"followedFlag":false,"idStr":"3567575098485843","authorIdStr":"3567575098485843"},"themes":[],"title":"","htmlText":"<a href=\"https://ttm.financial/S/SE\">$Sea Ltd(SE)$</a>Round 2 tonight&nbsp;","listText":"<a href=\"https://ttm.financial/S/SE\">$Sea Ltd(SE)$</a>Round 2 tonight&nbsp;","text":"$Sea Ltd(SE)$Round 2 tonight","images":[],"top":1,"highlighted":1,"essential":1,"paper":1,"likeSize":6,"commentSize":0,"repostSize":0,"link":"https://ttm.financial/post/9090138922","isVote":1,"tweetType":1,"viewCount":7072,"authorTweetTopStatus":1,"verified":2,"comments":[],"imageCount":0,"langContent":"EN","totalScore":0},{"id":340207090,"gmtCreate":1617413974910,"gmtModify":1704699492258,"author":{"id":"3567575098485843","authorId":"3567575098485843","name":"股市轟炸机队长","avatar":"https://static.tigerbbs.com/1ec92b2a3335762e71e118cc8d1b3753","crmLevel":11,"crmLevelSwitch":0,"followedFlag":false,"idStr":"3567575098485843","authorIdStr":"3567575098485843"},"themes":[],"title":"","htmlText":"✌?","listText":"✌?","text":"✌?","images":[],"top":1,"highlighted":1,"essential":1,"paper":1,"likeSize":3,"commentSize":2,"repostSize":0,"link":"https://ttm.financial/post/340207090","repostId":"2124759854","repostType":4,"repost":{"id":"2124759854","kind":"highlight","pubTimestamp":1617411600,"share":"https://ttm.financial/m/news/2124759854?lang=en_US&edition=fundamental","pubTime":"2021-04-03 09:00","market":"us","language":"zh","title":"Twenty Years of Public Funds","url":"https://stock-news.laohu8.com/highlight/detail?id=2124759854","media":"小鲜传","summary":"净值与价格的故事仍将继续","content":"<p><b>I. Passionate Years</b></p><p>In 1986, at that time<a href=\"https://laohu8.com/S/601398\">Industrial and Commercial Bank</a>Its subsidiary, Shanghai Trust & Investment Corporation, established a securities business department to conduct stock trading. In 1988, the People's Bank of China approved pilot treasury bill trading in several cities. In 1990, the Shanghai and Shenzhen Stock Exchanges opened one after another. In 1992, mutual funds were established in Shenzhen, Shenyang, Dalian, Wuhan and other places. In August 1993, Zibo Fund, originating from Shandong, was listed on the Shanghai Stock Exchange, becoming China's first listed fund. Subsequently, many more funds were listed and traded in various regions. Zibo Fund issued a net asset value of 1 yuan and closed at 5 yuan on the day of listing. In 2000, Zibo Fund was restructured and merged into Hanbo Fund. The fund's highest transaction price during its existence reached 12.39 yuan, and its lowest price was 1.6 yuan. The price has always been far higher than the net asset value. To today's investors, such a \"record\" would inevitably make them cover their faces and laugh: \"Back then, people were really foolish and had a lot of money.\" But is history really that simple? That's probably not entirely true.</p><p>The Zibo Fund is directly approved by the People's Bank of China and mainly invests in the equity of township enterprises and related service industries in the Zibo area. This investment shall not be less than 60% of the fund's net asset value. At the same time, you can invest in various bonds and listed company stocks, with this investment not exceeding 40% of the fund's net asset value.</p><p>Therefore, it is clear that this Zibo fund is not a securities investment fund as we usually understand it today, but a hybrid of securities and industrial investment funds. Moreover, from a legal perspective, it is clearly not established based on a contract, but rather an independent legal entity approved by the central bank. Or we could simply say that it is actually a listed company whose main business is investment and holding.</p><p>If we look at its valuation from this perspective, it becomes easier to understand. In 1993, China's economy overheated across the board. The CPI grew by 14.7% year-on-year, and fixed asset investment grew by 45.3%. People's pursuit of investment opportunities has reached a frenzy. The extremely high premium of Zibo funds is a micro-reflection of this macro background.</p><p>In \"Romance of the Three Kingdoms\", Luo Guanzhong arranged a line for Zhang Jiao, the leader of the Yellow Turban Uprising: \"The most rare thing is the hearts of the people.\" Now that the people's hearts are in line, it would be a pity not to seize the opportunity to conquer the world. For Zibo Fund, the situation it faces is not far from that of Zhang Jiao back then. If the market gives me a valuation of 10 times price-to-book ratio, then I can double my net assets by simply issuing 10% more share capital. The money raised can easily yield double-digit returns no matter where it is placed, even in treasury bonds used for preservation subsidies. If share capital is diluted by 10% while profits double, wouldn't that mean explosive growth in performance?</p><p><b>If earnings growth is sufficient to maintain a high valuation, or even drive up the valuation level further, then it will form a cycle of high valuation, high financing, and high growth. This process is exactly what Soros calls reflexivity.</b></p><p>Unfortunately, from its listing in 1993 to its restructuring in 2000, regulators never gave Zibo Fund such an opportunity. However, in 1995, several listed funds, including Zibo Fund, experienced a brief period of hype. The reason was rumors that the \"Fund Management Law\" would be introduced that year, and small-cap funds might expand their fundraising. Expanding fundraising is the key to driving this reflexive process. So you're saying the market back then was just \"stupid people with a lot of money\"?</p><p>However, the legendary \"Fund Management Law\" has never been seen. It was not until 1997 that the China Securities Regulatory Commission (CSRC) promulgated the \"Interim Measures for the Administration of Securities Investment In 2003, the Securities Investment Fund Law was approved by the National People's Congress and officially became a national law. Please note that compared to the rumors in 1995, the name of the finally passed law now includes four more words: \"Securities Investment\".</p><p><b>China's securities investment funds ultimately chose a contractual legal system.</b>The fund company is the manager. The units issued by the fund are beneficiary certificates, and the holders of the fund units are the clients. All these arrangements seem to be a matter of course today. In fact, there is another legal system for corporate funds.</p><p>Corporate funds are legal entities that can issue shares, which are jointly owned by the fund manager and investors. Many of the industrial investment funds we see today are corporate funds. In China, there are probably no corporate-type securities investment funds. However, there are also quite a few corporate mutual funds in the United States.</p><p>From a reflexive perspective, contractual funds are not reflexive. Because when customers subscribe to fund units, the price is only based on the net asset value. In other words, only the stocks, bonds, and cash held by the fund are valued. The fund's own brand, reputation, historical performance, and resource investment such as the fund company's investment research team, front and back offices, and intangible assets are not valued. Whether they add value or destroy it, they are ignored.</p><p>Therefore, contractual funds are theoretically impossible to issue at a high premium, and it is impossible to expand a large amount of capital with a small share capital, so the reflective process cannot be achieved. Corporate funds, on the other hand, have the potential to achieve reflexivity. For example, some industrial investment funds listed on the National Equities Exchange and Quotations (NEEQ) achieved ultra-high premium issuances of around 10 times price-to-book ratio in 2014 and 2015, resulting in a multiple increase in net assets.</p><p>For example, Silicon Valley Paradise had share capital of 1.375 billion yuan and net assets of 3.37 billion yuan in the first half of 2015. After the share issuance, the share capital only increased to 1.477 billion yuan, but the net assets doubled to 6.89 billion yuan.</p><p>For example, Zhongke Zhaoshang had share capital of 1.182 billion yuan and net assets of 1.92 billion yuan at the end of 2014. After the share issuance, the share capital only increased to 1.8 billion, but the net assets surged to 14.6 billion.</p><p>It's important to understand that it typically takes several months or even years for a company to raise funds, start production, and generate profits. However, many financial assets are invested and returns begin to be calculated immediately. Therefore, if it weren't for the stock market crash in the second half of 2015 and the market downturn, the performance of these companies would have been almost a foregone conclusion. A classic reflexive process can be described as a failure at the last minute.</p><p>For investors, when participating in contractual funds, the relationship between you and the fund company is always that of a client and a manager. All the fund's returns to you are reflected solely in the net asset value of assets such as stocks and bonds. This fund and all other developments of the fund company have nothing to do with you. The fund company's recruitment of new clients has nothing to do with you, an existing client.</p><p>However, in corporate funds, investors and fund companies are team partners who work together to start a business and build a business. In addition to book value, investors can also enjoy the profits and losses brought about by fund companies' \"competition for the Central Plains\". If new investors want to come in, they must obtain the consent of a majority of the existing shareholders, and the price will certainly not be cheap. In today's industrial investment, the investment price for Series C rounds generally cannot be lower than that for Series B rounds, and the price for Series D rounds cannot be lower than that for Series C rounds. This first-come, first-served \"courtesy\" has almost become an industry practice.</p><p>When we watch movies and TV series, we hate it when others \"spoil\" them. Knowing the ending in advance will prevent you from fully immersing yourself in the prequel, affecting the viewing experience. When we study history, we must also eliminate the influence of spoilers. If, at the turn of the century, China had ultimately chosen a corporate legal system. Therefore, it was quite reasonable for the earliest batch of fund companies to buy at a high premium in 1993.</p><p>In fact, entry-level investment is very common in high-tech venture capital. For example, if I'm optimistic about a particular niche market, but I can't see the technological route and competitive landscape clearly, then I'll invest in all three or five of the best companies on the market.<b>Moreover, the price at this point is not calculated based on current financial data, but rather backwards based on future industry prospects.</b>Because no matter which company grows bigger, I can act as an old shareholder and collect the \"road money\" paid by those who come later.</p><p>In 2012, when star fund manager Wang Yawei left China Asset Management, he gave this account to reporters. He served as a mutual fund manager for 14 years, from Xinghua Fund to Huaxia Large Cap Selection. If you reinvest with dividends, you can turn 1 yuan into 28 yuan in about 14 years. This return is already quite astonishing. However, when China Asset Management was established in 1998, its registered capital was only 70 million yuan. By the time of the equity transfer in 2012, the overall valuation was 16 billion yuan, plus dividends of up to 4 billion yuan, resulting in an adjusted return of more than 200 times. Therefore, in the same year of 2014, the value growth of fund companies themselves far exceeded the performance growth of the best funds in the market.</p><p>Whether those who speculated on Zibo funds back then ever harbored such lofty dreams is now unknown. Zibo Fund is like an abandoned road sign. It points to a \"parallel time and space\" that is completely different from the world today.</p><p><b>II. Being attacked from both sides</b></p><p>In 1998, the Shanghai Composite Index fell by 3.97%. Behind this modest figure lies the turmoil in the macroeconomy and surrounding markets. In 1997, the Thai baht began to depreciate. After entering 1998, the financial crisis swept across Asia, Russia's Treasury Bond defaulted, and global stock markets plummeted.</p><p>Among the major global markets that year, Hong Kong stocks were under the greatest pressure. Because Hong Kong's economic fundamentals are highly linked to East Asia, the legal tender of the Hong Kong dollar is pegged to the US dollar. If the Hong Kong dollar can depreciate, then Hong Kong dollar-denominated stock prices can receive some support. Therefore, although the Hong Kong government directly intervened in the market and intervened strongly, the Hang Seng Index still fell by almost half in August 1998.</p><p>During this period, the A-share market performed calmly. However, regulators are already worried and under even greater pressure than in Hong Kong. On the one hand, the government has promised that the RMB will not depreciate. On the other hand, at that time, the overall P/E of A-shares was as high as 40 times, and only 5% of individual stocks had a P/E of less than 20 times. Moreover, market makers are rampant, engaging in speculation and manipulation, and a large number of retail investors are addicted to it. If foreign tycoons break in, the consequences will be unimaginable.</p><p>The concept of market makers has been far removed from the A-share market for many years. Back then, the so-called \"market maker\" referred to an individual or group of funds who controlled the vast majority of the circulating shares of a listed company and then controlled the rise and fall of the stock price at will by transferring them from one hand to the other. Then, in the next day or few days, whether the stock price will rise or fall becomes the bottom set by the market makers, while retail investors guess the riddle, just like the size of a bet in a casino.</p><p>If the dealer manipulates the game skillfully, it can last a long time. But if you mess it up, the consequences can be extremely disastrous. In 2003, the Delong Group collapsed, and they were the manipulators.<a href=\"https://laohu8.com/S/000633\">Alloy Investment</a>The trend of the 95% plunge is shown in the chart below:</p><p><img src=\"https://static.tigerbbs.com/237422e025b1ec69079e44fc95daa788\" tg-width=\"1000\" tg-height=\"457\" referrerpolicy=\"no-referrer\"></p><p>Against this backdrop, the \"old ten\" public fund management companies emerged. At this time, the fund was appointed in a time of crisis. They have always had two missions. On the one hand, we need to introduce new investment styles to the market. This proves that it is possible to make money without manipulating the market, thereby improving market pricing efficiency. On the other hand, it is also necessary to educate investors. This proves that diversified and long-term investment is superior to short-term speculation, thereby changing investors' risk appetite.</p><p>Based on these two considerations, most of the newly launched funds from 1998 to 2001 had two characteristics. First, the scale is extremely large, either 2 billion or 3 billion. Even if we look at it more than ten years from now, this scale is quite considerable. Moreover, 3 billion back then is no different from 3 billion today. It's worth noting that China's GDP in 1998 was less than 10% of that in 2020, and its M2 money supply was less than 5% of that in 2020. Second, it will be closed for a long time, with a uniform closure period of 15 years. I bought it when I was learning to speak, and when I came out, I was already a college student. This design is quite a test of investors' patience. Later, many \"old funds\" issued before 1998, such as Fund Zibo, were also restructured into such super-large-scale, long-term closed-end \"new funds\".</p><p>The launch of the new fund was warmly welcomed by shareholders. The five funds launched in 1998, each with a size of 2 billion yuan and a total of 10 billion yuan, attracted a total of 536.6 billion yuan in subscriptions, with an average success rate of less than 2%. Funds that did not win the lottery have been transferred to the secondary market and are highly sought after, resulting in a premium of over 100% for new funds. Its enthusiasm is no different from that of \"old funds\".</p><p>However, the new fund is too large, and the issuance speed is gradually accelerating. In 1999, the issuance size of new funds increased from 2 billion to 3 billion each. Speculative capital in the market quickly lost its support. Premium turns into parity, and parity turns into discount.</p><p>The chart below shows the trend of discounts and premiums of listed closed-end funds and the total size of the fund industry from 1998 to 2015. The fund data excludes samples that have been listed for less than 60 days and have a duration of less than one year. The total size of the fund industry only includes equity and mixed funds and is displayed on the logarithmic axis.</p><p><img src=\"https://static.tigerbbs.com/f139ba9aa73b2889cacf2f6806d3c1b2\" tg-width=\"1000\" tg-height=\"523\" referrerpolicy=\"no-referrer\"></p><p>As can be seen from the chart above, with the large-scale issuance of new funds, the premium rate of closed-end funds plummeted and turned into a discount. No new funds were launched throughout 2000 and the first three quarters of 2001. The premium rate for closed-end funds has gradually turned positive again.</p><p>In September 2001, open-ended funds were launched, and fund issuance accelerated again, with the premium rate for closed-end funds stabilizing as low as around -30%. After 2008, the size of the fund industry stabilized, and the premium rate of closed funds also rebounded to around -10%, stabilizing again until the last closed fund expired in 2016. In 2001,<a href=\"https://laohu8.com/S/CHN\">China Fund</a>The industry has once again made a strategic choice in its development path, shifting from closed-end funds to open-end funds. Why make this change? The most common explanation is that open-ended funds allow investors to vote with their feet, which helps achieve survival of the fittest in the fund industry. This statement seems high-sounding and irrefutable.<b>In fact, just as the vast majority of stock investors lack the ability to select stocks, there is no evidence to suggest that fund investors, as a group, have the ability to \"select funds\".</b></p><p>In May 2020, I conducted statistics on all equity and equity-oriented open-ended funds in the A-share market to examine the changes in their size after their issuance. The results showed that the median change in scale after six months was -30.5%, and the median change in scale after one year was -47%.</p><p>Why use the median? Because a small fund grows by 1000%, it's easy to mislead the average. Therefore, for sample sets with significant intrinsic differences, we usually look at the median. We can roughly understand it this way: the most common situation is that one-third of open-ended fund investors run away in six months and half in a year.</p><p>I think the above results are sufficient to demonstrate that the trading discount of fund-locked funds is not due to fund investors' dissatisfaction with their performance, but rather to deep-rooted short-term speculation habits. After holding it for a while, it always has to go. If you close it off and prevent him from redeeming it, then he would rather sell it at a discount on the secondary market.</p><p>Even more interestingly, in the above statistics, if we only look at funds with a net asset value of less than 1 yuan, their median change in size after six months is -22.8%, and their median change in size after one year is -35.8%. In other words, fund investors are unwilling to leave after losing money. Another symmetrical phenomenon is that many star funds are reluctant to accept \"market rewards\" and are afraid to expand their size. A typical example is Wang Yawei's Huaxia Large-Cap Selection Fund. Although it is an open-ended fund, it has not been open for subscription for a long time, only for redemption. The combination of these two phenomena amounts to \"survival of the fittest,\" which is completely contrary to popular explanations.</p><p><b>When the fund industry was first developed, the slogan they shouted was that \"expert wealth management\" outperformed retail investors. Unexpectedly, experts are now trying to cater to the short-term preferences of retail investors.</b>Isn't this putting the cart before the horse? Many new fund managers face enormous marketing pressure from the very beginning of their careers, leaving them with no opportunity to develop a long-term vision. Even stocks that are firmly bullish are forced to be sold at the bottom under redemption pressure. Therefore, I believe that shifting from closed to open is a bad thing rather than a good thing for the growth of the investment research team, at least the losses outweigh the gains.</p><p>However, given the specific market environment at the turn of the century, these losses were probably a necessary cost. Because the fund industry is always facing opposition from both sides, it has to face both the market and its clients. When necessary, only by compromising with customers can we better focus on dealing with the market.</p><p>From a micro perspective, no matter what method a fund company adopts, it must first expand its industry scale and solve its basic needs before it can calmly cultivate its own investment and research talent pool. From a macro perspective, without a certain amount of capital in the fund industry, it is impossible to form a discourse system for institutional investors in the market, and therefore it is impossible to talk about improving market efficiency.</p><p>By today's standards, not all of the many fund managers in the market understand value investing. However, with at least the double ten constraint (individual stocks accounting for no more than 10% of the fund's net asset value and the fund's share capital holding no more than 10%), coupled with quarterly report disclosure, bank custody, and a series of standardized management measures, it is definitely not possible to control, shake up, and violently manipulate the market like in the 1990s. Back then, being able to achieve \"standardized operation\" was already commendable.</p><p>In fact, regulators have never given up their efforts to \"revive\" closed-end funds for many years. They use various sweet offers to persuade investors to give up their short-term trading habits. This also led to another public case, which we will discuss later.</p><p><b>III. The Mystery of Discounts and Premiums</b></p><p>After 2001, the secondary market price of closed-end funds was consistently and significantly lower than their net asset value. This may be the first market phenomenon in the history of A-shares that has attracted strong attention from the academic community. Today, dozens of papers that discussed this phenomenon can be easily found on the China Knowledge Network.</p><p>According to academic norms, a literature review is required before the study. However, in this review, scholars have applied the situation in China after 2001 to the experiences of the United States and the United Kingdom. After all, there are only a few English papers that are easy to find. As far as I can see, none of the articles mention the history of China's \"old fund\" prices being significantly higher than their net asset value for a long time in the 1990s. Even after the restructuring in 1998, no article reviewed the V-shaped trend of the new fund from premium to discount and then to premium.</p><p><b>Therefore, the question of the relationship between price and net asset value becomes \"why do closed-end funds always trade at a discount?\" A specific historical phenomenon becomes a logical problem.</b>So what is the answer? Those papers in the United States simply look for reasons in terms of costs, accounting, and taxes. However, these specific reasons simply do not exist in China. Therefore, we have no choice but to end with \"no conclusion\" or simply with \"market irrationality\".</p><p>Actually, if you ask me, the answer can be summed up in four words:<b>Oversupply</b>。 It's that simple. If the fund industry develops more slowly and doesn't launch so many products, closed-end funds are very likely to continue trading at parity or even premium as they did before 2001.</p><p>A single fund has a scale of several billion yuan, with daily trading volume of only tens of millions, and an average turnover rate of less than 1%. Can this 1% represent all fund investors? Imagine if we required all holders to place a sell order, how would the order price be distributed? Perhaps 10% of people will be listed near the market price, 20% will be listed between the market price and the net asset value, 60% will be listed near the net asset value, and another 10% will probably be listed far above the net asset value. Of course, the above numbers are entirely my intuitive guess, but this distribution probably makes sense.</p><p>Similar issues exist regarding the relationship between dividends and share buybacks. Both of these are means for listed companies to distribute cash, and the academic community has published countless papers to discuss their impact on stock prices. We can also think of it this way: if all shareholders are required to place sell orders, then only a few percent or even a few thousandths of the orders will be placed near the current price, while the vast majority of other sell orders will be placed significantly higher, or even far higher, than the current price. In other words, a 5% daily turnover rate for a stock only indicates that 5% of its shareholders agree with the market price. Another 95% of shareholders believe the valuation is higher than the current price; otherwise, they would have chosen to sell.</p><p>Therefore, the effect of dividends is like sunshine, with only one ex-rights effect on the stock price.<b>Repurchases, on the other hand, targeted the elimination of the relatively least optimistic segment of all shareholders. Therefore, share buybacks have a strong upward distortion effect on stock prices.</b>I think this simple logic is more convincing than frighteningly complex mathematical models.</p><p>The above explains discounted transactions from a spatial perspective, and it is not difficult to understand from a temporal perspective. Many industries have experienced widespread losses or even losses across the entire industry. In 2016, the entire steel and coal industry suffered losses. What does this mean? This only means that some players should quit. If everyone stubbornly refuses to quit, they will continue to lose money. Fortunately, China has supply-side structural reforms. The shipping industry is a completely international industry, and it has been losing money since 2008.</p><p>Therefore, the fact that closed-end funds are generally discounted, including most US mutual funds that cannot outperform the index, shows that there are too many players, but there is still a stock of foolish money supporting them. This is probably a cyclical phenomenon rather than a logical problem. The fundamental reason is that since the 1980s, global stock markets have been in a long-term bull market and have not experienced the full adjustment that occurred in the 1930s and 1970s.</p><p>Since taking office in 1998, China's fund industry has been under pressure to mature. It hardly experienced the blue ocean phase of natural accumulation, and directly entered the red ocean according to the government's strategic plan. This is very similar to industries such as photovoltaics and wind power. In other words, the competition within the industry is extremely fierce, even brutal. However, the overall output value has risen very rapidly, and the systemic importance of the industry has increased dramatically.</p><p>China's fund industry started developing from scratch in 1998, and by 2007, nearly 30% of the circulating market capitalization of A-shares was controlled by fund companies. Please note that what is even more exciting than the 30% ratio is the momentum of going from 0 to 30% in less than ten years, which seems to be within easy reach of 40%, 50%, and 60%.</p><p>As a result, some people in leading fund companies began to have wild ideas. They felt that being just a financial investor was not interesting; they needed to be active investors and participate in the company's operational decisions. As far away as Carl in the United States<a href=\"https://laohu8.com/S/IKAN\">Ican</a>This is similar to Baoneng and Anbang in previous years. In short, the era of market makers is long gone, and value investing is just the foundation. Under the new conditions, the gameplay needs to be upgraded further.</p><p>This feeling is completely understandable. After all, whether you hold 3% or 30% of a company's shares, the enthusiasm, expectations, and sense of responsibility you invest will be drastically different. Therefore, the overall atmosphere in the fund industry during those years was in no way inferior to the heyday of internet giants. Even now, when I think back to those youthful days, I can't help but feel a surge of emotion. That feeling is similar to: the world is yours, and it is ours, but ultimately it is ours.</p><p>Unfortunately, life is unpredictable and fate can play tricks on us. At the beginning of 2020, fund companies controlled less than 7% of the A-share market capitalization. The dreams of active investors can only be mapped to another parallel universe.</p><p>From the perspective of society as a whole, a fund company's investment research team consists of only a few dozen people. If they were just buying and selling stocks, it wouldn't matter if the amount reached tens or hundreds of billions. However, if they can control dozens or hundreds of listed companies, even if it's just to speak for their interests, things will be much more complicated.</p><p>Wall Street has been widely criticized for siphoning off too much public resources during the Great Recession of 2008. This was even more evident during the COVID-19 crisis in March 2020. The Federal Reserve isn't enough to cut interest rates by 1 percentage point at once; they must be lowered to 0. Just buying Treasury Bond isn't enough; they also need to buy junk bonds. The government's various deficit plans are increasing them by 3 or 5 percentage points. If these policies aren't sufficient, the stock market will lie underground and \"die\" for you to see. When it had enough sugar, it rolled over and sat up again, and it was full of energy. If Wall Street didn't have a strong will, it would obviously be impossible for it to engage in such an effective game with the authorities, as scattered as Chinese stock market investors, who would thrive with a little sunshine.</p><p><b>Does China really want its own Wall Street? It's probably because I both want to and don't want to.</b></p><p><b>IV. The First Pot of Gold</b></p><p>I once talked to my old colleagues in the mutual fund industry about how there are so many investment schools in the market, but most fund managers started from scratch and were completely blank slates before entering the industry. What exactly determines their style? Chen Yangfan of Mammoth Asset Management said: At first, everyone was just exploring randomly until they earned their first pot of gold. How they earned their first pot of gold is basically what their style is. I completely agree with this statement.</p><p>The \"new funds\" issued between 1998 and 2001 were later called closed-end funds. It is the first pot of gold for many veteran stock market investors and fund investors. Simply put, you can blindly buy hedged funds throughout their entire lifespan, and you can basically make money in the end. Of course, there is a window of opportunity when you can lose money after buying. However, it is very short, and it is not easy to choose. Moreover, as long as you buy before the 2007 bull market, you will definitely make a huge profit in the end.</p><p>From the end of 2004 to the end of 2012, the average return of closed-end funds was 540%, while the average return of open-end funds was 236%, and the average return of individual stocks was 141%. The average return of closed-end funds can outperform all open-ended funds except Huaxia Large Cap Selection, and can also outperform more than 93% of individual stocks.</p><p>Why are there such amazing results?<b>There are two main reasons: high discounts and a strong market trend.</b></p><p>In 2004, the fund industry barely reached a scale of 200 billion yuan, and it was almost completely powerless to sprint towards 300 billion yuan again. In his book \"Fund Evergreen,\" Fan Yonghong, the first general manager of China Asset Management, recalled that the later legendary China Asset Management Large-Cap Selection only raised 2 million units on its first day of issuance. Sales staff at China Asset Management even had to compete with distribution channels for wine, \"exchanging a glass of wine for a 1 million yuan fund.\" Based on typical sales rebates, 1 million seems like a considerable amount. However, it's important to understand that a large portion of a 1 million yuan mutual fund subscription will be lost in the short term, and the remaining portion will only generate a 1.5% management fee per year. After deducting various costs, the actual benefits are likely to be negative.</p><p>In this market condition of severe oversupply, the secondary market trading price of secured funds is far lower than their net asset value, with an average discount of 28%. However, if you only focus on these 28 points and spread them out over the next few decades or so to slowly reply to them, it doesn't seem very attractive. This is indeed the case; until 2014, the average discount of secured funds was still more than 10 percentage points. In ten years, the discount rate has only returned to 18 percentage points, an annualized rate of less than 2%.</p><p>However, once high discounts are combined with a strong market trend, the situation changes completely. The same applies to buying assets worth 3 yuan with 2 yuan in cash. You could call it a 33% discount rate, or you could call it a 1.5 times leverage ratio. The discount rate has become a leverage ratio!</p><p><b>Therefore, the extremely high returns of secured funds are actually the result of the combination of two factors. First, the high discounts caused by the rapid development of the fund industry from 2001 to 2004; second, the magnificent bull market of 2006 and 2007.</b></p><p>Of course, like other investment opportunities, if you want to buck the trend and buy at the bottom, you have to overcome a few scary \"ghost stories\". For example, there were rumors in the market at the time that closed-end funds of the same company would transfer benefits to open-end funds. However, as we have already proven, most fund investors simply do not have the ability to choose funds. The fund manager risked violating regulations and laws by finally giving his colleagues a 2% return, but the fund investors were completely unaware of it, and in fact, they ran away even more. Why did you go through all this trouble?</p><p>Some people worry that fund managers who have frozen funds will operate recklessly and deliberately lose money. This makes it even more ridiculous. First, deliberately losing money is not beneficial to either the fund company or the fund manager. Moreover, under the efficient market assumption, intentionally losing money is just as difficult as \"intentionally\" making money. If you specifically buy junk stocks, you might actually make more money.</p><p>There used to be a joke that a strategist with a 70% accuracy rate in predictions could earn a million yuan annual salary. If the accuracy drops to 50%, then he is worthless. However, if the accuracy rate drops further to 5%, then he should be worth an annual salary of 5 million. And why? Because positive and negative indicators have the same value, you just need to listen to them the other way around. The key is that the accuracy rate should deviate from 50%, the more the better; it doesn't matter which way it deviates.</p><p>As mentioned earlier, after the suspension of closed-end funds in 2001, regulators were unwilling to completely abandon the closed-end fund market. However, retail investors have a stubborn habit of short-term speculation, and open-ended funds have also established a mainstream position. If we continue to issue classic closed-end funds at this point, we will most likely face the problem of discounting upon listing. Theoretically, holders can ignore market prices and simply hold their shares. However, the reality is that unrealized losses in the market price have had a significant negative impact on fund sales. So regulators handed this problem over to fund companies, asking them to design innovative closed-end funds to attract investors.</p><p>In September 2007, Dacheng Youxuan went public. It is the first innovative closed-end fund in the A-share market. Its innovations are mainly twofold: First, it sets up performance-based compensation, with the commission rate being 10% above the water level. Secondly, a conversion clause has been set up, stipulating that if the discount exceeds 20% for 50 consecutive trading days, the fund will be converted from a closed-end fund to an open-end fund.</p><p>When Dacheng Youxuan first went public, the market had high expectations for the magic of performance-based rewards, hoping that it could motivate the investment research teams of fund companies and create outstanding results. However, judging from the results, the fund's performance was not ideal, so after a brief premium, it quickly switched to discount trading, with the discount even exceeding that of classic closed-end funds.</p><p>The second innovative closed-end fund in the A-share market is called Ruifu Progress, which also has two innovations: First, it has designed a relatively complex leverage mechanism. The leverage ratio is roughly around 2 times. Secondly, a reopening clause has also been set up, stipulating that if the discount exceeds 30% for 60 consecutive trading days, it will be reopened.</p><p>Ruifu Progress lasted for 5 years from its listing in 2007 to its maturity in 2012, basically achieving continuous premium trading with an average premium rate of around 20%. In this respect alone, it is clearly more successful than Dacheng Youxuan. The reason seems to be simple: retail investors' preference for leverage exceeds their expectations for active management.</p><p>In April 2010, the China Financial Futures Exchange (CFFEX) opened up stock index futures, allowing leverage ratios to easily reach more than 5 times. Ruifu Enterprise's premium rate subsequently declined significantly, and it even experienced a discount at one point. In 2012, Furui Progress was renewed according to the contract, and the leverage ratio returned from more than 3 times to 2 times. Market interest became weaker, and the price fell rapidly until the discount rate approached 20% before stabilizing.</p><p>This shows that retail investors in the A-share market prefer short-term speculation and leverage. As for trust in expert financial management, if it exists, it ranks third at most. In 2018, Xingquan Heyi IPO, managed by Xie Zhiyu of Xingquan Fund, sold 30 billion yuan in a single day, making it a blockbuster. The fund was closed in its first year, but it was still discounted by 6% upon listing. It opened a year later, and half of the shares held were sold off as is \"customary\". It's clear that even star fund managers find it difficult to escape this vicious cycle.</p><p><b>V. Tiered Funds</b></p><p>According to the original approach, regulators wanted to establish a gentleman's agreement with retail investors. Regulators offered two characteristics: \"performance\" and \"leverage\" in exchange for retail investors accepting the condition of \"closure\". But now that the gentleman's agreement seems impossible, wouldn't it be wonderful to simply graft the \"leverage\" onto open-ended funds and directly increase their scale?</p><p>The basic principle behind this type of open-ended fund with leverage is that it is mostly divided into two levels: A and B. If the money from both levels is invested together, Class B will bear both losses and profits, while Class A will only receive fixed income. Therefore, they are collectively referred to as tiered funds</p><p>Overseas, leveraged funds generally only have leverage levels and no seniority levels. Or rather, they all use virtual priorities. The functions corresponding to the priority are all implemented by investment banks or derivatives markets. The advantage of doing this is that the size of the priority can be scaled at any time.</p><p>For example, a 2x leveraged fund. If an investor puts in 100 million yuan, the fund company will lend another 100 million yuan to provide margin financing. Then today the market fell by 5%, investors suffered a loss of 0.10 billion, and the principal dropped to 0.90 billion. Near the close of trading that day, the fund company had to reduce the margin trading amount to 90 million yuan, so that the fund's leverage would still remain at 2 times. If the market rises tomorrow, it will be adjusted back. Therefore, the margin trading amount needs to be adjusted every trading day.</p><p>From the perspective of investment products, senior funds in overseas leveraged funds are actually a lucrative opportunity. High security and good profitability, the best of both worlds. The only downside is that it has to be \"summoned and dismissed at will,\" which is unstable.</p><p>Our A-share tiered funds are essentially taking out this lucrative piece of money and distributing it to other interested fund investors to enjoy. Of course, the cost of doing this is that the size of the priority can only be adjusted in certain pre-determined special circumstances, and it is impossible to scale it down every day at the close of trading.</p><p>This innovation is not originally intended to be bad. However, problems arise when applied to a specific market environment. The first crisis for leveraged funds occurred on May 20, 2014. The protagonist was Yinhua Ruijin, a B-level fund, which is a leveraged fund. It is passive in investing, focusing on the Shenzhen 100 Index. Therefore, the rise and fall of the Shenzhen 100 Index completely determines its net asset value. In terms of sales, it has been very successful, growing from a scale of 1 billion to more than 10 billion in just four years since its launch. But the problem lies in this scale.</p><p>Due to the continuous market decline from 2011 to 2014, coupled with the continuous interest payments for senior tranches, Yinhua Ruijin's net asset value has reached near the liquidation line. In other words, if it falls further, it may affect the safety of senior funds. Therefore, once the liquidation line is reached, the product must be partially liquidated.</p><p><img src=\"https://static.tigerbbs.com/338c1c17b086c4274475aeedc22f6172\" tg-width=\"1000\" tg-height=\"464\" referrerpolicy=\"no-referrer\"></p><p>As we have explained earlier, the priority size of leveraged funds will not be gradually adjusted during the previous decline. Therefore, if a partial liquidation occurs, the potential one-time sell-off amount will reach more than 10 billion yuan. At this time, the average daily trading volume of the entire Shenzhen 100 Index was only over 10 billion yuan. Once a margin collapse occurs, it would be a heavy blow to an already exhausted market.</p><p>Moreover, since Yinhua Ruijin is a passive fund that tracks the index, the fund manager has no right to actively adjust the position. As long as the index falls below the corresponding level, it is absolutely certain that Yinhua Ruijin will be liquidated.</p><p>And then a miracle happened. At 9:38 a.m. on May 20, 2014, the Shenzhen 100 Index clearly fell below the margin call line of Yinhua Ruijin, and then was immediately pulled back sharply. Moreover, this tiny golden needle actually became the historical bottom of the Shenzhen 100 Index, and it has never fallen below it since. The image below shows the time-sharing record I kept back then:</p><p><img src=\"https://static.tigerbbs.com/0483c2453de1675c635e63d0ceb881a0\" tg-width=\"1000\" tg-height=\"448\" referrerpolicy=\"no-referrer\"></p><p>The origin of this mysterious force remains an unsolved mystery. Perhaps because the incident ultimately escaped unscathed, it caused almost no uproar, both within and outside the industry.</p><p>Tiers A and B of tiered funds each have their own net asset value and price. However, because they cannot be subscribed to and redeemed separately, they may experience significant discounts or premiums, respectively. However, A and B together form a complete open-ended fund, which can be subscribed to and redeemed. Therefore, the sum of the prices of A and B cannot deviate significantly from the sum of their net worth.</p><p>For example, both A and B have a net value of 1. At this point, the price of A can be 1.2, then the price of B is 0.8, or the price of A is 0.7, then the price of B is 1.3. In short, the prices of both can deviate from the net asset value, but the sum of the two must be stable. Otherwise, arbitrage opportunities will occur.</p><p>Due to retail investors' love of leverage, there are quite a few arbitrage opportunities where leveraged funds are priced at a premium. However, the vast majority of these opportunities are \"visible but intangible\". It is theoretically valid, but it cannot be implemented in practice. There are four main reasons:</p><p>First and foremost,<b>The vast majority of leveraged funds cannot be subscribed to and redeemed in real time.</b>If you observe a premium on day T, subscribe before the market closes on that day. On T+1, the fund company confirms the number of shares. On T+2, the fund units are reflected in the brokerage system. You also need to issue a split order before you can sell A and B respectively on T+3. At this point, is the premium still there? Generally speaking, it's no longer there. If it's still there, the arbitrage has been successful. Therefore, this issue is also related to the stability of the premium level.</p><p>The second point is<b>The price of Class A is unstable. Because A-level investors typically view it as a long-term bond.</b>They think about it this way: If I invest 100 yuan today with an annual interest rate of 6%, then the interest for 10 years will be 60 yuan, the interest for 20 years will be 120 yuan, and the interest for 30 years will be 180 yuan... So if the interest rate changes by 1%, it will have a great impact on them. However, a 1% price change for Class A does not have a significant impact on them. Of course, institutional investors will be more meticulous in their calculations. However, the trading volume of Class A is too small, there is no liquidity, and institutions rarely participate.</p><p>The third point is<b>The premium level for Class B is also unstable. When the market lacks a trend, retail investors generally regard the B-level as a magic weapon for oversold rebounds.</b>In other words, when the market plummets, Class B tends to experience a premium. Two or three days later, regardless of whether a rebound occurs or not, this premium will usually disappear.</p><p>The fourth point is...<b>The subscription fee rate for leveraged funds can reach as high as 1% to 1.5%, which greatly increases the cost of arbitrage trading.</b></p><p>However, during the bull market of 2014 and 2015, the above situation changed significantly, and premium arbitrage by leveraged funds became easier to achieve again.</p><p>First of all<a href=\"https://laohu8.com/S/601688\">Huatai Securities</a>They launched a \"blind demolition\" service, and other securities companies followed suit. The so-called blind split means that on T+1 day, the fund company confirms the shares, and before it has been reflected to the brokerage firm, you directly issue a split order to the brokerage firm. In this way, on T+2 days, the brokerage firm directly enters the split A and B into the system, and you can trade immediately. This technological innovation has greatly reduced the uncertainty of premium arbitrage.</p><p>Secondly, the price of Class A has stabilized. Starting in the second half of 2014, the central bank continuously lowered the reserve requirement ratio and interest rates, forcing many insurance companies and fixed-income products to seek returns within the securities market. Institutional investors were quite rational and quickly stabilized the price of Class A shares within a very small range, preventing them from fluctuating wildly.</p><p>Thirdly, the premium level for Class B has also stabilized. This is the simplest, yet most crucial, principle: when a bull market arrives, with boundless enthusiasm, prices continue to rise at a premium.</p><p>Article 4. The subscription fee is usually calculated as a percentage, but the highest tier has an upper limit of 1,000 yuan. Therefore, for funds of more than 5 million yuan, the fee is no longer a restriction. Why did it constitute a restriction in the past? Because of poor liquidity in the past, the amount of capital invested in a single arbitrage was too large, and I was afraid I wouldn't be able to get it out. During a bull market, liquidity has improved significantly, allowing for direct investment in whole-house renovations.</p><p>From the end of 2014 to mid-2015, funds focused on premium arbitrage in leveraged funds achieved returns of approximately 2 to 3 times. This performance outperforms most mutual funds, but it's not too exaggerated. However, its advantage is that it \"doesn't hang a string until it sees the Japanese,\" moving when there is a signal and stopping when there is no signal, so there is no question of hesitating to cut losses. Therefore, the gains of the bull market were preserved. Most public and private funds experienced severe pullback/retracement in the subsequent stock market crash.</p><p>So, after the market peaks, what investment opportunities do leveraged funds still have? Actually, there are some options: observe which Class B positions are about to be liquidated, and then buy the corresponding Class A positions.</p><p>As we mentioned earlier, in May 2014, the market experienced a near-miss potential crisis. At the time, Yinhua Ruijin was a giant fund with a potential sell-off of around 10 billion yuan. However, during the stock market crash, the situation changed to several giant funds, plus dozens of small and medium-sized funds, with tens of billions of yuan in potential sell-offs, which were exposed continuously within a concentrated period of time.</p><p>On August 24, 2015, ChiNext B shares were liquidated, triggering a sell-off of approximately 4.5 billion yuan. On August 27, Securities B suffered a liquidation, triggering a sell-off of approximately 7.5 billion yuan. On August 28, state-owned enterprises liquidated their positions after converting to B-shares, triggering a sell-off of approximately 13 billion yuan...</p><p>Because the terms, share capital, and net asset value information of mutual funds are all publicly available, the key information under which these funds would liquidate their positions and the size of the potential sell-off is also publicly available. If you anticipate that a fund is about to be liquidated, the most rational decision is to short the relevant stocks first, both to avoid risk and to induce a liquidation. After the fund executes the liquidation, buy it back from the low point. Facts have repeatedly proven that every giant leveraged fund that has been wiped out has created a trap in the market, with the liquidation positions always being cut at the lowest point.</p><p>The above characteristics are extremely disadvantageous to Class B, while Class A benefits. The specific calculations are quite complex, so I'll skip them here. Those interested can consult the relevant fund's prospectus and other materials.</p><p>The fact that leveraged funds \"passively dumped their shares\" during the stock market crash has drawn widespread criticism both inside and outside the industry. In 2018, the China Securities Regulatory Commission (CSRC) issued the \"New Asset Management Regulations,\" requiring all tiered funds to undergo complete transformation. However, a large number of leveraged funds were still trading until early 2020. However, I believe that even if leveraged funds really disappear, newer products will emerge in the future.</p><p>The story of net worth and price will continue.</p><p>Author: Ding Chang</p>","source":"lsy1617412441808","collect":0,"html":"<!DOCTYPE html>\n<html>\n<head>\n<meta http-equiv=\"Content-Type\" content=\"text/html; charset=utf-8\" />\n<meta name=\"viewport\" content=\"width=device-width,initial-scale=1.0,minimum-scale=1.0,maximum-scale=1.0,user-scalable=no\"/>\n<meta name=\"format-detection\" content=\"telephone=no,email=no,address=no\" />\n<title>Twenty Years of Public Funds</title>\n<style type=\"text/css\">\na,abbr,acronym,address,applet,article,aside,audio,b,big,blockquote,body,canvas,caption,center,cite,code,dd,del,details,dfn,div,dl,dt,\nem,embed,fieldset,figcaption,figure,footer,form,h1,h2,h3,h4,h5,h6,header,hgroup,html,i,iframe,img,ins,kbd,label,legend,li,mark,menu,nav,\nobject,ol,output,p,pre,q,ruby,s,samp,section,small,span,strike,strong,sub,summary,sup,table,tbody,td,tfoot,th,thead,time,tr,tt,u,ul,var,video{ font:inherit;margin:0;padding:0;vertical-align:baseline;border:0 }\nbody{ font-size:16px; line-height:1.5; color:#999; background:transparent; }\n.wrapper{ overflow:hidden;word-break:break-all;padding:10px; }\nh1,h2{ font-weight:normal; line-height:1.35; margin-bottom:.6em; }\nh3,h4,h5,h6{ line-height:1.35; margin-bottom:1em; }\nh1{ font-size:24px; }\nh2{ font-size:20px; }\nh3{ font-size:18px; }\nh4{ font-size:16px; }\nh5{ font-size:14px; }\nh6{ font-size:12px; }\np,ul,ol,blockquote,dl,table{ margin:1.2em 0; }\nul,ol{ margin-left:2em; }\nul{ list-style:disc; }\nol{ list-style:decimal; }\nli,li p{ margin:10px 0;}\nimg{ max-width:100%;display:block;margin:0 auto 1em; }\nblockquote{ color:#B5B2B1; border-left:3px solid #aaa; padding:1em; }\nstrong,b{font-weight:bold;}\nem,i{font-style:italic;}\ntable{ width:100%;border-collapse:collapse;border-spacing:1px;margin:1em 0;font-size:.9em; }\nth,td{ padding:5px;text-align:left;border:1px solid #aaa; }\nth{ font-weight:bold;background:#5d5d5d; }\n.symbol-link{font-weight:bold;}\n/* header{ border-bottom:1px solid #494756; } */\n.title{ margin:0 0 8px;line-height:1.3;color:#ddd; }\n.meta {color:#5e5c6d;font-size:13px;margin:0 0 .5em; }\na{text-decoration:none; color:#2a4b87;}\n.meta .head { display: inline-block; overflow: hidden}\n.head .h-thumb { width: 30px; height: 30px; margin: 0; padding: 0; border-radius: 50%; float: left;}\n.head .h-content { margin: 0; padding: 0 0 0 9px; float: left;}\n.head .h-name {font-size: 13px; color: #eee; margin: 0;}\n.head .h-time {font-size: 12.5px; color: #7E829C; margin: 0;}\n.small {font-size: 12.5px; display: inline-block; transform: scale(0.9); -webkit-transform: scale(0.9); transform-origin: left; -webkit-transform-origin: left;}\n.smaller {font-size: 12.5px; display: inline-block; transform: scale(0.8); -webkit-transform: scale(0.8); transform-origin: left; -webkit-transform-origin: left;}\n.bt-text {font-size: 12px;margin: 1.5em 0 0 0}\n.bt-text p {margin: 0}\n</style>\n</head>\n<body>\n<div class=\"wrapper\">\n<header>\n<h2 class=\"title\">\nTwenty Years of Public Funds\n</h2>\n<h4 class=\"meta\">\n<p class=\"head\">\n<strong class=\"h-name small\">小鲜传</strong><span class=\"h-time small\">2021-04-03 09:00</span>\n</p>\n</h4>\n</header>\n<article>\n<p><b>I. Passionate Years</b></p><p>In 1986, at that time<a href=\"https://laohu8.com/S/601398\">Industrial and Commercial Bank</a>Its subsidiary, Shanghai Trust & Investment Corporation, established a securities business department to conduct stock trading. In 1988, the People's Bank of China approved pilot treasury bill trading in several cities. In 1990, the Shanghai and Shenzhen Stock Exchanges opened one after another. In 1992, mutual funds were established in Shenzhen, Shenyang, Dalian, Wuhan and other places. In August 1993, Zibo Fund, originating from Shandong, was listed on the Shanghai Stock Exchange, becoming China's first listed fund. Subsequently, many more funds were listed and traded in various regions. Zibo Fund issued a net asset value of 1 yuan and closed at 5 yuan on the day of listing. In 2000, Zibo Fund was restructured and merged into Hanbo Fund. The fund's highest transaction price during its existence reached 12.39 yuan, and its lowest price was 1.6 yuan. The price has always been far higher than the net asset value. To today's investors, such a \"record\" would inevitably make them cover their faces and laugh: \"Back then, people were really foolish and had a lot of money.\" But is history really that simple? That's probably not entirely true.</p><p>The Zibo Fund is directly approved by the People's Bank of China and mainly invests in the equity of township enterprises and related service industries in the Zibo area. This investment shall not be less than 60% of the fund's net asset value. At the same time, you can invest in various bonds and listed company stocks, with this investment not exceeding 40% of the fund's net asset value.</p><p>Therefore, it is clear that this Zibo fund is not a securities investment fund as we usually understand it today, but a hybrid of securities and industrial investment funds. Moreover, from a legal perspective, it is clearly not established based on a contract, but rather an independent legal entity approved by the central bank. Or we could simply say that it is actually a listed company whose main business is investment and holding.</p><p>If we look at its valuation from this perspective, it becomes easier to understand. In 1993, China's economy overheated across the board. The CPI grew by 14.7% year-on-year, and fixed asset investment grew by 45.3%. People's pursuit of investment opportunities has reached a frenzy. The extremely high premium of Zibo funds is a micro-reflection of this macro background.</p><p>In \"Romance of the Three Kingdoms\", Luo Guanzhong arranged a line for Zhang Jiao, the leader of the Yellow Turban Uprising: \"The most rare thing is the hearts of the people.\" Now that the people's hearts are in line, it would be a pity not to seize the opportunity to conquer the world. For Zibo Fund, the situation it faces is not far from that of Zhang Jiao back then. If the market gives me a valuation of 10 times price-to-book ratio, then I can double my net assets by simply issuing 10% more share capital. The money raised can easily yield double-digit returns no matter where it is placed, even in treasury bonds used for preservation subsidies. If share capital is diluted by 10% while profits double, wouldn't that mean explosive growth in performance?</p><p><b>If earnings growth is sufficient to maintain a high valuation, or even drive up the valuation level further, then it will form a cycle of high valuation, high financing, and high growth. This process is exactly what Soros calls reflexivity.</b></p><p>Unfortunately, from its listing in 1993 to its restructuring in 2000, regulators never gave Zibo Fund such an opportunity. However, in 1995, several listed funds, including Zibo Fund, experienced a brief period of hype. The reason was rumors that the \"Fund Management Law\" would be introduced that year, and small-cap funds might expand their fundraising. Expanding fundraising is the key to driving this reflexive process. So you're saying the market back then was just \"stupid people with a lot of money\"?</p><p>However, the legendary \"Fund Management Law\" has never been seen. It was not until 1997 that the China Securities Regulatory Commission (CSRC) promulgated the \"Interim Measures for the Administration of Securities Investment In 2003, the Securities Investment Fund Law was approved by the National People's Congress and officially became a national law. Please note that compared to the rumors in 1995, the name of the finally passed law now includes four more words: \"Securities Investment\".</p><p><b>China's securities investment funds ultimately chose a contractual legal system.</b>The fund company is the manager. The units issued by the fund are beneficiary certificates, and the holders of the fund units are the clients. All these arrangements seem to be a matter of course today. In fact, there is another legal system for corporate funds.</p><p>Corporate funds are legal entities that can issue shares, which are jointly owned by the fund manager and investors. Many of the industrial investment funds we see today are corporate funds. In China, there are probably no corporate-type securities investment funds. However, there are also quite a few corporate mutual funds in the United States.</p><p>From a reflexive perspective, contractual funds are not reflexive. Because when customers subscribe to fund units, the price is only based on the net asset value. In other words, only the stocks, bonds, and cash held by the fund are valued. The fund's own brand, reputation, historical performance, and resource investment such as the fund company's investment research team, front and back offices, and intangible assets are not valued. Whether they add value or destroy it, they are ignored.</p><p>Therefore, contractual funds are theoretically impossible to issue at a high premium, and it is impossible to expand a large amount of capital with a small share capital, so the reflective process cannot be achieved. Corporate funds, on the other hand, have the potential to achieve reflexivity. For example, some industrial investment funds listed on the National Equities Exchange and Quotations (NEEQ) achieved ultra-high premium issuances of around 10 times price-to-book ratio in 2014 and 2015, resulting in a multiple increase in net assets.</p><p>For example, Silicon Valley Paradise had share capital of 1.375 billion yuan and net assets of 3.37 billion yuan in the first half of 2015. After the share issuance, the share capital only increased to 1.477 billion yuan, but the net assets doubled to 6.89 billion yuan.</p><p>For example, Zhongke Zhaoshang had share capital of 1.182 billion yuan and net assets of 1.92 billion yuan at the end of 2014. After the share issuance, the share capital only increased to 1.8 billion, but the net assets surged to 14.6 billion.</p><p>It's important to understand that it typically takes several months or even years for a company to raise funds, start production, and generate profits. However, many financial assets are invested and returns begin to be calculated immediately. Therefore, if it weren't for the stock market crash in the second half of 2015 and the market downturn, the performance of these companies would have been almost a foregone conclusion. A classic reflexive process can be described as a failure at the last minute.</p><p>For investors, when participating in contractual funds, the relationship between you and the fund company is always that of a client and a manager. All the fund's returns to you are reflected solely in the net asset value of assets such as stocks and bonds. This fund and all other developments of the fund company have nothing to do with you. The fund company's recruitment of new clients has nothing to do with you, an existing client.</p><p>However, in corporate funds, investors and fund companies are team partners who work together to start a business and build a business. In addition to book value, investors can also enjoy the profits and losses brought about by fund companies' \"competition for the Central Plains\". If new investors want to come in, they must obtain the consent of a majority of the existing shareholders, and the price will certainly not be cheap. In today's industrial investment, the investment price for Series C rounds generally cannot be lower than that for Series B rounds, and the price for Series D rounds cannot be lower than that for Series C rounds. This first-come, first-served \"courtesy\" has almost become an industry practice.</p><p>When we watch movies and TV series, we hate it when others \"spoil\" them. Knowing the ending in advance will prevent you from fully immersing yourself in the prequel, affecting the viewing experience. When we study history, we must also eliminate the influence of spoilers. If, at the turn of the century, China had ultimately chosen a corporate legal system. Therefore, it was quite reasonable for the earliest batch of fund companies to buy at a high premium in 1993.</p><p>In fact, entry-level investment is very common in high-tech venture capital. For example, if I'm optimistic about a particular niche market, but I can't see the technological route and competitive landscape clearly, then I'll invest in all three or five of the best companies on the market.<b>Moreover, the price at this point is not calculated based on current financial data, but rather backwards based on future industry prospects.</b>Because no matter which company grows bigger, I can act as an old shareholder and collect the \"road money\" paid by those who come later.</p><p>In 2012, when star fund manager Wang Yawei left China Asset Management, he gave this account to reporters. He served as a mutual fund manager for 14 years, from Xinghua Fund to Huaxia Large Cap Selection. If you reinvest with dividends, you can turn 1 yuan into 28 yuan in about 14 years. This return is already quite astonishing. However, when China Asset Management was established in 1998, its registered capital was only 70 million yuan. By the time of the equity transfer in 2012, the overall valuation was 16 billion yuan, plus dividends of up to 4 billion yuan, resulting in an adjusted return of more than 200 times. Therefore, in the same year of 2014, the value growth of fund companies themselves far exceeded the performance growth of the best funds in the market.</p><p>Whether those who speculated on Zibo funds back then ever harbored such lofty dreams is now unknown. Zibo Fund is like an abandoned road sign. It points to a \"parallel time and space\" that is completely different from the world today.</p><p><b>II. Being attacked from both sides</b></p><p>In 1998, the Shanghai Composite Index fell by 3.97%. Behind this modest figure lies the turmoil in the macroeconomy and surrounding markets. In 1997, the Thai baht began to depreciate. After entering 1998, the financial crisis swept across Asia, Russia's Treasury Bond defaulted, and global stock markets plummeted.</p><p>Among the major global markets that year, Hong Kong stocks were under the greatest pressure. Because Hong Kong's economic fundamentals are highly linked to East Asia, the legal tender of the Hong Kong dollar is pegged to the US dollar. If the Hong Kong dollar can depreciate, then Hong Kong dollar-denominated stock prices can receive some support. Therefore, although the Hong Kong government directly intervened in the market and intervened strongly, the Hang Seng Index still fell by almost half in August 1998.</p><p>During this period, the A-share market performed calmly. However, regulators are already worried and under even greater pressure than in Hong Kong. On the one hand, the government has promised that the RMB will not depreciate. On the other hand, at that time, the overall P/E of A-shares was as high as 40 times, and only 5% of individual stocks had a P/E of less than 20 times. Moreover, market makers are rampant, engaging in speculation and manipulation, and a large number of retail investors are addicted to it. If foreign tycoons break in, the consequences will be unimaginable.</p><p>The concept of market makers has been far removed from the A-share market for many years. Back then, the so-called \"market maker\" referred to an individual or group of funds who controlled the vast majority of the circulating shares of a listed company and then controlled the rise and fall of the stock price at will by transferring them from one hand to the other. Then, in the next day or few days, whether the stock price will rise or fall becomes the bottom set by the market makers, while retail investors guess the riddle, just like the size of a bet in a casino.</p><p>If the dealer manipulates the game skillfully, it can last a long time. But if you mess it up, the consequences can be extremely disastrous. In 2003, the Delong Group collapsed, and they were the manipulators.<a href=\"https://laohu8.com/S/000633\">Alloy Investment</a>The trend of the 95% plunge is shown in the chart below:</p><p><img src=\"https://static.tigerbbs.com/237422e025b1ec69079e44fc95daa788\" tg-width=\"1000\" tg-height=\"457\" referrerpolicy=\"no-referrer\"></p><p>Against this backdrop, the \"old ten\" public fund management companies emerged. At this time, the fund was appointed in a time of crisis. They have always had two missions. On the one hand, we need to introduce new investment styles to the market. This proves that it is possible to make money without manipulating the market, thereby improving market pricing efficiency. On the other hand, it is also necessary to educate investors. This proves that diversified and long-term investment is superior to short-term speculation, thereby changing investors' risk appetite.</p><p>Based on these two considerations, most of the newly launched funds from 1998 to 2001 had two characteristics. First, the scale is extremely large, either 2 billion or 3 billion. Even if we look at it more than ten years from now, this scale is quite considerable. Moreover, 3 billion back then is no different from 3 billion today. It's worth noting that China's GDP in 1998 was less than 10% of that in 2020, and its M2 money supply was less than 5% of that in 2020. Second, it will be closed for a long time, with a uniform closure period of 15 years. I bought it when I was learning to speak, and when I came out, I was already a college student. This design is quite a test of investors' patience. Later, many \"old funds\" issued before 1998, such as Fund Zibo, were also restructured into such super-large-scale, long-term closed-end \"new funds\".</p><p>The launch of the new fund was warmly welcomed by shareholders. The five funds launched in 1998, each with a size of 2 billion yuan and a total of 10 billion yuan, attracted a total of 536.6 billion yuan in subscriptions, with an average success rate of less than 2%. Funds that did not win the lottery have been transferred to the secondary market and are highly sought after, resulting in a premium of over 100% for new funds. Its enthusiasm is no different from that of \"old funds\".</p><p>However, the new fund is too large, and the issuance speed is gradually accelerating. In 1999, the issuance size of new funds increased from 2 billion to 3 billion each. Speculative capital in the market quickly lost its support. Premium turns into parity, and parity turns into discount.</p><p>The chart below shows the trend of discounts and premiums of listed closed-end funds and the total size of the fund industry from 1998 to 2015. The fund data excludes samples that have been listed for less than 60 days and have a duration of less than one year. The total size of the fund industry only includes equity and mixed funds and is displayed on the logarithmic axis.</p><p><img src=\"https://static.tigerbbs.com/f139ba9aa73b2889cacf2f6806d3c1b2\" tg-width=\"1000\" tg-height=\"523\" referrerpolicy=\"no-referrer\"></p><p>As can be seen from the chart above, with the large-scale issuance of new funds, the premium rate of closed-end funds plummeted and turned into a discount. No new funds were launched throughout 2000 and the first three quarters of 2001. The premium rate for closed-end funds has gradually turned positive again.</p><p>In September 2001, open-ended funds were launched, and fund issuance accelerated again, with the premium rate for closed-end funds stabilizing as low as around -30%. After 2008, the size of the fund industry stabilized, and the premium rate of closed funds also rebounded to around -10%, stabilizing again until the last closed fund expired in 2016. In 2001,<a href=\"https://laohu8.com/S/CHN\">China Fund</a>The industry has once again made a strategic choice in its development path, shifting from closed-end funds to open-end funds. Why make this change? The most common explanation is that open-ended funds allow investors to vote with their feet, which helps achieve survival of the fittest in the fund industry. This statement seems high-sounding and irrefutable.<b>In fact, just as the vast majority of stock investors lack the ability to select stocks, there is no evidence to suggest that fund investors, as a group, have the ability to \"select funds\".</b></p><p>In May 2020, I conducted statistics on all equity and equity-oriented open-ended funds in the A-share market to examine the changes in their size after their issuance. The results showed that the median change in scale after six months was -30.5%, and the median change in scale after one year was -47%.</p><p>Why use the median? Because a small fund grows by 1000%, it's easy to mislead the average. Therefore, for sample sets with significant intrinsic differences, we usually look at the median. We can roughly understand it this way: the most common situation is that one-third of open-ended fund investors run away in six months and half in a year.</p><p>I think the above results are sufficient to demonstrate that the trading discount of fund-locked funds is not due to fund investors' dissatisfaction with their performance, but rather to deep-rooted short-term speculation habits. After holding it for a while, it always has to go. If you close it off and prevent him from redeeming it, then he would rather sell it at a discount on the secondary market.</p><p>Even more interestingly, in the above statistics, if we only look at funds with a net asset value of less than 1 yuan, their median change in size after six months is -22.8%, and their median change in size after one year is -35.8%. In other words, fund investors are unwilling to leave after losing money. Another symmetrical phenomenon is that many star funds are reluctant to accept \"market rewards\" and are afraid to expand their size. A typical example is Wang Yawei's Huaxia Large-Cap Selection Fund. Although it is an open-ended fund, it has not been open for subscription for a long time, only for redemption. The combination of these two phenomena amounts to \"survival of the fittest,\" which is completely contrary to popular explanations.</p><p><b>When the fund industry was first developed, the slogan they shouted was that \"expert wealth management\" outperformed retail investors. Unexpectedly, experts are now trying to cater to the short-term preferences of retail investors.</b>Isn't this putting the cart before the horse? Many new fund managers face enormous marketing pressure from the very beginning of their careers, leaving them with no opportunity to develop a long-term vision. Even stocks that are firmly bullish are forced to be sold at the bottom under redemption pressure. Therefore, I believe that shifting from closed to open is a bad thing rather than a good thing for the growth of the investment research team, at least the losses outweigh the gains.</p><p>However, given the specific market environment at the turn of the century, these losses were probably a necessary cost. Because the fund industry is always facing opposition from both sides, it has to face both the market and its clients. When necessary, only by compromising with customers can we better focus on dealing with the market.</p><p>From a micro perspective, no matter what method a fund company adopts, it must first expand its industry scale and solve its basic needs before it can calmly cultivate its own investment and research talent pool. From a macro perspective, without a certain amount of capital in the fund industry, it is impossible to form a discourse system for institutional investors in the market, and therefore it is impossible to talk about improving market efficiency.</p><p>By today's standards, not all of the many fund managers in the market understand value investing. However, with at least the double ten constraint (individual stocks accounting for no more than 10% of the fund's net asset value and the fund's share capital holding no more than 10%), coupled with quarterly report disclosure, bank custody, and a series of standardized management measures, it is definitely not possible to control, shake up, and violently manipulate the market like in the 1990s. Back then, being able to achieve \"standardized operation\" was already commendable.</p><p>In fact, regulators have never given up their efforts to \"revive\" closed-end funds for many years. They use various sweet offers to persuade investors to give up their short-term trading habits. This also led to another public case, which we will discuss later.</p><p><b>III. The Mystery of Discounts and Premiums</b></p><p>After 2001, the secondary market price of closed-end funds was consistently and significantly lower than their net asset value. This may be the first market phenomenon in the history of A-shares that has attracted strong attention from the academic community. Today, dozens of papers that discussed this phenomenon can be easily found on the China Knowledge Network.</p><p>According to academic norms, a literature review is required before the study. However, in this review, scholars have applied the situation in China after 2001 to the experiences of the United States and the United Kingdom. After all, there are only a few English papers that are easy to find. As far as I can see, none of the articles mention the history of China's \"old fund\" prices being significantly higher than their net asset value for a long time in the 1990s. Even after the restructuring in 1998, no article reviewed the V-shaped trend of the new fund from premium to discount and then to premium.</p><p><b>Therefore, the question of the relationship between price and net asset value becomes \"why do closed-end funds always trade at a discount?\" A specific historical phenomenon becomes a logical problem.</b>So what is the answer? Those papers in the United States simply look for reasons in terms of costs, accounting, and taxes. However, these specific reasons simply do not exist in China. Therefore, we have no choice but to end with \"no conclusion\" or simply with \"market irrationality\".</p><p>Actually, if you ask me, the answer can be summed up in four words:<b>Oversupply</b>。 It's that simple. If the fund industry develops more slowly and doesn't launch so many products, closed-end funds are very likely to continue trading at parity or even premium as they did before 2001.</p><p>A single fund has a scale of several billion yuan, with daily trading volume of only tens of millions, and an average turnover rate of less than 1%. Can this 1% represent all fund investors? Imagine if we required all holders to place a sell order, how would the order price be distributed? Perhaps 10% of people will be listed near the market price, 20% will be listed between the market price and the net asset value, 60% will be listed near the net asset value, and another 10% will probably be listed far above the net asset value. Of course, the above numbers are entirely my intuitive guess, but this distribution probably makes sense.</p><p>Similar issues exist regarding the relationship between dividends and share buybacks. Both of these are means for listed companies to distribute cash, and the academic community has published countless papers to discuss their impact on stock prices. We can also think of it this way: if all shareholders are required to place sell orders, then only a few percent or even a few thousandths of the orders will be placed near the current price, while the vast majority of other sell orders will be placed significantly higher, or even far higher, than the current price. In other words, a 5% daily turnover rate for a stock only indicates that 5% of its shareholders agree with the market price. Another 95% of shareholders believe the valuation is higher than the current price; otherwise, they would have chosen to sell.</p><p>Therefore, the effect of dividends is like sunshine, with only one ex-rights effect on the stock price.<b>Repurchases, on the other hand, targeted the elimination of the relatively least optimistic segment of all shareholders. Therefore, share buybacks have a strong upward distortion effect on stock prices.</b>I think this simple logic is more convincing than frighteningly complex mathematical models.</p><p>The above explains discounted transactions from a spatial perspective, and it is not difficult to understand from a temporal perspective. Many industries have experienced widespread losses or even losses across the entire industry. In 2016, the entire steel and coal industry suffered losses. What does this mean? This only means that some players should quit. If everyone stubbornly refuses to quit, they will continue to lose money. Fortunately, China has supply-side structural reforms. The shipping industry is a completely international industry, and it has been losing money since 2008.</p><p>Therefore, the fact that closed-end funds are generally discounted, including most US mutual funds that cannot outperform the index, shows that there are too many players, but there is still a stock of foolish money supporting them. This is probably a cyclical phenomenon rather than a logical problem. The fundamental reason is that since the 1980s, global stock markets have been in a long-term bull market and have not experienced the full adjustment that occurred in the 1930s and 1970s.</p><p>Since taking office in 1998, China's fund industry has been under pressure to mature. It hardly experienced the blue ocean phase of natural accumulation, and directly entered the red ocean according to the government's strategic plan. This is very similar to industries such as photovoltaics and wind power. In other words, the competition within the industry is extremely fierce, even brutal. However, the overall output value has risen very rapidly, and the systemic importance of the industry has increased dramatically.</p><p>China's fund industry started developing from scratch in 1998, and by 2007, nearly 30% of the circulating market capitalization of A-shares was controlled by fund companies. Please note that what is even more exciting than the 30% ratio is the momentum of going from 0 to 30% in less than ten years, which seems to be within easy reach of 40%, 50%, and 60%.</p><p>As a result, some people in leading fund companies began to have wild ideas. They felt that being just a financial investor was not interesting; they needed to be active investors and participate in the company's operational decisions. As far away as Carl in the United States<a href=\"https://laohu8.com/S/IKAN\">Ican</a>This is similar to Baoneng and Anbang in previous years. In short, the era of market makers is long gone, and value investing is just the foundation. Under the new conditions, the gameplay needs to be upgraded further.</p><p>This feeling is completely understandable. After all, whether you hold 3% or 30% of a company's shares, the enthusiasm, expectations, and sense of responsibility you invest will be drastically different. Therefore, the overall atmosphere in the fund industry during those years was in no way inferior to the heyday of internet giants. Even now, when I think back to those youthful days, I can't help but feel a surge of emotion. That feeling is similar to: the world is yours, and it is ours, but ultimately it is ours.</p><p>Unfortunately, life is unpredictable and fate can play tricks on us. At the beginning of 2020, fund companies controlled less than 7% of the A-share market capitalization. The dreams of active investors can only be mapped to another parallel universe.</p><p>From the perspective of society as a whole, a fund company's investment research team consists of only a few dozen people. If they were just buying and selling stocks, it wouldn't matter if the amount reached tens or hundreds of billions. However, if they can control dozens or hundreds of listed companies, even if it's just to speak for their interests, things will be much more complicated.</p><p>Wall Street has been widely criticized for siphoning off too much public resources during the Great Recession of 2008. This was even more evident during the COVID-19 crisis in March 2020. The Federal Reserve isn't enough to cut interest rates by 1 percentage point at once; they must be lowered to 0. Just buying Treasury Bond isn't enough; they also need to buy junk bonds. The government's various deficit plans are increasing them by 3 or 5 percentage points. If these policies aren't sufficient, the stock market will lie underground and \"die\" for you to see. When it had enough sugar, it rolled over and sat up again, and it was full of energy. If Wall Street didn't have a strong will, it would obviously be impossible for it to engage in such an effective game with the authorities, as scattered as Chinese stock market investors, who would thrive with a little sunshine.</p><p><b>Does China really want its own Wall Street? It's probably because I both want to and don't want to.</b></p><p><b>IV. The First Pot of Gold</b></p><p>I once talked to my old colleagues in the mutual fund industry about how there are so many investment schools in the market, but most fund managers started from scratch and were completely blank slates before entering the industry. What exactly determines their style? Chen Yangfan of Mammoth Asset Management said: At first, everyone was just exploring randomly until they earned their first pot of gold. How they earned their first pot of gold is basically what their style is. I completely agree with this statement.</p><p>The \"new funds\" issued between 1998 and 2001 were later called closed-end funds. It is the first pot of gold for many veteran stock market investors and fund investors. Simply put, you can blindly buy hedged funds throughout their entire lifespan, and you can basically make money in the end. Of course, there is a window of opportunity when you can lose money after buying. However, it is very short, and it is not easy to choose. Moreover, as long as you buy before the 2007 bull market, you will definitely make a huge profit in the end.</p><p>From the end of 2004 to the end of 2012, the average return of closed-end funds was 540%, while the average return of open-end funds was 236%, and the average return of individual stocks was 141%. The average return of closed-end funds can outperform all open-ended funds except Huaxia Large Cap Selection, and can also outperform more than 93% of individual stocks.</p><p>Why are there such amazing results?<b>There are two main reasons: high discounts and a strong market trend.</b></p><p>In 2004, the fund industry barely reached a scale of 200 billion yuan, and it was almost completely powerless to sprint towards 300 billion yuan again. In his book \"Fund Evergreen,\" Fan Yonghong, the first general manager of China Asset Management, recalled that the later legendary China Asset Management Large-Cap Selection only raised 2 million units on its first day of issuance. Sales staff at China Asset Management even had to compete with distribution channels for wine, \"exchanging a glass of wine for a 1 million yuan fund.\" Based on typical sales rebates, 1 million seems like a considerable amount. However, it's important to understand that a large portion of a 1 million yuan mutual fund subscription will be lost in the short term, and the remaining portion will only generate a 1.5% management fee per year. After deducting various costs, the actual benefits are likely to be negative.</p><p>In this market condition of severe oversupply, the secondary market trading price of secured funds is far lower than their net asset value, with an average discount of 28%. However, if you only focus on these 28 points and spread them out over the next few decades or so to slowly reply to them, it doesn't seem very attractive. This is indeed the case; until 2014, the average discount of secured funds was still more than 10 percentage points. In ten years, the discount rate has only returned to 18 percentage points, an annualized rate of less than 2%.</p><p>However, once high discounts are combined with a strong market trend, the situation changes completely. The same applies to buying assets worth 3 yuan with 2 yuan in cash. You could call it a 33% discount rate, or you could call it a 1.5 times leverage ratio. The discount rate has become a leverage ratio!</p><p><b>Therefore, the extremely high returns of secured funds are actually the result of the combination of two factors. First, the high discounts caused by the rapid development of the fund industry from 2001 to 2004; second, the magnificent bull market of 2006 and 2007.</b></p><p>Of course, like other investment opportunities, if you want to buck the trend and buy at the bottom, you have to overcome a few scary \"ghost stories\". For example, there were rumors in the market at the time that closed-end funds of the same company would transfer benefits to open-end funds. However, as we have already proven, most fund investors simply do not have the ability to choose funds. The fund manager risked violating regulations and laws by finally giving his colleagues a 2% return, but the fund investors were completely unaware of it, and in fact, they ran away even more. Why did you go through all this trouble?</p><p>Some people worry that fund managers who have frozen funds will operate recklessly and deliberately lose money. This makes it even more ridiculous. First, deliberately losing money is not beneficial to either the fund company or the fund manager. Moreover, under the efficient market assumption, intentionally losing money is just as difficult as \"intentionally\" making money. If you specifically buy junk stocks, you might actually make more money.</p><p>There used to be a joke that a strategist with a 70% accuracy rate in predictions could earn a million yuan annual salary. If the accuracy drops to 50%, then he is worthless. However, if the accuracy rate drops further to 5%, then he should be worth an annual salary of 5 million. And why? Because positive and negative indicators have the same value, you just need to listen to them the other way around. The key is that the accuracy rate should deviate from 50%, the more the better; it doesn't matter which way it deviates.</p><p>As mentioned earlier, after the suspension of closed-end funds in 2001, regulators were unwilling to completely abandon the closed-end fund market. However, retail investors have a stubborn habit of short-term speculation, and open-ended funds have also established a mainstream position. If we continue to issue classic closed-end funds at this point, we will most likely face the problem of discounting upon listing. Theoretically, holders can ignore market prices and simply hold their shares. However, the reality is that unrealized losses in the market price have had a significant negative impact on fund sales. So regulators handed this problem over to fund companies, asking them to design innovative closed-end funds to attract investors.</p><p>In September 2007, Dacheng Youxuan went public. It is the first innovative closed-end fund in the A-share market. Its innovations are mainly twofold: First, it sets up performance-based compensation, with the commission rate being 10% above the water level. Secondly, a conversion clause has been set up, stipulating that if the discount exceeds 20% for 50 consecutive trading days, the fund will be converted from a closed-end fund to an open-end fund.</p><p>When Dacheng Youxuan first went public, the market had high expectations for the magic of performance-based rewards, hoping that it could motivate the investment research teams of fund companies and create outstanding results. However, judging from the results, the fund's performance was not ideal, so after a brief premium, it quickly switched to discount trading, with the discount even exceeding that of classic closed-end funds.</p><p>The second innovative closed-end fund in the A-share market is called Ruifu Progress, which also has two innovations: First, it has designed a relatively complex leverage mechanism. The leverage ratio is roughly around 2 times. Secondly, a reopening clause has also been set up, stipulating that if the discount exceeds 30% for 60 consecutive trading days, it will be reopened.</p><p>Ruifu Progress lasted for 5 years from its listing in 2007 to its maturity in 2012, basically achieving continuous premium trading with an average premium rate of around 20%. In this respect alone, it is clearly more successful than Dacheng Youxuan. The reason seems to be simple: retail investors' preference for leverage exceeds their expectations for active management.</p><p>In April 2010, the China Financial Futures Exchange (CFFEX) opened up stock index futures, allowing leverage ratios to easily reach more than 5 times. Ruifu Enterprise's premium rate subsequently declined significantly, and it even experienced a discount at one point. In 2012, Furui Progress was renewed according to the contract, and the leverage ratio returned from more than 3 times to 2 times. Market interest became weaker, and the price fell rapidly until the discount rate approached 20% before stabilizing.</p><p>This shows that retail investors in the A-share market prefer short-term speculation and leverage. As for trust in expert financial management, if it exists, it ranks third at most. In 2018, Xingquan Heyi IPO, managed by Xie Zhiyu of Xingquan Fund, sold 30 billion yuan in a single day, making it a blockbuster. The fund was closed in its first year, but it was still discounted by 6% upon listing. It opened a year later, and half of the shares held were sold off as is \"customary\". It's clear that even star fund managers find it difficult to escape this vicious cycle.</p><p><b>V. Tiered Funds</b></p><p>According to the original approach, regulators wanted to establish a gentleman's agreement with retail investors. Regulators offered two characteristics: \"performance\" and \"leverage\" in exchange for retail investors accepting the condition of \"closure\". But now that the gentleman's agreement seems impossible, wouldn't it be wonderful to simply graft the \"leverage\" onto open-ended funds and directly increase their scale?</p><p>The basic principle behind this type of open-ended fund with leverage is that it is mostly divided into two levels: A and B. If the money from both levels is invested together, Class B will bear both losses and profits, while Class A will only receive fixed income. Therefore, they are collectively referred to as tiered funds</p><p>Overseas, leveraged funds generally only have leverage levels and no seniority levels. Or rather, they all use virtual priorities. The functions corresponding to the priority are all implemented by investment banks or derivatives markets. The advantage of doing this is that the size of the priority can be scaled at any time.</p><p>For example, a 2x leveraged fund. If an investor puts in 100 million yuan, the fund company will lend another 100 million yuan to provide margin financing. Then today the market fell by 5%, investors suffered a loss of 0.10 billion, and the principal dropped to 0.90 billion. Near the close of trading that day, the fund company had to reduce the margin trading amount to 90 million yuan, so that the fund's leverage would still remain at 2 times. If the market rises tomorrow, it will be adjusted back. Therefore, the margin trading amount needs to be adjusted every trading day.</p><p>From the perspective of investment products, senior funds in overseas leveraged funds are actually a lucrative opportunity. High security and good profitability, the best of both worlds. The only downside is that it has to be \"summoned and dismissed at will,\" which is unstable.</p><p>Our A-share tiered funds are essentially taking out this lucrative piece of money and distributing it to other interested fund investors to enjoy. Of course, the cost of doing this is that the size of the priority can only be adjusted in certain pre-determined special circumstances, and it is impossible to scale it down every day at the close of trading.</p><p>This innovation is not originally intended to be bad. However, problems arise when applied to a specific market environment. The first crisis for leveraged funds occurred on May 20, 2014. The protagonist was Yinhua Ruijin, a B-level fund, which is a leveraged fund. It is passive in investing, focusing on the Shenzhen 100 Index. Therefore, the rise and fall of the Shenzhen 100 Index completely determines its net asset value. In terms of sales, it has been very successful, growing from a scale of 1 billion to more than 10 billion in just four years since its launch. But the problem lies in this scale.</p><p>Due to the continuous market decline from 2011 to 2014, coupled with the continuous interest payments for senior tranches, Yinhua Ruijin's net asset value has reached near the liquidation line. In other words, if it falls further, it may affect the safety of senior funds. Therefore, once the liquidation line is reached, the product must be partially liquidated.</p><p><img src=\"https://static.tigerbbs.com/338c1c17b086c4274475aeedc22f6172\" tg-width=\"1000\" tg-height=\"464\" referrerpolicy=\"no-referrer\"></p><p>As we have explained earlier, the priority size of leveraged funds will not be gradually adjusted during the previous decline. Therefore, if a partial liquidation occurs, the potential one-time sell-off amount will reach more than 10 billion yuan. At this time, the average daily trading volume of the entire Shenzhen 100 Index was only over 10 billion yuan. Once a margin collapse occurs, it would be a heavy blow to an already exhausted market.</p><p>Moreover, since Yinhua Ruijin is a passive fund that tracks the index, the fund manager has no right to actively adjust the position. As long as the index falls below the corresponding level, it is absolutely certain that Yinhua Ruijin will be liquidated.</p><p>And then a miracle happened. At 9:38 a.m. on May 20, 2014, the Shenzhen 100 Index clearly fell below the margin call line of Yinhua Ruijin, and then was immediately pulled back sharply. Moreover, this tiny golden needle actually became the historical bottom of the Shenzhen 100 Index, and it has never fallen below it since. The image below shows the time-sharing record I kept back then:</p><p><img src=\"https://static.tigerbbs.com/0483c2453de1675c635e63d0ceb881a0\" tg-width=\"1000\" tg-height=\"448\" referrerpolicy=\"no-referrer\"></p><p>The origin of this mysterious force remains an unsolved mystery. Perhaps because the incident ultimately escaped unscathed, it caused almost no uproar, both within and outside the industry.</p><p>Tiers A and B of tiered funds each have their own net asset value and price. However, because they cannot be subscribed to and redeemed separately, they may experience significant discounts or premiums, respectively. However, A and B together form a complete open-ended fund, which can be subscribed to and redeemed. Therefore, the sum of the prices of A and B cannot deviate significantly from the sum of their net worth.</p><p>For example, both A and B have a net value of 1. At this point, the price of A can be 1.2, then the price of B is 0.8, or the price of A is 0.7, then the price of B is 1.3. In short, the prices of both can deviate from the net asset value, but the sum of the two must be stable. Otherwise, arbitrage opportunities will occur.</p><p>Due to retail investors' love of leverage, there are quite a few arbitrage opportunities where leveraged funds are priced at a premium. However, the vast majority of these opportunities are \"visible but intangible\". It is theoretically valid, but it cannot be implemented in practice. There are four main reasons:</p><p>First and foremost,<b>The vast majority of leveraged funds cannot be subscribed to and redeemed in real time.</b>If you observe a premium on day T, subscribe before the market closes on that day. On T+1, the fund company confirms the number of shares. On T+2, the fund units are reflected in the brokerage system. You also need to issue a split order before you can sell A and B respectively on T+3. At this point, is the premium still there? Generally speaking, it's no longer there. If it's still there, the arbitrage has been successful. Therefore, this issue is also related to the stability of the premium level.</p><p>The second point is<b>The price of Class A is unstable. Because A-level investors typically view it as a long-term bond.</b>They think about it this way: If I invest 100 yuan today with an annual interest rate of 6%, then the interest for 10 years will be 60 yuan, the interest for 20 years will be 120 yuan, and the interest for 30 years will be 180 yuan... So if the interest rate changes by 1%, it will have a great impact on them. However, a 1% price change for Class A does not have a significant impact on them. Of course, institutional investors will be more meticulous in their calculations. However, the trading volume of Class A is too small, there is no liquidity, and institutions rarely participate.</p><p>The third point is<b>The premium level for Class B is also unstable. When the market lacks a trend, retail investors generally regard the B-level as a magic weapon for oversold rebounds.</b>In other words, when the market plummets, Class B tends to experience a premium. Two or three days later, regardless of whether a rebound occurs or not, this premium will usually disappear.</p><p>The fourth point is...<b>The subscription fee rate for leveraged funds can reach as high as 1% to 1.5%, which greatly increases the cost of arbitrage trading.</b></p><p>However, during the bull market of 2014 and 2015, the above situation changed significantly, and premium arbitrage by leveraged funds became easier to achieve again.</p><p>First of all<a href=\"https://laohu8.com/S/601688\">Huatai Securities</a>They launched a \"blind demolition\" service, and other securities companies followed suit. The so-called blind split means that on T+1 day, the fund company confirms the shares, and before it has been reflected to the brokerage firm, you directly issue a split order to the brokerage firm. In this way, on T+2 days, the brokerage firm directly enters the split A and B into the system, and you can trade immediately. This technological innovation has greatly reduced the uncertainty of premium arbitrage.</p><p>Secondly, the price of Class A has stabilized. Starting in the second half of 2014, the central bank continuously lowered the reserve requirement ratio and interest rates, forcing many insurance companies and fixed-income products to seek returns within the securities market. Institutional investors were quite rational and quickly stabilized the price of Class A shares within a very small range, preventing them from fluctuating wildly.</p><p>Thirdly, the premium level for Class B has also stabilized. This is the simplest, yet most crucial, principle: when a bull market arrives, with boundless enthusiasm, prices continue to rise at a premium.</p><p>Article 4. The subscription fee is usually calculated as a percentage, but the highest tier has an upper limit of 1,000 yuan. Therefore, for funds of more than 5 million yuan, the fee is no longer a restriction. Why did it constitute a restriction in the past? Because of poor liquidity in the past, the amount of capital invested in a single arbitrage was too large, and I was afraid I wouldn't be able to get it out. During a bull market, liquidity has improved significantly, allowing for direct investment in whole-house renovations.</p><p>From the end of 2014 to mid-2015, funds focused on premium arbitrage in leveraged funds achieved returns of approximately 2 to 3 times. This performance outperforms most mutual funds, but it's not too exaggerated. However, its advantage is that it \"doesn't hang a string until it sees the Japanese,\" moving when there is a signal and stopping when there is no signal, so there is no question of hesitating to cut losses. Therefore, the gains of the bull market were preserved. Most public and private funds experienced severe pullback/retracement in the subsequent stock market crash.</p><p>So, after the market peaks, what investment opportunities do leveraged funds still have? Actually, there are some options: observe which Class B positions are about to be liquidated, and then buy the corresponding Class A positions.</p><p>As we mentioned earlier, in May 2014, the market experienced a near-miss potential crisis. At the time, Yinhua Ruijin was a giant fund with a potential sell-off of around 10 billion yuan. However, during the stock market crash, the situation changed to several giant funds, plus dozens of small and medium-sized funds, with tens of billions of yuan in potential sell-offs, which were exposed continuously within a concentrated period of time.</p><p>On August 24, 2015, ChiNext B shares were liquidated, triggering a sell-off of approximately 4.5 billion yuan. On August 27, Securities B suffered a liquidation, triggering a sell-off of approximately 7.5 billion yuan. On August 28, state-owned enterprises liquidated their positions after converting to B-shares, triggering a sell-off of approximately 13 billion yuan...</p><p>Because the terms, share capital, and net asset value information of mutual funds are all publicly available, the key information under which these funds would liquidate their positions and the size of the potential sell-off is also publicly available. If you anticipate that a fund is about to be liquidated, the most rational decision is to short the relevant stocks first, both to avoid risk and to induce a liquidation. After the fund executes the liquidation, buy it back from the low point. Facts have repeatedly proven that every giant leveraged fund that has been wiped out has created a trap in the market, with the liquidation positions always being cut at the lowest point.</p><p>The above characteristics are extremely disadvantageous to Class B, while Class A benefits. The specific calculations are quite complex, so I'll skip them here. Those interested can consult the relevant fund's prospectus and other materials.</p><p>The fact that leveraged funds \"passively dumped their shares\" during the stock market crash has drawn widespread criticism both inside and outside the industry. In 2018, the China Securities Regulatory Commission (CSRC) issued the \"New Asset Management Regulations,\" requiring all tiered funds to undergo complete transformation. However, a large number of leveraged funds were still trading until early 2020. However, I believe that even if leveraged funds really disappear, newer products will emerge in the future.</p><p>The story of net worth and price will continue.</p><p>Author: Ding Chang</p>\n<div class=\"bt-text\">\n\n\n<p> source：<a href=\"https://mp.weixin.qq.com/s/m395rIc6dylcNhPzb2rxPQ\">小鲜传</a></p>\n\n\n</div>\n</article>\n</div>\n</body>\n</html>\n","type":0,"thumbnail":"https://static.tigerbbs.com/de92023587fed32587f80a2f2769d655","relate_stocks":{},"source_url":"https://mp.weixin.qq.com/s/m395rIc6dylcNhPzb2rxPQ","is_english":false,"share_image_url":"https://static.laohu8.com/e9f99090a1c2ed51c021029395664489","article_id":"2124759854","content_text":"一、激情岁月\n\n 1986年，当时的工商银行下属上海信托投资公司成立证券业务部，开办股票交易。1988年，人民银行批准在多个城市试点国库券交易。1990年，沪深交易所相继开业。1992年，深圳、沈阳、大连、武汉等地纷纷设立共同基金。1993年8月，来自山东的淄博基金在上交所挂牌，成为中国第一只上市基金。随后各地又有不少基金上市交易。淄博基金发行净值1元，上市当天收盘价5元。2000年，淄博基金改制，并入基金汉博。该基金在存续期间的成交价最高达到12.39元，最低价也有1.6元。价格始终远远高于净值。\n\n如此“纪录”在今天的投资者看来，难免掩面哂笑：当年真是人傻钱多啊。可是历史果真如此简单吗？恐怕亦不尽然。\n淄博基金由人民银行总行直接批准设立，主要投资于淄博地区的乡镇企业和相关服务产业股权，这部分投资不少于基金净值的60%。同时可以投资各类债券和上市公司股票，这部分投资不多于基金净值的40%。\n由此可见，这个淄博基金并非我们现在通常理解的证券投资基金，而是一个证券和产业投资基金的混合体。而且从法律意义上看，它显然不是依据契约成立的，而是由央行批准成立的独立法人。或者我们可以干脆说，它实际上就是一个主营投资控股的上市公司。\n如果从这个角度来看它的估值，那就容易理解了。1993年，中国经济全面过热。CPI同比增速14.7%，固定资产投资增速45.3%。人们对于投资机会的追求达到了狂热的程度。淄博基金的超高溢价，正是这一宏观背景的微观反映。\n在《三国演义》中，罗贯中给黄巾起义的领袖张角安排了一段台词：至难得者，民心也。今民心已顺，若不乘势取天下，诚为可惜。对淄博基金来说，它所面对的形势跟当年张角相去不远。假如市场给了我10倍PB的估值，那么我只要增发10%的股本，就可以把净资产翻一倍。融到的这笔钱，无论放在哪里，哪怕是放在保值补贴的国库券里，都可以轻松拿到两位数的回报。股本摊薄10%，而利润翻番，业绩岂不是爆发式增长？\n如果业绩增长足以维持高估值，甚至推动估值水平进一步高涨，那么它就形成了一个高估值、高融资、高增长的循环。而这个过程，正是索罗斯所说的反身性。\n只可惜，从1993年上市到2000年改制，监管层始终没有给淄博基金这样的机会。只是在1995年，包括淄博基金在内的几家上市基金经历过一次短暂的炒作。起因是传言《基金管理法》要在当年出台，小盘基金可能进行扩募。而扩募，正是驱动反身性过程的关键。所以你说当时的市场只是“人傻、钱多”么？\n不过传说中的《基金管理法》始终不见踪影。直到1997年，证监会才颁布了《证券投资基金管理暂行办法》。2003年，《证券投资基金法》经过人大批准，正式成为国家法律。请注意，相比1995年的传言，最终通过的法律名称中多了“证券投资”4个字。\n中国的证券投资基金，最终选择了契约型的法律体系。基金公司是管理人。基金发行的份额是受益凭证，基金份额的持有者是客户。这一切安排，在今天看来似乎是天经地义的。其实在此之外，还有一种公司型基金的法律体系。\n公司型基金本身是法人，可以发行股票，基金管理人和投资者共同持有它的股票。今天我们可以见到的许多产业投资基金就是公司型基金。在中国，公司型的证券投资基金大概没有。但是在美国，公司型的证券投资基金也是不少的。\n从反身性的角度来说，契约型基金是没有反身性的。因为客户认购基金份额时，只以净值作价。也就是说，只有基金持有的股票、债券、现金才计价，这个基金本身的品牌、声誉、历史业绩，基金公司方面的投研团队、前后台、无形资产等资源投入统统不计价。也不论它们是增加了价值还是毁灭了价值，一概忽略不计。\n因此，契约型基金理论上不可能出现高溢价发行，不可能实现以较小股本扩充大量资本，所以反身性过程也就无法实现。公司型基金则是有可能实现反身性的。比如在新三板上市的一些产业投资基金，它们在2014、15年实现了10倍PB左右的超高溢价发行，净资产成倍增长。\n比如硅谷天堂，2015年中期股本13.75亿，净资产33.7亿。增发后，股本只增加到14.77亿，净资产却倍增至68.9亿。\n再比如中科招商，2014年底股本11.82亿，净资产19.2亿。增发后，股本只增加到18亿，净资产却激增至146亿。\n要知道，一般企业从融资、投产到产生效益，得有一个数月乃至数年的周期。然而很多金融资产是投入进去立即开始计算收益的。所以如果不是2015年下半年发生股灾，市场行情急转直下，这些公司的业绩爆发几乎是铁板定钉的事情。一次经典的反身性过程，可谓功亏一篑。\n对于投资者来说，参与契约型基金，你跟基金公司之间永远是客户与管理人的关系。基金对你的所有回报，仅仅体现在股票、债券等资产的净值上面。这个基金以及基金公司的一切其他发展都与你无关。基金公司要招募新客户，也与你这个老客户无关。\n但是在公司型基金中，投资者与基金公司是共同创业打天下的团队伙伴关系。除了账面净值之外，投资者还可以享受到基金公司“逐鹿中原”带来的损益。如果有新的投资者想要进来，就必须得到原有股东的多数同意，价格当然也不会便宜。在今天的产业投资中，C轮的入股价格一般不能低于B轮，D轮的价格不能低于C轮，这种先来后到的“礼遇”几乎已经成为行规了。\n我们平时看电影、电视剧，都会讨厌别人“剧透”。因为如果提前知道了结局，会导致你无法充分代入前续剧情，影响欣赏效果。我们研究历史，同样要排除剧透的影响。假如在世纪之交，中国最终选择了公司型的法律体系。那么在1993年，高溢价买入最早的一批基金公司，就具有相当的合理性。\n事实上，在高科技创业投资中，卡位式投资是很普遍的。比如我看好某一个细分领域，但是技术路线和竞争格局看不清楚，那么我就把市面上最好的3家或者5家公司全都投一遍。而且这时候的价格，不是按照眼前的财务数据来测算的，而是按照未来的行业前景倒推出来的。因为无论哪一家做大了，我都可以作为老股东，坐收后来者上缴的“买路钱”。\n2012年，明星基金经理王亚伟离开华夏基金时，跟记者算了这样一笔账。他担任公募基金经理14年，从基金兴华到华夏大盘精选。如果分红再投资的话，差不多14年时间可以把1块钱变成28块钱。这个回报已经相当惊人。但是华夏基金本身在1998年成立的时候，注册资本只有0.7亿。而到2012年股权转让时，整体估值是160亿，外加期间还有高达40亿元的分红，复权收益在200倍以上。所以同样是14年，基金公司本身的价值增长要远远超过全市场最优秀的基金的业绩增长。\n当年炒作淄博基金的人们，是否曾经抱有如此远大的梦想，如今已不可考。淄博基金就像是一块废弃的路标。它所指向的，是一片与当今世界完全不同的“平行时空”。\n二、腹背受敌\n1998年，上证指数下跌3.97%。在这个温和的数字背后，却是宏观经济和周边市场的惊涛骇浪。1997年，泰铢开始贬值。进入1998年之后，金融危机席卷亚洲，俄罗斯国债违约，全球股市暴跌。\n在当年的全球主要市场中，承压最大的是港股。因为香港的经济基本面与东亚地区高度关联，但是港币的法定币值却与美元挂钩。假如港币可以贬值，那么以港币计价的股票价格多少可以得到一些支撑。因此，虽然香港政府直接入市，强力干预，但是跌至1998年8月，恒生指数仍然近乎腰斩。\n在此期间，A股的走势波澜不惊。可是监管层却早已忧心忡忡，压力更甚于香港。一方面，国家已经承诺人民币不贬值。另一方面，当时A股的整体市盈率却高达40倍，只有5%的个股市盈率在20倍以内。而且庄家横行，投机炒作，大量散户沉迷其中。一旦外资大鳄破门而入，后果不堪设想。\n庄家这个概念，已经远离A股很多年了。当年的所谓庄家，是指一个人或者资金集团，他们控制了上市公司绝大多数的流通股份，然后再通过左手倒右手，就可以随意控制股价的涨跌。那么在未来一天或几天，股价将会上涨还是下跌，就成了庄家设置的底，而散户则去猜这个谜，就像赌场中的压大小一样。\n庄家如果操纵得巧妙，做庄游戏可以持续很久。可是一旦玩砸了，结果也是非常惨烈的。2003年德隆系崩盘，他们做庄的合金投资暴跌95%的走势如下图：\n\n就在这样的时代背景下，“老十家”公募基金管理公司问世了。此时的基金，可谓临危受命。它们的使命从来都有两条。一方面，要为市场引入新的投资风格。证明不坐庄也可以赚钱，进而提高市场定价效率。另一方面，也要教育投资者。证明分散投资、长期投资胜于短炒，进而改变投资者的风险偏好。\n基于这两点考虑，从1998年到2001年，新发的基金大都具有两个特点。一是规模特别大，不是20亿就是30亿。这个规模即使放到十几年后来看，也算是相当可观了。而且当年的30亿可不比今天的30亿。要知道，1998年中国的GDP还不到2020年的10%，M2货币供应量还不到2020年的5%。二是长期封闭，封闭期统一为15年。牙牙学语时买进去，出来已经是大学生了。这个设计相当考验投资者的耐心。后来，许多1998年以前发行的，像基金淄博那样的“老基金”也都改制成了这样超大规模、长期封闭的“新基金”。\n新基金的发行得到了股民的热烈欢迎。1998年发行的5只基金，规模每支20亿，总计100亿，共吸引认购资金5366亿，平均中签率不到2%。未中签资金转入二级市场大力追捧，使得新基金的溢价高达100%以上。其狂热程度与“老基金”并无二致。\n不过新基金的盘子毕竟太大，发行速度也逐渐加快。1999年，新基金的发行规模更从每支20亿上升到30亿。场内游资很快就支撑不住了。溢价转为平价，平价再转为折价。\n下图显示了从1998年到2015年，上市的封闭式基金折溢价与基金行业总规模的变化趋势。其中基金数据剔除了上市不满60天以及存续期不满1年的样本，基金行业总规模只统计股票型和混合型基金，并以对数坐标轴显示。\n\n从上图可以看出，随着新基金大规模发行，封闭式基金的溢价率迅速跳水并转入折价。整个2000年加上2001年前3季度，没有新基金发行。封基溢价率又逐渐转正。\n2001年9月，开放式基金问世，基金发行再次提速，封基溢价率一路探低至-30%左右启稳。2008年之后，基金行业规模趋于稳定，封基溢价率也回升到-10%左右再次稳定，直至2016年最后一支封基到期。2001年，中国基金行业的发展路线再次做出战略抉择，从封闭式基金转向开放式基金。为什么要做这个变化呢？最常见的解释是，开放式基金允许基民用脚投票，有助于实现基金行业的优胜劣汰。这个说法看似冠冕堂皇，无法反驳。事实上，就像绝大多数股民没有选股能力一样，没有任何证据显示，作为一个群体，基民有“择基”能力。\n2020年5月，笔者对A股所有的股票型和偏股型开放式基金进行了统计，考查它们发行之后的规模变化。结果显示，半年后规模变化的中位数是-30.5%，一年后规模变化的中位数是-47%。\n为什么要用中位数呢？因为一个小基金增长1000%，很容易就把平均数给带偏了。所以对于内在差异很大的样本集合，我们通常看中位数。我们大概可以这样理解，开放式基金的基民，半年跑掉三分之一，一年跑掉一半，这是最常见的情况。\n我想，上述结果足以说明，封基的交易折价，并非是因为基民对它们的业绩不满意，而是因为根深蒂固的短炒习惯。持有了一阵子，总是要走的。假如你封闭了不让他赎回，那么他就宁可在二级市场上折价抛出。\n更有趣的是，在上述统计中，如果我们只看那些净值低于1元的基金，则它们半年后的规模变化中位数是-22.8%，一年后的规模变化中位数是-35.8%。也就是说，亏钱了，基民反而不愿意走了。与之对称的另一个现象是，许多明星基金很不情愿接受“市场的奖赏”，害怕扩大规模。典型如王亚伟的华夏大盘精选，虽然身为开放式基金，却长期不开放申购，只开放赎回。上述两个现象加起来，就是“劣胜优汰”，与流行的解释完全相反。\n当初发展基金行业，喊出来的口号就是“专家理财”胜于散户。没想到，现在专家反而要去迎合散户的短期偏好。这不是本末倒置吗？许多新任基金经理，从职业生涯一开始就要面对巨大的营销压力，根本没机会去锻炼长远眼光。即使是坚定看好的股票，在赎回压力下也不得不割在底部。因此笔者认为，从封闭式转向开放式，仅对投研团队的成长而言，是坏事而非好事，至少是损失大于收益。\n不过具体到世纪之交的市场环境，这些损失恐怕又是必要的代价。因为基金行业从来就是腹背受敌，既要面对市场，又要面对客户。在必要情况下，只有对客户妥协了，才能更好地集中精力对付市场。\n从微观上说，一家基金公司，无论采取什么方式，首先要把行业规模做上去，解决了温饱问题，然后才能从容地培养自己的投资、研究人才梯队。从宏观上说，基金行业如果没有一定的资金规模，在市场上就不可能形成机构投资者的话语体系，也就谈不上提高市场效率。\n以今天的标准看，市场上那么多基金经理，也未必个个都懂得价值投资。但是至少有双十约束（个股占基金净值不超过10%，基金持有股本不超过10%），再加上季报披露，银行托管，等一系列规范化管理手段，想要像1990年代那样控盘、洗盘、暴力做庄肯定是不行了。而在当年，能够做到“规范操作”这一点就已经难能可贵了。\n其实多年以来，监管层一直没有放弃“复活”封闭式基金的努力。他们用各种甜头去说服投资者，换取他们放弃短炒习惯。由此还引出了另一桩公案，我们放在后文讲述。\n三、折溢价之谜\n2001年之后，封闭式基金的二级市场价格长期、明显低于其净值。这可能是A股历史上第一个能够引起学术界强烈关注的市场现象。今天在中国知网上，可以轻松搜索到数十篇当年讨论这一现象的论文。\n按照学术规范，研究之前需要先做文献回顾。可是学者们这一回顾，就把中国2001年之后的情况，给嫁接到美国和英国的经验上去了。毕竟容易查到的英文论文就是那么一些。据我所见，没有一篇文章提到了中国在1990年代“老基金”价格长期、大幅高于净值的历史。甚至连1998年改制之后，新基金从溢价到折价再到溢价的V型走势，也同样没有一篇文章对此进行回顾。\n于是价格与净值的关系问题，变成了“为什么封闭式基金总是折价交易”。一个具体的历史现象变成了一个逻辑问题。那么答案是什么呢？美国的那些论文，无非是从费用、会计和税收上去找原因。可是这些具体原因在中国根本不存在。于是，只好以“没有结论”，或者干脆以“市场非理性”收场。\n其实要我说，答案就4个字：供过于求。就这么简单，假如基金行业发展得慢一点，不要发那么多产品，封基就很有可能继续像2001年之前那样，平价甚至溢价交易。\n一支封基的规模数十亿，每天成交不过几千万，平均换手率在1%以下。这1%的人能够代表全体基民吗？想象一下，假如我们要求所有持有人都必须挂出一个卖单，委托价格会怎么分布呢？可能有10%的人会挂在市场价附近，20%的人会挂在市场价与净值之间，60%会挂在净值附近，还有10%大概会挂在远高于净值的位置上。当然，以上数字是我全凭直觉猜的，但是这样的分布关系大概不无道理。\n类似的问题还有分红和回购的关系。这两者都是上市公司分配现金的手段，它们对股价的影响如何，学术界不知道发了多少篇论文来讨论。其实我们也可以这样想，假如要求所有股东必须挂出卖单，那么大概只有百分之几甚至千分之几的委托会挂在现价附近，其他绝大多数卖单都会挂在明显高于，甚至远远高于现价的位置上。换句话说，一支股票日换手率5%，只能说明有5%的持股股东认同市场价。另外95%的股东心里的估值是高于现价的，否则他们就选择卖出了。\n因此，分红的效果是阳光普照，对股价只有一个除权的效果。而回购则是定向地消灭了全体股东中相对最不看好的那一部分。所以回购具有强烈的向上扭曲股价的效果。我觉得，相比于复杂得吓人的数学模型，这个简洁的逻辑更有说服力。\n以上是从空间维度上来解释折价交易，从时间维度上也不难理解。很多行业都出现过普遍亏损甚至全行业亏损的局面。2016年的钢铁煤炭就是全行业亏损。这说明什么呢？这只说明应当有玩家退出，如果大家都硬挺着不退，那就继续亏。还好中国有供给侧结构性改革。航运业是完全国际化的行业，它从2008年一直亏损到今天。\n所以封基普遍折价，包括美国的共同基金大多不能跑赢指数，这都说明玩家太多了，但还有股傻钱支持着他们。这很可能是周期现象而非逻辑问题。本质原因还是1980年代以来，全球股市一直处于长期牛市当中，没有经历过1930、1970年代那样的充分调整。\n从1998年临危受命开始，中国的基金行业一直是被催熟的。几乎没有经历过自然积累的蓝海阶段，直接就按照政府的战略规划进入红海。这一点，与光伏、风电等行业非常类似。也就是说，行业内部竞争非常激烈，甚至可以说是惨烈。但是整体产值上得非常快，行业的系统重要性急剧提高。\n中国基金行业1998年从0开始发展，到2007年，已经有将近30%的A股流通市值被控制在基金公司名下。请注意，比30%这个比例更激动人心的，是不到十年时间从0冲到30%的这个势头，似乎40%、50%、60%都在唾手可得的范围之内。\n于是，头部基金公司中的一部分人，就开始浮想联翩了。他们觉得，光做财务投资者没意思，要做积极投资者，参与公司经营决策。远如美国的卡尔伊坎，近如前些年的宝能、安邦。总之，庄家的时代已经远去，价值投资也只是基础。在新的条件下，玩法还要再升级。\n这种心情是完全可以理解的。毕竟一个公司，你持股3%还是30%，投入的热情、期待和责任感都会截然不同。所以那几年基金行业的整体气氛，一点儿不逊色于互联网巨头的高光时刻。至今我回想起那段青葱岁月，仍不免心潮澎湃。那种感觉类似于：这个世界是你们的，也是我们的，但归根结蒂是我们的。\n只可惜，世事无常，造化弄人。2020年初，基金公司控制的A股流通市值比例还不到7%。积极投资者的梦想，只能被映射到另一个平行时空去了。\n从全社会来看，一家基金公司的投研团队不过区区数十人。如果他们只是买卖股票的话，金额达到几百亿、几千亿也都没有什么。可是如果他们能够指掌几十家、几百家上市公司，哪怕只是为它们的利益代言几句，事情都会复杂很多。\n在2008年的大衰退中，华尔街占用了太多的公共资源，这一点已经广受诟病。在2020年3月的新冠危机中，这一点更是表现得淋漓尽致。美联储一次降息1个点还不行，必须降到0，光买国债还不行，还要买垃圾债，政府的各种赤字计划更是3个点、5个点地往上加，这些政策不给足，股市就躺在地下“死”给你看。等糖给够了，它又翻身坐起来了，而且还精神百倍。如果华尔街没有坚强的意志力，像中国股民这样一盘散沙，给点阳光就灿烂，显然是不可能与当局进行如此有效的博弈。\n中国真的想要一条自己的华尔街吗？恐怕是既想，又不想。\n四、第一桶金\n笔者曾跟公募基金行业的老同事们聊起：市场上的投资流派那么多，而基金经理大多是白手起家，入行之前都是一张白纸。到底是什么因素决定了他们的风格呢？猛犸资产的陈扬帆说：一开始大家都是随机摸索，直到他们赚到了人生中的第一桶金。而这第一桶金是怎么赚到的，他们的风格基本就是什么样了。对此说法，我深以为然。\n1998到2001年发行的“新基金”，后来称为封闭式基金。它就是很多老股民、老基民的第一桶金。简单地说，封基这个品种，在它的整个存续期间，你可以闭着眼睛随便买，拿到最后基本上都能赚钱。当然，买了能亏钱的窗口期是存在的。但是很短，要选到也不容易。而且你只要是在2007年大牛市之前买入，那么最后一定是大赚特赚。\n从2004年底到2012年底，封闭式基金的平均回报是540%，而开放式基金的平均回报是236%，个股的平均回报是141%。封闭式基金的平均回报可以跑赢除华夏大盘精选之外的所有开放式基金，也可以跑赢93%以上的个股。\n为什么会有如此惊人的结果呢？主要是两方面的原因，一是高折价，二是大行情。\n2004年，基金行业勉为其难地攀上了2000亿规模，几乎已经完全无力再向3000亿冲刺了。华夏基金的首任总经理范勇宏在《基金常青》中回忆到，后来封神的华夏大盘精选，发行首日只募集了200万份。华夏基金的销售人员甚至不得不跟渠道的人拼酒，“一杯酒换100万基金”。按照一般的销售返点来理解，100万这个数字似乎不小。可是要知道，100万的公募基金认购，首先短期内就会跑掉一大块，然后剩下的部分每年只能产生1.5%的管理费，去除各种成本之后，实际效益很可能是负数。\n在这种严重供过于求的市况下，封基的二级市场交易价格远远低于其净值，平均折价达到28%。可是如果你眼睛只盯着这28个点，把它分摊到未来几年十几年里去慢慢回复，似乎也没什么吸引力。事实也确实如此，直到2014年，封基的平均折价还有10个点以上。十年时间，折价率只回复了18个点，年化不到2%。\n可是一旦高折价叠加大行情，那情况就完全改观了。同样是用2块钱现金买入价值3块钱的资产。你可以称它为33%的折价率，也可以称之为1.5倍的杠杆率。折价率变成了杠杆率！\n所以封基的超高回报，其实是两个因素叠加的结果。一是2001到04年基金行业超速发展导致的高折价，二是2006、07年波澜壮阔的大牛市。\n当然，跟其他投资机会一样，想要逆市抄底，总得克服几个吓人的“鬼故事”。比如说，当时市场风传，同一个公司的封闭式基金会向开放式基金做利益输送。可是我们前面已经证明了，大多数基民根本就没有择基能力。基金经理冒着违规违法的风险，好不容易给同事送了2个点的收益，结果基民们根本不知道，甚至反而跑得更多了。何苦来哉？\n还有人担心封基的基金经理会乱操作，故意亏钱。这就更可笑了。首先，故意亏钱对基金公司和基金经理都没有好处。更何况，在有效市场假设下，故意亏钱的难度和“故意”赚钱是一样的。你去专买垃圾股，很可能反而赚得更多。\n以前有一个玩笑话，说是策略分析师的预测准确率能有70%，就可以拿100万年薪。如果准确率下降到50%，那他就一文不值了。可是如果准确率进一步下降到5%，那么他就应该价值年薪500万。为什么呢？因为正向指标和反向指标的价值是一样的，你只要反过来听就可以了。关键是准确率要偏离50%，偏得越多越好，往哪里偏倒不重要。\n前文说到，2001年封基停发之后，监管层并不愿意完全放弃封闭式基金这块阵地。可是散户短炒的习惯很顽固，开放式基金也已经确立了主流地位。此时如果继续发行经典型的封闭式基金，大概率又会面临上市即折价的问题。理论上说，持有人可以不看市场价格，只管自己持有。但现实情况是，市价浮亏给基金销售带来了极大的负面影响。于是监管层把这个问题交给基金公司，让它们设计一些创新型封闭式基金来吸引投资者。\n2007年9月，大成优选上市。它是A股市场第一只创新型封闭式基金。它的创新主要是两条：一是设置了业绩报酬，提成比例是水位线以上10%。二是设置了转开放条款，如果连续50个交易日折价超过20%，就从封闭式基金转为开放式基金。\n大成优选刚刚上市时，市场对业绩报酬的魔力非常期待，希望它能够调动基金公司投研团队的积极性，创造出明星佳绩。但是从结果上看，基金业绩并不理想，所以在短暂溢价之后，很快就转入折价交易，折价幅度甚至超过了经典型封基。\nA股市场的第二只创新型封闭式基金叫做瑞福进取，它的创新也有两条：一是设计了一个比较复杂的杠杆机制。杠杆比率大致在2倍左右。二是同样设置了转开放条款，如果连续60个交易日折价超过30%，则转开放。\n瑞福进取从2007年上市到2012年到期，存续期5年，基本上实现了持续溢价交易，平均溢价率在20%左右。仅就这一点而言，显然它比大成优选成功。其中原因，似乎可以简单归结为散户对杠杆喜爱，超过了对主动管理的期待。\n2010年4月，中金所开放股指期货，杠杆比率可以轻松达到5倍以上。瑞福进取的溢价率随之明显下滑，甚至一度出现折价。2012年，福瑞进取按合同续期，杠杆率从3倍多回归到2倍，市场兴趣更淡，价格迅速走低，直到折价率接近20%才企稳。\n由此可见，A股散户第一喜欢短炒，第二喜欢杠杆。至于对专家理财的信任么，如果存在的话，也顶多排第三。2018年，兴全基金的谢治宇管理的兴全合宜发行，一日售磬300亿，堪称爆款。该基金首年封闭，结果一上市照样折价6%。一年后开放，持有份额按“惯例”跑掉一半。可见明星基金经理也难以逃脱这个怪圈。\n五、分级基金\n按照原本的思路，监管层是想跟散户建立一个君子协定。监管层拿出“业绩”和“杠杆”这两个特性，换取散户接受“封闭”这个条件。可是现在君子协定眼见得做不成了，干脆把“杠杆”嫁接到开放式基金上去，直接做规模，岂不美哉？\n这一类具有杠杆功能的开放式基金，基本原理大都是分成AB两级。两级的钱放到一起投资，亏了赚了都由B级承担，A级只拿固定收益。所以它们统称为分级基金。\n在海外，杠杆基金一般只有杠杆级，没有优先级。或者说，它们都使用虚拟的优先级。与优先级相应的功能，都是由投行或者衍生品市场来实现的。这样做的好处是优先级的规模可以随时缩放。\n比如说2倍杠杆基金。投资者放1个亿进来，基金公司就再去借1个亿给它配资。然后今天市场跌了5%，投资者承担0.1亿损失，本金下降到0.9亿。当天临近收盘时，基金公司就要把配资金额也缩减到0.9亿，这样一来，基金的杠杆就仍然保持2倍。明天市场要是涨了，就再调回去。所以这个配资金额，每个交易日都要调整一次。\n从投资品种的角度看，海外杠杆基金中的优先资金其实是一块肥肉。安全性又高，收益性又好，两全其美。唯一坏处就是必须“招之即来，挥之即去”，不稳定。\n我们A股的分级基金呢，就等于是把这块肥肉拿出来，分给其他有兴趣的基民们去享用。当然，这么做的代价就是，优先级的规模只能在一些事先规定好的特殊情况下才进行调整，不可能每天收盘缩放一次。\n这种创新，本意不坏。但是放到具体的市场环境中，就出现问题了。分级基金的第一次危机发生在2014年5月20日，主角叫做银华锐进，是一只B级，也就是杠杆级基金。它在投资上是被动的，盯住深证100指数。所以深证100指数的涨跌就完全决定了它的净值。从销售上说，它是非常成功的，上市4年，从10亿规模做到100多亿。可是问题就出在这规模上。\n由于2011到2014年市场连续下跌，再加上不断支付优先级的利息，银华锐进的净值已经到了暴仓线附近。也就是说，假如再跌的话，就可能要影响优先级的资金安全了。所以一旦达到暴仓线，产品就要部分平仓。\n\n我们前面已经解释过，在此之前的下跌过程中，分级基金的优先级规模是不会逐步调整的。所以一旦发生部分平仓，潜在的一次性抛盘金额将高达100多亿。而此时整个深证100指数的日均成交金额也不过100多亿。一旦暴仓事件发生，对于本已疲惫的市场，无异于一次重锤。\n而且由于银华锐进是盯住指数的被动基金，所以基金经理无权主动调整仓位，只要指数跌破相应点位，银华锐进暴仓就是完全确定的事情。\n结果奇迹发生了。2014年5月20日上午9点38分，深证100指数明显跌破了银华锐进的暴仓线，然后立刻就被直线拉起。而且这个细小的金针，居然成了深证100指数的历史大底，从此之后再也没有跌破过。下图是我当年留下的分时记录：\n\n这股神秘力量来自何方，至今仍是未解之谜。可能是因为这件事最终有惊无险，所以无论在业内还是业外，几乎都没有产生什么波澜。\n分级基金的AB两级，分别有自己的净值和价格。但是因为它们不能单独申购赎回，所以它们可能分别出现很大的折价或溢价。但是A和B加在一起，作为一份完整的开放式基金，又是可以申购赎回的。所以A和B的价格之和不能大幅偏离净值之和。\n举例来说，A和B的净值都是1。此时A的价格可以是1.2，那么B的价格就是0.8，或者A的价格是0.7，那么B的价格就是1.3。总之，两者的价格可以分别偏离净值，但是两者之和必须是稳定的。否则就会产生套利机会。\n由于散户对于杠杆的热爱，分级基金出现溢价的套利机会还是挺多的。但是这种机会绝大多数都是“看得见，摸不着”。理论上成立，但是操作上不能实现。原因主要有4条：\n首先一条最重要的，绝大多数分级基金不能实时申购赎回。假如你T日观察到溢价，当天收盘前申购。T+1日基金公司确认份额。T+2日基金份额反映到券商系统，你还要下一个分拆指令，T+3日才能分别卖出A和B。这时候，溢价还在吗？一般来说是不在了。如果还在，套利就成功了。所以这个问题还跟溢价水平的稳定性有关。\n第二条，就是A级的价格不稳定。因为A级的投资者通常是把它当成长期债券来看的。他们是这样考虑问题的：我今天投入100元，年利率6%，那么10年利息60元，20年利息120元，30年利息180元……所以如果利率变动1%，对他们的影响很大。但是A级的价格变动1%，对他们的影响并不大。当然，机构投资者会算得精细一些。但是A级的交易量太小，没有流动性，机构很少参与。\n第三条，就是B级的溢价水平也不稳定。当市场没有趋势性行情的时候，散户一般将B级视为超跌反弹的神器。也就是说，市场急跌的时候，B级往往出现溢价。两三天后，无论反弹出现与否，这个溢价一般都会消失。\n第四条，就是分级基金的申购费率最高可达1%到1.5%，极大地提高了套利交易的成本。\n可是在2014、15年的牛市中，以上情况发生了重大变化，分级基金的溢价套利又变得容易实现了。\n首先是华泰证券推出了“盲拆”业务，其他证券公司陆续跟进。所谓盲拆，就是T+1日基金公司确认份额，还没有反映到券商，你就直接对券商下分拆指令。这样T+2日券商直接把分拆完的A和B录入系统，你就可以立即交易了。这项技术创新，极大地缩小了溢价套利的不确定性。\n第二条，A级的价格稳定了。从2014年下半年开始，央行连续降准降息，许多保险公司和固收产品不得不跑到证券市场内部来找收益。机构投资者比较理性，很快就把A级的价格稳定在一个很小的区间内，不再胡乱波动了。\n第三条，B级的溢价水平也稳定了。这条道理最简单，但是也最关键：牛市来了，豪情万丈，一路溢价。\n第四条，申购费通常按百分比计算，但是最高一档却有1000元的金额上限，所以对于500万以上的资金来说，费用也不再构成限制了。为什么以前构成限制呢？因为以前流动性差，一次套利投入的资金量太大了，怕出不来。而在牛市中，流动性大幅改善了，整装资金可以直接上。\n从2014年底到2015年中，专注于分级基金溢价套利的资金，收益率大约在2到3倍之间。这个业绩强于大多数公募基金，但是也不算太夸张。不过它的好处是“不见鬼子不挂弦”，有信号就动，没信号就停，不存在犹豫割肉的问题。所以牛市的成果得以保留。而大多数公募和私募都在后来的股灾中经历了严重回撤。\n那么在市场见顶之后，分级基金还有什么投资机会吗？其实也是有的，那就是观察哪些B级将要暴仓了，然后买入与它们对应的A级。\n我们前面说过，2014年5月，大盘经历了一次千钧一发的潜在危机。当时是银华锐进一支巨型基金，100亿左右的潜在抛盘。可是到股灾期间，情况变成了好几支巨型基金，外加几十支中小基金，数百亿的潜在抛盘，而且还在一个集中的时间段内连续爆出。\n2015年8月24日，创业板B暴仓，引发抛盘约45亿。8月27日，证券B暴仓，引发抛盘约75亿。8月28日，国企改B暴仓，引发抛盘约130亿……\n因为公募基金的条款、份额和净值信息都是公开的，所以这些基金会在什么情况下暴仓，潜在的抛盘有多大，这些关键信息也都等于是公开的。那么如果你预计到某支基金将要暴仓，最理性的决策就是抢先抛空相关股票，一是避险，二是诱发其暴仓。等到基金执行平仓之后，再从低点买回来。事实也反复证明，每支暴仓的巨型分级基金，都在市场上砸了一个坑，平仓盘总是割在最低点。\n上述特点对B级是极为不利的，而与之对应的则是A级得利。具体计算比较复杂，这里就略过了。有兴趣的可以查阅相关基金的招募说明书等资料。\n分级基金在股灾中“被动砸盘”的事实，引起了业界内外的广泛批评。2018年，证监会发布《资管新规》要求所有分级基金全部转型。然而直到2020年初，大批分级基金仍在交易。不过我相信，即使分级基金真的消失了，将来也还会有更新的品种问世。\n净值与价格的故事仍将继续。\n本文作者：丁昶","news_type":1,"symbols_score_info":{}},"isVote":1,"tweetType":1,"viewCount":6211,"authorTweetTopStatus":1,"verified":2,"comments":[],"imageCount":0,"langContent":"EN","totalScore":0},{"id":9003085648,"gmtCreate":1640825968115,"gmtModify":1676533545086,"author":{"id":"3567575098485843","authorId":"3567575098485843","name":"股市轟炸机队长","avatar":"https://static.tigerbbs.com/1ec92b2a3335762e71e118cc8d1b3753","crmLevel":11,"crmLevelSwitch":0,"followedFlag":false,"idStr":"3567575098485843","authorIdStr":"3567575098485843"},"themes":[],"title":"","htmlText":"<a href=\"https://ttm.financial/S/GRAB\">$Grab Holdings(GRAB)$</a>I use gojek more than grab now.","listText":"<a href=\"https://ttm.financial/S/GRAB\">$Grab Holdings(GRAB)$</a>I use gojek more than grab now.","text":"$Grab Holdings(GRAB)$I use gojek more than grab now.","images":[],"top":1,"highlighted":1,"essential":1,"paper":1,"likeSize":5,"commentSize":0,"repostSize":0,"link":"https://ttm.financial/post/9003085648","isVote":1,"tweetType":1,"viewCount":4621,"authorTweetTopStatus":1,"verified":2,"comments":[],"imageCount":0,"langContent":"EN","totalScore":0},{"id":9000509413,"gmtCreate":1640224231777,"gmtModify":1676533509126,"author":{"id":"3567575098485843","authorId":"3567575098485843","name":"股市轟炸机队长","avatar":"https://static.tigerbbs.com/1ec92b2a3335762e71e118cc8d1b3753","crmLevel":11,"crmLevelSwitch":0,"followedFlag":false,"idStr":"3567575098485843","authorIdStr":"3567575098485843"},"themes":[],"title":"","htmlText":"Happy 2022","listText":"Happy 2022","text":"Happy 2022","images":[{"img":"https://static.itradeup.com/news/6c31f11b954b6dfbae4d1348688f78ed","width":"1125","height":"1476"}],"top":1,"highlighted":1,"essential":1,"paper":1,"likeSize":3,"commentSize":0,"repostSize":0,"link":"https://ttm.financial/post/9000509413","isVote":1,"tweetType":1,"viewCount":6307,"authorTweetTopStatus":1,"verified":2,"comments":[],"imageCount":1,"langContent":"EN","totalScore":0},{"id":176095531,"gmtCreate":1626843473623,"gmtModify":1703766265143,"author":{"id":"3567575098485843","authorId":"3567575098485843","name":"股市轟炸机队长","avatar":"https://static.tigerbbs.com/1ec92b2a3335762e71e118cc8d1b3753","crmLevel":11,"crmLevelSwitch":0,"followedFlag":false,"idStr":"3567575098485843","authorIdStr":"3567575098485843"},"themes":[],"title":"","htmlText":"Positive is good ??&nbsp;","listText":"Positive is good ??&nbsp;","text":"Positive is good ??","images":[],"top":1,"highlighted":1,"essential":1,"paper":1,"likeSize":2,"commentSize":0,"repostSize":0,"link":"https://ttm.financial/post/176095531","repostId":"1198517210","repostType":4,"isVote":1,"tweetType":1,"viewCount":4728,"authorTweetTopStatus":1,"verified":2,"comments":[],"imageCount":0,"langContent":"EN","totalScore":0},{"id":333648479,"gmtCreate":1609258572191,"gmtModify":1704978165313,"author":{"id":"3567575098485843","authorId":"3567575098485843","name":"股市轟炸机队长","avatar":"https://static.tigerbbs.com/1ec92b2a3335762e71e118cc8d1b3753","crmLevel":11,"crmLevelSwitch":0,"followedFlag":false,"idStr":"3567575098485843","authorIdStr":"3567575098485843"},"themes":[],"title":"","htmlText":"Great ariticle, would you like to share it?","listText":"Great ariticle, would you like to share it?","text":"Great ariticle, would you like to share it?","images":[],"top":1,"highlighted":1,"essential":1,"paper":1,"likeSize":0,"commentSize":0,"repostSize":0,"link":"https://ttm.financial/post/333648479","repostId":"2095257967","repostType":2,"repost":{"id":"2095257967","kind":"news","pubTimestamp":1609257660,"share":"https://ttm.financial/m/news/2095257967?lang=en_US&edition=fundamental","pubTime":"2020-12-30 00:01","market":"us","language":"zh","title":"Nearly two years after being grounded due to two serious air crashes, the Boeing 737 MAX is making its first commercial flight.","url":"https://stock-news.laohu8.com/highlight/detail?id=2095257967","media":"界面","summary":"法新社12月29日消息，当地时间29日上午，一架执飞美国航空AA718航班的波音737 MAX客机从迈阿密国际机场起飞，是该机型因两起严重空难停飞近2年后首次复飞商业航班。美国航空是该机型2019年3月停飞以来，首个复飞这一机型的民航运营商。美国联邦航空局上月解除对波音737 MAX的停飞令，认可波音在飞行操作软件和飞行员培训要求方面的更改，意味着受其管辖的航空运营商在完成新的合规要求后可以复飞这一机型。","content":"<p><div>AFP reported on December 29 that a Boeing 737 MAX passenger plane operating American Airlines flight AA718 took off from Miami International Airport on the morning of December 29 local time, marking the aircraft's first resumption of commercial flights in nearly two years after being grounded due to two serious air crashes. According to a previous report by The Wall Street Journal, flight AA718 is scheduled to take off from Miami International Airport at 10:32 a.m. local time on the 29th and land at LaGuardia Airport in New York at 1:30 p.m. American Airlines says the flight is expected to be nearly full, according to airline president Robert Isom...</p><p><a href=\"http://gu.qq.com/resources/shy/news/detail-v2/index.html#/?id=nesSN20201230000157773ee081&s=b\">Web page link</a></div></p>","source":"tencent","collect":0,"html":"<!DOCTYPE html>\n<html>\n<head>\n<meta http-equiv=\"Content-Type\" content=\"text/html; charset=utf-8\" />\n<meta name=\"viewport\" content=\"width=device-width,initial-scale=1.0,minimum-scale=1.0,maximum-scale=1.0,user-scalable=no\"/>\n<meta name=\"format-detection\" content=\"telephone=no,email=no,address=no\" />\n<title>Nearly two years after being grounded due to two serious air crashes, the Boeing 737 MAX is making its first commercial flight.</title>\n<style type=\"text/css\">\na,abbr,acronym,address,applet,article,aside,audio,b,big,blockquote,body,canvas,caption,center,cite,code,dd,del,details,dfn,div,dl,dt,\nem,embed,fieldset,figcaption,figure,footer,form,h1,h2,h3,h4,h5,h6,header,hgroup,html,i,iframe,img,ins,kbd,label,legend,li,mark,menu,nav,\nobject,ol,output,p,pre,q,ruby,s,samp,section,small,span,strike,strong,sub,summary,sup,table,tbody,td,tfoot,th,thead,time,tr,tt,u,ul,var,video{ font:inherit;margin:0;padding:0;vertical-align:baseline;border:0 }\nbody{ font-size:16px; line-height:1.5; color:#999; background:transparent; }\n.wrapper{ overflow:hidden;word-break:break-all;padding:10px; }\nh1,h2{ font-weight:normal; line-height:1.35; margin-bottom:.6em; }\nh3,h4,h5,h6{ line-height:1.35; margin-bottom:1em; }\nh1{ font-size:24px; }\nh2{ font-size:20px; }\nh3{ font-size:18px; }\nh4{ font-size:16px; }\nh5{ font-size:14px; }\nh6{ font-size:12px; }\np,ul,ol,blockquote,dl,table{ margin:1.2em 0; }\nul,ol{ margin-left:2em; }\nul{ list-style:disc; }\nol{ list-style:decimal; }\nli,li p{ margin:10px 0;}\nimg{ max-width:100%;display:block;margin:0 auto 1em; }\nblockquote{ color:#B5B2B1; border-left:3px solid #aaa; padding:1em; }\nstrong,b{font-weight:bold;}\nem,i{font-style:italic;}\ntable{ width:100%;border-collapse:collapse;border-spacing:1px;margin:1em 0;font-size:.9em; }\nth,td{ padding:5px;text-align:left;border:1px solid #aaa; }\nth{ font-weight:bold;background:#5d5d5d; }\n.symbol-link{font-weight:bold;}\n/* header{ border-bottom:1px solid #494756; } */\n.title{ margin:0 0 8px;line-height:1.3;color:#ddd; }\n.meta {color:#5e5c6d;font-size:13px;margin:0 0 .5em; }\na{text-decoration:none; color:#2a4b87;}\n.meta .head { display: inline-block; overflow: hidden}\n.head .h-thumb { width: 30px; height: 30px; margin: 0; padding: 0; border-radius: 50%; float: left;}\n.head .h-content { margin: 0; padding: 0 0 0 9px; float: left;}\n.head .h-name {font-size: 13px; color: #eee; margin: 0;}\n.head .h-time {font-size: 12.5px; color: #7E829C; margin: 0;}\n.small {font-size: 12.5px; display: inline-block; transform: scale(0.9); -webkit-transform: scale(0.9); transform-origin: left; -webkit-transform-origin: left;}\n.smaller {font-size: 12.5px; display: inline-block; transform: scale(0.8); -webkit-transform: scale(0.8); transform-origin: left; -webkit-transform-origin: left;}\n.bt-text {font-size: 12px;margin: 1.5em 0 0 0}\n.bt-text p {margin: 0}\n</style>\n</head>\n<body>\n<div class=\"wrapper\">\n<header>\n<h2 class=\"title\">\nNearly two years after being grounded due to two serious air crashes, the Boeing 737 MAX is making its first commercial flight.\n</h2>\n<h4 class=\"meta\">\n<p class=\"head\">\n<strong class=\"h-name small\">界面</strong><span class=\"h-time small\">2020-12-30 00:01</span>\n</p>\n</h4>\n</header>\n<article>\n<p><div>AFP reported on December 29 that a Boeing 737 MAX passenger plane operating American Airlines flight AA718 took off from Miami International Airport on the morning of December 29 local time, marking the aircraft's first resumption of commercial flights in nearly two years after being grounded due to two serious air crashes. According to a previous report by The Wall Street Journal, flight AA718 is scheduled to take off from Miami International Airport at 10:32 a.m. local time on the 29th and land at LaGuardia Airport in New York at 1:30 p.m. American Airlines says the flight is expected to be nearly full, according to airline president Robert Isom...</p><p><a href=\"http://gu.qq.com/resources/shy/news/detail-v2/index.html#/?id=nesSN20201230000157773ee081&s=b\">Web page link</a></div></p>\n<div class=\"bt-text\">\n\n\n<p> source：<a href=\"http://gu.qq.com/resources/shy/news/detail-v2/index.html#/?id=nesSN20201230000157773ee081&s=b\">界面</a></p>\n\n\n</div>\n</article>\n</div>\n</body>\n</html>\n","type":0,"thumbnail":"https://static.tigerbbs.com/bdb8607c49d458cc725ea39c594afa2a","relate_stocks":{"BA":"波音"},"source_url":"http://gu.qq.com/resources/shy/news/detail-v2/index.html#/?id=nesSN20201230000157773ee081&s=b","is_english":false,"share_image_url":"https://static.laohu8.com/9a95c1376e76363c1401fee7d3717173","article_id":"2095257967","content_text":"法新社12月29日消息，当地时间29日上午，一架执飞美国航空AA718航班的波音737 MAX客机从迈阿密国际机场起飞，是该机型因两起严重空难停飞近2年后首次复飞商业航班。据《华尔街日报》此前报道，按照计划，AA718航班将于当地时间29日10点32分从迈阿密国际机场起飞，下午1点30分降落在纽约拉瓜迪亚机场。美国航空说，这趟航班预计将几乎客满，航空公司总裁罗伯特·伊索姆（Robert Isom）也在乘客之列。美国航空是该机型2019年3月停飞以来，首个复飞这一机型的民航运营商。美国联邦航空局上月解除对波音737 MAX的停飞令，认可波音在飞行操作软件和飞行员培训要求方面的更改，意味着受其管辖的航空运营商在完成新的合规要求后可以复飞这一机型。","news_type":1,"symbols_score_info":{"BA":1}},"isVote":1,"tweetType":1,"viewCount":4652,"authorTweetTopStatus":1,"verified":2,"comments":[],"imageCount":0,"langContent":"EN","totalScore":0}],"lives":[]}