資本市場和金融機構8-1課件

MutualFunds,HedgeFundsandPensionFunds

(Ch5TextbookbySaundersetal)OutlineMutualFunds1.1QuickFactsofMFs1.2Advantages1.3Types1.4StructureofMFs1.5Expenses1.6RegulationsHedgeFundsPensionFundsDefinedContributionPlanDefinedBenefitPlan.NumericalExamplesConcludingremarks11.1QuickFactsofCanada’sMFIndustryAssetsGrowth1990,$25-billion.2001,$426-billion.2002,$391-billion.2004,$497.2-billion(SeenextSlide)AgingofthebabyboomersandincreasinglifeexpectancyEntry

ofbanksintothemutualfundmarketProfessionalmanagementanddiversificationatminimal

cost1990syearsoflowerinterestratesandstrongequitymarkets

Over25%returnon1993,1996,and1999,200275MFmanagementcompanies.(2004)Marketshareofthetop10MFcompaniesaccountedfor77.9%ofallassetsin2004.111dealerfirmsinvolvedinthesaleofMFs.1,915MFsbeingsold

2GrowthofMutualFunds4-33NetSalesbyFundType

long-termfundsonly(millions)Long-TermStand-AloneFundsFund-of-FundsSource:TheInvestmentFundsInstituteofCanada51.MUTALFUNDS WhatisaMutualFund?AMFisaseparate,legallyincorporated,equity-financedinvestmentvehiclemanagedbyanassetmanagerforthebenefitoftheequityinvestors.AMFpoolstheresourcesofmanysmallinvestorsbysellingthemsharesandusingtheproceedstoinvestinsecurities(e.g.,stocks,bonds,options,futures,currencies,ormoneymarketsecurities.)6MutualFundsFundParentCo.Dec’04Assets($billions)1IGMFinancial(Investors,MackenzieFinancial)PowerCorpofCanada82.72RBCAssetManagementIncRoyalBank47.03C.I.MutualFundsInc.Independent43.14AimTrimarkInvestmentsAMVESCAPPLC,U.K.42.15CIBCAssetManagementCIBC41.76TDAssetManagementGroupTDCanadaTrust26.37FidelityInvestmentCanadaLtdFidelityInvestments,U.S.32.38AGFManagementLimitedIndependent23.39FranklinTempletonInvestmentsFranklinTempletonInv.US20.110BMOInvestmentsInc.BankofMontreal19.7TotalAssets387.4BigSixBankssubsidiaries.MFof$165.2-billion(1/3oftotalin2004)71.3TypesofMFsEquityFunds:ValueFirms:HighdividendyieldsFixed-Income(bond)FundsBalancedFunds(moneymarket,equityandbonds)GrowthFunds:Growthfirms.SpecializedFunds:Specificeconomicsectors,andregionsMoneyMarketFunds:T-bills,BAs,termdeposits,provincialshort-termnotes,commercialpaper.IndexFunds.Theytrytoreplicateanindex.Example:S&P/TSX60indexfund.Indexfundsarepassivelymanagedfunds,incontrast,types1-6areactivelymanagedfunds.

9TypesofMutualFunds4-1010

Vanguard500IndexFundInvestorShares

(VFINX)AverageAnnualTotalReturnsasof03/31/2004TenLargestHoldingsasof04/30/20041.GeneralElectricCo.2.MicrosoftCorp.3.ExxonMobilCorp.4.PfizerInc.5.Citigroup,Inc.6.Wal-MartStores,Inc.7.AmericanInternationalGroup,Inc.8.IntelCorp.9.BankofAmericaCorp.10.Johnson&JohnsonTopTenEquals22.4%ofTotalNetAssets11InternationalDiversification&RiskPortfolioofCanadianandinternationalstocksBydiversifyingtheportfolio,thevarianceoftheportfolio’sreturnrelativetothevarianceofthemarket’sreturn(beta)isreducedtothelevelofsystematicrisk--theriskofthemarketitself.20406080Numberofstocksinportfolio10203040501100PortfolioofCanadianstocks12%27%Percentrisk13 1.4StructureofMFOpen-endFund(mostcommon).

MutualfundinwhichsharescanberedeemedatanytimeatapricethatistiedtotheNAV(attheendoftheday).Nosetnumberofsharesoutstanding. Thenumbermaygoupordowneachdayasnewinvestments(purchase)arriveorasredemptions(sales)occur.

Closed-endFund.

Anunmanagedportfolioofstockwitheachsharerepresentingpartialownershipoftheportfolio.Afixednumberofnoredeemablesharesaresoldataninitialofferingandarethentradedinorganizedexchangeslikecommonstock.Themarketpriceofthesesharesdependontheinteractionofdemandandsupplyforthesefunds14InvestorsbuysharesinMFandownershipisproportionaltothenumberofsharespurchased.ThevalueofeachshareiscalledthenetassetvalueorNAV.NAV=MarketvalueofassetsminusliabilitiesSharesOutstanding.E.g.,TheBalanceSheetoftheIndexTrust500amutualindexfundsponsoredbytheVanguardGroupattheendofDec1996wasasfollows.Assets(Cash,bondandstocksatcurrentmarketvalue):$105,496million.Liabilities:$844million.#Shares:773.3million.DeterminetheNAVA:NAV=($105,496million-$844million)/773.3million=$135.38

15e)Whatisthetotalvalueofnetassetsattheendoftheday(NA1)?

f)WhatistheNAVattheendoftheday?

g)Supposetheassetmanagerispaidafeeof0.5%oftheincreaseinthetotalvalueofnetassets.Whatisthedollaramountofthefeeobtainedattheendoftheday?

171.5MFexpensesOperatingExpenses:Administrativeexpenses(legal,custodial,andrecord-keepingfees)andadvisoryfeespaidtotheinvestmentmanager.Othercharges:Generalmarketingexpenses,andtrailerfeestodistributors,e.g.,financialadvisorsforprovidingservicestoinvestorsoftheMF.TheOperationExpensesandOtherChargesasaratiooftotalassetsisreferredastheManagementexpenseratio(MER).Usuallyexpressedasa%oftotalassetsundermanagement(range0.2%-2.5%)18SalesCharges:Commissionspaidtobrokers Loadfund(Front-andBack-Endcharge).Frontcharge(typically8%):atthetimeofthepurchaseBack-Endcharge.DeferredSalescharge(typically6%)uponsaleNo-LoadfundNosalefee.SoldbysponsoringMF.SpecialFeesSpecificadministrativecosts(e.g.accountset-upfee,transferfee,RRSPregistrationfee)arepaiddirectlybyindividualinvestors.19Example#2

Considerafundwith$100millioninnetassetsatthestartoftheyear(NA0)10millionsharesoutstanding.Thefundinvestsinaportfolioofstocksthatprovidesnoincomebutincreasesinvalueby10%.Themanagementexpenseratio(MER),includingothercharges,is1%(0.01)ofinitialtotalnetassetvalueofthefunds.Whatistherateofreturnforuninvestorinthefund?A:NAV0=? NAV1=?Expensespershare=MER*Netassetvalue/#shares