債券之王格羅斯管理ETF是內行

It took years for PIMCO’s Bill Gross to jump into the ETF business. Perhaps he didn’t realize how good he would be at it.

太平洋投資管理公司（PIMCO）創始人比爾o格羅斯在考慮了數年之後，才投身交易所交易基金（ETF）業務領域。或許，當初他並沒有意識到自己會在這一行幹得有聲有色。

Since launching in March 2012, Gross’ PIMCO Total Return ETF has had an annualized return of 5.9%, about double the return of the Total Return mutual fund, which for a long time has been one of the Most popular in the world and is the fund that the ETF was built to mimic.

自從2012年3月份推出以來，格羅斯旗下的PIMCO總回報ETF（Total Return ETF）已經實現了5.9%的年化投資回報率，這大約是PIMCO總回報共同基金（Total Return mutual fund）年化投資回報率的兩倍，而很長時間以來，PIMCO總回報共同基金一直是世界上最受歡迎的基金之一，而且是PIMCO總回報ETF旨在效仿的一隻基金。

There are a few potential explanations for this. One, Gross is, for some reason, just better at managing bonds in an ETF than a mutual fund. Who knew? Another possibility is that Gross has been cheating. The Securities and Exchange Commission is, apparently, concerned about the latter.

對此有幾種可能的解釋。其一，出於某種原因，格羅斯就是更加擅長管理一支ETF中的債券，而不是一支共同基金中的債券。誰知道呢？另一種可能性是，格羅斯一直在採用某種不光彩的手段。而美國證券交易委員會（Securities and Exchange Commission，簡稱SEC）擔心的似乎正是後一種可能。

According to The Wall Street Journal, the SEC is looking into whether PIMCO inflated the price of bonds in its ETF portfolio in order to boost the performance of its new product. Around the time of the launch of the fund, the traders for the PIMCO ETF bought a bunch of mortgage bonds, and other “odd lot” (meaning small issue) bonds. The bonds were harder to trade than others, so PIMCO’s ETF was able to buy them at a discount. The WSJ says PIMCO paid $480,000 for a bunch of bonds for the fund that would pay back $500,000 plus interest.

據《華爾街日報》（The Wall Street Journal）報道，SEC正在調查PIMCO是否人爲擡高了這隻ETF投資組合中債券的價格，以此推高旗下新產品的投資業績。就在PIMCO推出這支ETF的時間前後，這支ETF的交易員們買入了一批抵押債券，以及其他“零星”（也就是小額發行的）債券。與其他證券相比，這些債券較難交易，因此PIMCO的ETF能夠以較低價格買入。《華爾街日報》報道說，PIMCO爲這批債券支付了48萬美元，而這批債券最終會償還50萬美元，外加利息。

Immediately after PIMCO bought the bonds, it brought in an outside consultant to evaluate how much the bonds should be worth. The outside consultant said they were worth $500,000. After all, that’s what the cover of the prospectus said the bonds were worth. And so PIMCO immediately wrote up the value of the bonds to $500,000, taking a $20,000 gain, even though it knew the most it could sell them for was $480,000. After all, that’s what they had just paid.

PIMCO在買入之後，便立刻聘請了一位外部顧問來評估這些債券的應有價值。當時這位外部顧問表示，這些債券價值50萬美元。畢竟，該基金在招募說明書摘要上列出的對應價值就是這個數字。於是，PIMCO立即把這些債券的價值增記爲50萬美元，從而瞬時獲利2萬美元，儘管它明知，出售這些債券最多僅可套現48萬美元。這就是他們剛剛支付的價格。

Why have an outside consultant—and not traders—evaluate the bonds? Why not have the traders value the bonds? After all, traders are buying and selling bonds every day. They should know what they are worth.

爲什麼讓一位外部顧問——而不是交易員——來對這些債券進行估價呢？別忘了，交易員每天都在買入和賣出債券。他們應該很清楚這些債券價值多少。

While that sounds logical, Wall Street has had problems letting traders value portfolios and investments in the past. There is a long history of traders hiding their losses by writing up the value of the investments in their trading book. Remember the London Whale.

雖然這聽起來合乎邏輯，但華爾街在過去讓交易員給投資組合和投資進行估價的做法曾經出現過問題。交易員在他們的交易賬簿上增記投資價值，以此來掩蓋他們的虧損，這種做法由來已久。還記得摩根大通（J.P. Morgan）那位綽號爲“倫敦鯨”（London Whale）的交易員嗎？

And so Wall Street hands the job over to outside consultants—which sounds better, but can apparently get regulators concerned at times.

因此，華爾街現在都把這項任務交給外部顧問來完成——這聽起來是個更加可靠的做法，但實際上有時會讓監管機構感到擔憂。

The bonds that PIMCO bought were trading at a discount because they were illiquid, according to the WSJ. There was nothing wrong with the bonds. The borrowers were still paying on time. As long as you held onto them, you were likely to get $500,000. They were just hard to trade, because they were in weird-sized bunches.

據《華爾街日報》報道，PIMCO之所以能夠折價買入那些債券，是因爲這些債券的流動性很差。這些債券本身沒有任何問題。借方仍在按時償付。只要你一直持有這些債券，你最終很可能會兌現50萬美元。這些債券只是很難交易，因爲它們的數量過於零星。

One way to solve the illiquidity problem was to group them together into, say, an ETF. And that’s what PIMCO did. Now, you could easily buy and sell portions of those bonds. And now that they were easy to trade, why shouldn’t they be worth what they were supposed to be worth—$500,000?

要想解決這個流動性很差的問題，一個辦法是把它們組合到——比如說——一支ETF之中。而這正是PIMCO採用的辦法。現在，你就可以很容易地買入和賣出這些債券的部分。不過，既然它們易於交易，爲什麼它們不應該按照它們原本應該具有的價值——50萬美元——來進行估價呢？

The bigger problem is that ETFs are growing rapidly and getting more and more complicated. ETFs look like stocks or bonds, or any other thing else average investors normally put their money in. But they are not. They are derivatives, investments structured to perform like something else. But they don’t always behave that way. Most of the time, they do a little bit worse than the thing they are supposed to mimic. Sometimes, but not often, they do better. And that’s odd, and explains why some people are suspicious of ETFs.

更大的問題在於，ETF正在迅速發展，而且變得越來越複雜。ETF看起來很像是股票或債券，或者任何一種普通投資者通常會把錢投放在其中的金融產品。但事實並非如此。ETF屬於金融衍生品，是爲了跟蹤其他證券的投資表現而構建起來的投資產品。但ETF並非總是能夠準確反映出它所追蹤的證券的表現。大多數情況下，ETF的投資表現會比它們應該複製其表現的金融產品略差一些。ETF的表現偶爾也會超過這些金融產品的表現。不過這種情況很少見，這也是有些人對ETF持懷疑態度的原因所在。

A few years ago, when PIMCO was dragging its feet about launching the ETF fund, some people thought it had to do with disclosure issues. Mutual funds report their holdings and performance every month. But ETFs have to report daily. People thought that Gross had no interest in letting everyone know what he was doing on a daily basis.

幾年前，當PIMCO遲遲沒有推出這支ETF基金的時候，有些人認爲這與信息披露問題有關。共同基金會在每月報告各自的持倉情況以及投資業績。但ETF必須每天報告這些信息。當時人們以爲格羅斯沒有興趣讓所有人都知道他每天在進行什麼交易。

But the real problem may have been that Gross knew something about ETFs. He had the largest mutual fund at the time, with over $200 billion in assets, and he didn’t want anything to rival that, even if it was another PIMCO fund. Perhaps Gross didn’t want to launch an ETF because he knew he would be too good at it, and that eventually would cause him problems. Either way, it has.

但真正的問題也可能是格羅斯瞭解ETF。當時他掌管着全球最大的共同基金，該基金旗下管理的資產規模超過2,000億美元，而他不希望任何基金能與其相媲美，即便是自家公司旗下的另一支基金。或許，格羅斯不想推出一支ETF的原因正是因爲他知道自己“非常”擅於管理ETF，而這最終會給他帶來麻煩。現在的結果就是這樣。