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2021-02-18
index fund shouldnt
Index funds don’t buy IPOs but here’s why they should<blockquote>指数基金不买 IPO，但原因如下</blockquote>
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Excluding special purpose acquisition vehicles, U.S. IPOs last year raised $83 billion in gross proceeds. The prices of these IPOs jumped during the initial day of trading by 36% on average.</p><p><blockquote>2020年，美国首次公开募股（IPO）市场火爆。不包括特殊目的收购工具，去年美国首次公开募股筹集了830亿美元的总收益。这些首次公开募股的价格在首个交易日平均上涨了36%。</blockquote></p><p> Despite these high returns, index funds — including mutual funds and exchange-traded funds — almost never bought IPOs at their initial offering price. Instead, index funds waited to buy IPO stocks until near the date on which they were added to the relevant index — typically at the end of a quarter within six months to a year after the IPO.</p><p><blockquote>尽管回报率很高，但指数基金——包括共同基金和交易所交易基金——几乎从未以首次发行价购买IPO股票。相反，指数基金等到IPO股票被纳入相关指数的日期附近才购买IPO股票——通常是在IPO后六个月到一年内的一个季度末。</blockquote></p><p> Yet as the index inclusion date nears for any IPO, its price typically surges in anticipation of a barrage of purchases — driving up the price that index funds must pay for that stock. For example, the price of Tesla spiked once it became likely that the company would be added to the S&P500.</p><p><blockquote>然而，随着任何 IPO 的指数纳入日期临近，其价格通常会因预期会出现大量购买而飙升，从而推高指数基金必须为该股票支付的价格。例如，一旦特斯拉有可能被纳入标准普尔 500 指数，该公司的价格就会飙升。</blockquote></p><p> In this article, I outline the data from 2010 to 2018 about the high initial returns for IPOs as well as the concerns holding back index funds from buying IPOs before they are included in the index. Then, I make a path-breaking proposal — allowing any index fund that tracks the Russell 1000 Index to meet these concerns by early buying of IPOs if, and only if, they are large relative to the size of the index.</p><p><blockquote>在本文中，我概述了2010年至2018年关于首次公开募股高初始回报的数据，以及阻碍指数基金在首次公开募股被纳入指数之前购买首次公开募股的担忧。然后，我提出了一个开创性的建议——允许任何跟踪罗素1000指数的指数基金通过提前购买首次公开募股来解决这些问题，前提是它们相对于指数规模较大。</blockquote></p><p> Like many other studies,the study that I co-authored with two experts on indexing found high returns in IPO stock prices during the initial day of trading. After this initial day of trading, the study evaluated IPO returns by a measure known as the index-adjusted performance (IAP) — the difference between the total return of the security and the total return of the index from the closing price on the first day of trading to the closing price of any following day. For example, a positive IAP would signal that an IPO has outperformed the index from the close of the first day of trading until the date the IPO is included in the relevant index.</p><p><blockquote>与许多其他研究一样，我与两位指数化专家合著的这项研究发现，IPO股票价格在首日交易中回报率很高。在第一个交易日之后，该研究通过一种称为指数调整后的表现（IAP）的指标来评估IPO回报，IAP是证券的总回报与从交易日收盘价到随后任何一天收盘价的指数总回报之间的差额。例如，正的IAP将表明IPO从第一个交易日收盘到IPO被纳入相关指数之日的表现优于指数。</blockquote></p><p> The study calculated these two metrics of returns for all 932 U.S. IPOs offered in the nine years between January 2010 and December 2018. Of these 932 IPOs, 115 were included in the Russell 1000 within the first six months of trading.</p><p><blockquote>该研究计算了 2010 年 1 月至 2018 年 12 月这九年间所有 932 家美国 IPO 的这两个回报指标。在这 932 家 IPO 中，有 115 家在交易的前六个月内被纳入罗素 1000 指数。</blockquote></p><p> The study used the Russell 1000 because it includes 92% of the total market capitalization of all listed stocks in the U.S. equity market. The Russell 1000 contains the top 1000 publicly traded U.S. companies according to market capitalization. IPOs are considered for inclusion at the end of each quarter, strictly based on their market capitalization.</p><p><blockquote>这项研究使用了罗素1000指数，因为它包括了美国股市所有上市股票总市值的92%。罗素1000指数包含了市值排名前1000的美国上市公司。严格根据市值，在每个季度末考虑将首次公开募股纳入考量。</blockquote></p><p> The first-day return for these 115 IPOs was highly positive — 22% on average with a median gain of 10%. Similarly, looking at the IAP for these 115 IPOs included in the Russell 1000, the study found a positive trend — with an average IAP of 6.89% and median of 5.24% between the IPO and the index inclusion date.</p><p><blockquote>这 115 只 IPO 的首日回报率非常高——平均回报率为 22%，中位数涨幅为 10%。同样，通过查看罗素1000指数中包含的这115个IPO的IAP，该研究发现了一个积极的趋势——IPO和指数纳入日期之间的平均IAP为6.89%，中位数为5.24%。</blockquote></p><p> Both of these trends show that index funds could generate excess return by buying IPOs before they are added to the index. The greatest return could be realized by buying IPOs at the initial offering price and holding them through the index inclusion date. Index funds could also realize significant excess returns by buying IPOs after their first day of trading and holding them through the index inclusion date.</p><p><blockquote>这两个趋势都表明，指数基金可以通过在IPO被添加到指数之前购买它们来产生超额回报。最大的回报可以通过以首次发行价购买IPO并持有它们直到指数纳入日期来实现。指数基金也可以通过在IPO交易首日后购买IPO并持有它们直到指数纳入日期来实现显著的超额回报。</blockquote></p><p> <b>Risks in the returns</b></p><p><blockquote><b>回报风险</b></blockquote></p><p> Index funds would face several risks associated with such early purchases of IPOs.</p><p><blockquote>指数基金将面临与此类早期购买 IPO 相关的多种风险。</blockquote></p><p> First, and most importantly, no one knows which IPOs will be added to the index at the time of the IPO. An index fund might purchase an IPO stock that doesn’t get added to the index. In that event, the fund would have to sell the IPO stock, potentially at a loss. The price of the IPO stock would decline because there would no longer be the expectation that other index funds would be required to buy that stock when it is added to the index.</p><p><blockquote>首先，也是最重要的一点，没有人知道哪些 IPO 会在 IPO 时被纳入指数。指数基金可能会购买一只没有被纳入指数的 IPO 股票。在这种情况下，基金将不得不出售 IPO 股票，而且可能会亏本。IPO股票的价格将会下跌，因为当该股票被添加到指数时，将不再有其他指数基金需要购买该股票的预期。</blockquote></p><p> A second concern is that an index fund would not get a large enough allocation in an IPO to reflect the stock’s future position in the index — for example, when a popular tech company goes public. Even so, an index fund can still generate excess returns by buying more of such a stock on the day following an IPO and holding that stock until it is added to the index.</p><p><blockquote>第二个担忧是，指数基金在首次公开募股（IPO）中无法获得足够大的分配，以反映该股票未来在指数中的地位--例如，当一家受欢迎的科技公司上市时。即便如此，指数基金仍然可以在首次公开募股后的第二天买入更多此类股票，并持有该股票直到被纳入指数，从而产生超额回报。</blockquote></p><p> Third, since the index fund would be holding stocks that are not included in the index — at least for several months — the fund would experience tracking error. Tracking error occurs when the returns on an index fund portfolio differ materially from those of the index it is benchmarked against. But investors would probably not be overly concerned if the fund beat the index it was designed to track.</p><p><blockquote>第三，由于指数基金将持有未包含在指数中的股票——至少在几个月内——该基金将出现跟踪误差。当指数基金投资组合的回报与其基准指数的回报存在重大差异时，就会出现跟踪误差。但如果基金跑赢了它设计跟踪的指数，投资者可能不会过度担心。</blockquote></p><p></p><p> Of course, the prospectus of such an index fund would have to make clear that it would be buying stocks in the initial offerings of IPOs and after their first day of trading. The prospectus should also delineate the risks involved when the fund buys IPOs before they are included in the index.</p><p><blockquote>当然，此类指数基金的招股说明书必须明确表示，它将在首次公开募股（IPO）的首次发行中以及首日交易后购买股票。招股说明书还应描述基金在首次公开募股被纳入指数之前购买所涉及的风险。</blockquote></p><p> To mitigate the most important risk — that the IPO will not be included in the index — I recommend that index funds should purchase an IPO only if its expected weight in the Russell 1000 is relatively large. The expected weight equals the gross proceeds raised by the IPO, divided by the total freely traded float of stocks in the index. Since the Russell 1000 Index is composed of the top 1000 U.S. companies by market capitalization, the larger the IPO is relative to the index, the more likely that the IPO will be added to that index.</p><p><blockquote>为了减轻最重要的风险——IPO 不会被纳入指数——我建议指数基金只有在罗素 1000 指数中的预期权重相对较大时才购买 IPO。预期权重等于首次公开募股筹集的总收益除以指数中股票的自由交易流通量总额。由于罗素 1000 指数由市值排名前 1000 的美国公司组成，因此 IPO 相对于该指数规模越大，IPO 就越有可能被添加到该指数中。</blockquote></p><p> This strategy could be adapted to varying risk tolerances of index funds by adjusting the size threshold for early purchases of an IPO. In a conservative strategy, the index fund would purchase only IPOs with the largest expected weight in the index, since they are most likely to be included in the index. In a more aggressive strategy, by contrast, the size threshold for buying IPOs would be lower.</p><p><blockquote>这种策略可以通过调整早期购买IPO的规模门槛来适应指数基金的不同风险承受能力。在保守的策略中，指数基金将只购买指数中预期权重最大的IPO，因为它们最有可能被纳入指数。相比之下，在更激进的策略中，购买IPO的规模门槛会更低。</blockquote></p><p> The study examined three thresholds for risk appetite, defined in terms of the expected weight of the IPO in the index: 1.0 basis point for conservative; 0.75 basis point for pragmatic and 0.50 basis point for aggressive. (One basis point equals 1/100 of 1%)</p><p><blockquote>该研究考察了风险偏好的三个阈值，根据 IPO 在指数中的预期权重来定义：保守 1.0 个基点；务实为0.75个基点，激进为0.50个基点。（一个基点等于1%的1/100）</blockquote></p><p> The results, summarized in the table below, show that this strategy would have been successful at generating excess returns without significant risks during the period from 2010 through 2018.</p><p><blockquote>下表总结的结果表明，在2010年至2018年期间，该策略在没有重大风险的情况下成功产生超额回报。</blockquote></p><p> For example, 100% of the largest IPOs that would have been purchased under the conservative strategy during this period were added to the index within the first six months and generated excess returns above 15%. Under the aggressive strategy, 88% of the IPOs that would have been purchased during this period were included in the index within six months and generated excess returns of close to 17%.</p><p><blockquote>例如，在此期间，根据保守策略购买的最大IPO中，100%在前六个月内被纳入指数，并产生了超过15%的超额回报。根据激进策略，在此期间购买的88%的IPO在六个月内被纳入指数，并产生了接近17%的超额回报。</blockquote></p><p> <img src=\"https://static.tigerbbs.com/0fc52461985f7a3ca10fac53ba2ccf05\" tg-width=\"1260\" tg-height=\"476\"></p><p><blockquote></blockquote></p><p> My recommendation is that an index fund based on the Russell 1000 buy relatively large IPOs in their initial offerings or, if necessary, immediately after their first day of trading. Although there is a modest risk that such IPOs will not subsequently be included in that index, the excess returns from this strategy outweigh the risks.</p><p><blockquote>我的建议是，基于罗素 1000 指数的指数基金在首次发行时购买相对较大的 IPO，或者如有必要，在第一天交易后立即购买。尽管此类首次公开募股随后不被纳入该指数的风险不大，但这种策略带来的超额回报超过了风险。</blockquote></p><p> I would not recommend that any index fund use this strategy to buy an IPO effected by merging a private company with a special acquisition vehicle. I also would not recommend this strategy for any index fund based on other indices where it is more difficult to predict when and whether IPO stocks will be included in the index, such as the S&P 500, where stocks included are chosen by a committee.</p><p><blockquote>我不建议任何指数基金使用这种策略来购买通过将私营公司与特殊收购工具合并而产生的首次公开募股。我也不建议任何基于其他指数的指数基金采用这种策略，因为这些指数更难预测IPO股票何时以及是否会被纳入指数，例如标普500，纳入的股票是由一个委员会选择的。</blockquote></p><p></p>","source":"market_watch","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>Index funds don’t buy IPOs but here’s why they should<blockquote>指数基金不买 IPO，但原因如下</blockquote></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\">\nIndex funds don’t buy IPOs but here’s why they should<blockquote>指数基金不买 IPO，但原因如下</blockquote>\n</h2>\n<h4 class=\"meta\">\n<p class=\"head\">\n<strong class=\"h-name small\">MarketWatch</strong><span class=\"h-time small\">2021-02-17 17:47</span>\n</p>\n</h4>\n</header>\n<article>\n<p>How indexed mutual funds and ETFs can capture the powerful gains when a company goes public</p><p><blockquote>指数共同基金和 ETF 如何在公司上市时捕捉巨大收益</blockquote></p><p> The U.S. market for IPOs (initial public offerings) was red hot in 2020. Excluding special purpose acquisition vehicles, U.S. IPOs last year raised $83 billion in gross proceeds. The prices of these IPOs jumped during the initial day of trading by 36% on average.</p><p><blockquote>2020年，美国首次公开募股（IPO）市场火爆。不包括特殊目的收购工具，去年美国首次公开募股筹集了830亿美元的总收益。这些首次公开募股的价格在首个交易日平均上涨了36%。</blockquote></p><p> Despite these high returns, index funds — including mutual funds and exchange-traded funds — almost never bought IPOs at their initial offering price. Instead, index funds waited to buy IPO stocks until near the date on which they were added to the relevant index — typically at the end of a quarter within six months to a year after the IPO.</p><p><blockquote>尽管回报率很高，但指数基金——包括共同基金和交易所交易基金——几乎从未以首次发行价购买IPO股票。相反，指数基金等到IPO股票被纳入相关指数的日期附近才购买IPO股票——通常是在IPO后六个月到一年内的一个季度末。</blockquote></p><p> Yet as the index inclusion date nears for any IPO, its price typically surges in anticipation of a barrage of purchases — driving up the price that index funds must pay for that stock. For example, the price of Tesla spiked once it became likely that the company would be added to the S&P500.</p><p><blockquote>然而，随着任何 IPO 的指数纳入日期临近，其价格通常会因预期会出现大量购买而飙升，从而推高指数基金必须为该股票支付的价格。例如，一旦特斯拉有可能被纳入标准普尔 500 指数，该公司的价格就会飙升。</blockquote></p><p> In this article, I outline the data from 2010 to 2018 about the high initial returns for IPOs as well as the concerns holding back index funds from buying IPOs before they are included in the index. Then, I make a path-breaking proposal — allowing any index fund that tracks the Russell 1000 Index to meet these concerns by early buying of IPOs if, and only if, they are large relative to the size of the index.</p><p><blockquote>在本文中，我概述了2010年至2018年关于首次公开募股高初始回报的数据，以及阻碍指数基金在首次公开募股被纳入指数之前购买首次公开募股的担忧。然后，我提出了一个开创性的建议——允许任何跟踪罗素1000指数的指数基金通过提前购买首次公开募股来解决这些问题，前提是它们相对于指数规模较大。</blockquote></p><p> Like many other studies,the study that I co-authored with two experts on indexing found high returns in IPO stock prices during the initial day of trading. After this initial day of trading, the study evaluated IPO returns by a measure known as the index-adjusted performance (IAP) — the difference between the total return of the security and the total return of the index from the closing price on the first day of trading to the closing price of any following day. For example, a positive IAP would signal that an IPO has outperformed the index from the close of the first day of trading until the date the IPO is included in the relevant index.</p><p><blockquote>与许多其他研究一样，我与两位指数化专家合著的这项研究发现，IPO股票价格在首日交易中回报率很高。在第一个交易日之后，该研究通过一种称为指数调整后的表现（IAP）的指标来评估IPO回报，IAP是证券的总回报与从交易日收盘价到随后任何一天收盘价的指数总回报之间的差额。例如，正的IAP将表明IPO从第一个交易日收盘到IPO被纳入相关指数之日的表现优于指数。</blockquote></p><p> The study calculated these two metrics of returns for all 932 U.S. IPOs offered in the nine years between January 2010 and December 2018. Of these 932 IPOs, 115 were included in the Russell 1000 within the first six months of trading.</p><p><blockquote>该研究计算了 2010 年 1 月至 2018 年 12 月这九年间所有 932 家美国 IPO 的这两个回报指标。在这 932 家 IPO 中，有 115 家在交易的前六个月内被纳入罗素 1000 指数。</blockquote></p><p> The study used the Russell 1000 because it includes 92% of the total market capitalization of all listed stocks in the U.S. equity market. The Russell 1000 contains the top 1000 publicly traded U.S. companies according to market capitalization. IPOs are considered for inclusion at the end of each quarter, strictly based on their market capitalization.</p><p><blockquote>这项研究使用了罗素1000指数，因为它包括了美国股市所有上市股票总市值的92%。罗素1000指数包含了市值排名前1000的美国上市公司。严格根据市值，在每个季度末考虑将首次公开募股纳入考量。</blockquote></p><p> The first-day return for these 115 IPOs was highly positive — 22% on average with a median gain of 10%. Similarly, looking at the IAP for these 115 IPOs included in the Russell 1000, the study found a positive trend — with an average IAP of 6.89% and median of 5.24% between the IPO and the index inclusion date.</p><p><blockquote>这 115 只 IPO 的首日回报率非常高——平均回报率为 22%，中位数涨幅为 10%。同样，通过查看罗素1000指数中包含的这115个IPO的IAP，该研究发现了一个积极的趋势——IPO和指数纳入日期之间的平均IAP为6.89%，中位数为5.24%。</blockquote></p><p> Both of these trends show that index funds could generate excess return by buying IPOs before they are added to the index. The greatest return could be realized by buying IPOs at the initial offering price and holding them through the index inclusion date. Index funds could also realize significant excess returns by buying IPOs after their first day of trading and holding them through the index inclusion date.</p><p><blockquote>这两个趋势都表明，指数基金可以通过在IPO被添加到指数之前购买它们来产生超额回报。最大的回报可以通过以首次发行价购买IPO并持有它们直到指数纳入日期来实现。指数基金也可以通过在IPO交易首日后购买IPO并持有它们直到指数纳入日期来实现显著的超额回报。</blockquote></p><p> <b>Risks in the returns</b></p><p><blockquote><b>回报风险</b></blockquote></p><p> Index funds would face several risks associated with such early purchases of IPOs.</p><p><blockquote>指数基金将面临与此类早期购买 IPO 相关的多种风险。</blockquote></p><p> First, and most importantly, no one knows which IPOs will be added to the index at the time of the IPO. An index fund might purchase an IPO stock that doesn’t get added to the index. In that event, the fund would have to sell the IPO stock, potentially at a loss. The price of the IPO stock would decline because there would no longer be the expectation that other index funds would be required to buy that stock when it is added to the index.</p><p><blockquote>首先，也是最重要的一点，没有人知道哪些 IPO 会在 IPO 时被纳入指数。指数基金可能会购买一只没有被纳入指数的 IPO 股票。在这种情况下，基金将不得不出售 IPO 股票，而且可能会亏本。IPO股票的价格将会下跌，因为当该股票被添加到指数时，将不再有其他指数基金需要购买该股票的预期。</blockquote></p><p> A second concern is that an index fund would not get a large enough allocation in an IPO to reflect the stock’s future position in the index — for example, when a popular tech company goes public. Even so, an index fund can still generate excess returns by buying more of such a stock on the day following an IPO and holding that stock until it is added to the index.</p><p><blockquote>第二个担忧是，指数基金在首次公开募股（IPO）中无法获得足够大的分配，以反映该股票未来在指数中的地位--例如，当一家受欢迎的科技公司上市时。即便如此，指数基金仍然可以在首次公开募股后的第二天买入更多此类股票，并持有该股票直到被纳入指数，从而产生超额回报。</blockquote></p><p> Third, since the index fund would be holding stocks that are not included in the index — at least for several months — the fund would experience tracking error. Tracking error occurs when the returns on an index fund portfolio differ materially from those of the index it is benchmarked against. But investors would probably not be overly concerned if the fund beat the index it was designed to track.</p><p><blockquote>第三，由于指数基金将持有未包含在指数中的股票——至少在几个月内——该基金将出现跟踪误差。当指数基金投资组合的回报与其基准指数的回报存在重大差异时，就会出现跟踪误差。但如果基金跑赢了它设计跟踪的指数，投资者可能不会过度担心。</blockquote></p><p></p><p> Of course, the prospectus of such an index fund would have to make clear that it would be buying stocks in the initial offerings of IPOs and after their first day of trading. The prospectus should also delineate the risks involved when the fund buys IPOs before they are included in the index.</p><p><blockquote>当然，此类指数基金的招股说明书必须明确表示，它将在首次公开募股（IPO）的首次发行中以及首日交易后购买股票。招股说明书还应描述基金在首次公开募股被纳入指数之前购买所涉及的风险。</blockquote></p><p> To mitigate the most important risk — that the IPO will not be included in the index — I recommend that index funds should purchase an IPO only if its expected weight in the Russell 1000 is relatively large. The expected weight equals the gross proceeds raised by the IPO, divided by the total freely traded float of stocks in the index. Since the Russell 1000 Index is composed of the top 1000 U.S. companies by market capitalization, the larger the IPO is relative to the index, the more likely that the IPO will be added to that index.</p><p><blockquote>为了减轻最重要的风险——IPO 不会被纳入指数——我建议指数基金只有在罗素 1000 指数中的预期权重相对较大时才购买 IPO。预期权重等于首次公开募股筹集的总收益除以指数中股票的自由交易流通量总额。由于罗素 1000 指数由市值排名前 1000 的美国公司组成，因此 IPO 相对于该指数规模越大，IPO 就越有可能被添加到该指数中。</blockquote></p><p> This strategy could be adapted to varying risk tolerances of index funds by adjusting the size threshold for early purchases of an IPO. In a conservative strategy, the index fund would purchase only IPOs with the largest expected weight in the index, since they are most likely to be included in the index. In a more aggressive strategy, by contrast, the size threshold for buying IPOs would be lower.</p><p><blockquote>这种策略可以通过调整早期购买IPO的规模门槛来适应指数基金的不同风险承受能力。在保守的策略中，指数基金将只购买指数中预期权重最大的IPO，因为它们最有可能被纳入指数。相比之下，在更激进的策略中，购买IPO的规模门槛会更低。</blockquote></p><p> The study examined three thresholds for risk appetite, defined in terms of the expected weight of the IPO in the index: 1.0 basis point for conservative; 0.75 basis point for pragmatic and 0.50 basis point for aggressive. (One basis point equals 1/100 of 1%)</p><p><blockquote>该研究考察了风险偏好的三个阈值，根据 IPO 在指数中的预期权重来定义：保守 1.0 个基点；务实为0.75个基点，激进为0.50个基点。（一个基点等于1%的1/100）</blockquote></p><p> The results, summarized in the table below, show that this strategy would have been successful at generating excess returns without significant risks during the period from 2010 through 2018.</p><p><blockquote>下表总结的结果表明，在2010年至2018年期间，该策略在没有重大风险的情况下成功产生超额回报。</blockquote></p><p> For example, 100% of the largest IPOs that would have been purchased under the conservative strategy during this period were added to the index within the first six months and generated excess returns above 15%. Under the aggressive strategy, 88% of the IPOs that would have been purchased during this period were included in the index within six months and generated excess returns of close to 17%.</p><p><blockquote>例如，在此期间，根据保守策略购买的最大IPO中，100%在前六个月内被纳入指数，并产生了超过15%的超额回报。根据激进策略，在此期间购买的88%的IPO在六个月内被纳入指数，并产生了接近17%的超额回报。</blockquote></p><p> <img src=\"https://static.tigerbbs.com/0fc52461985f7a3ca10fac53ba2ccf05\" tg-width=\"1260\" tg-height=\"476\"></p><p><blockquote></blockquote></p><p> My recommendation is that an index fund based on the Russell 1000 buy relatively large IPOs in their initial offerings or, if necessary, immediately after their first day of trading. Although there is a modest risk that such IPOs will not subsequently be included in that index, the excess returns from this strategy outweigh the risks.</p><p><blockquote>我的建议是，基于罗素 1000 指数的指数基金在首次发行时购买相对较大的 IPO，或者如有必要，在第一天交易后立即购买。尽管此类首次公开募股随后不被纳入该指数的风险不大，但这种策略带来的超额回报超过了风险。</blockquote></p><p> I would not recommend that any index fund use this strategy to buy an IPO effected by merging a private company with a special acquisition vehicle. I also would not recommend this strategy for any index fund based on other indices where it is more difficult to predict when and whether IPO stocks will be included in the index, such as the S&P 500, where stocks included are chosen by a committee.</p><p><blockquote>我不建议任何指数基金使用这种策略来购买通过将私营公司与特殊收购工具合并而产生的首次公开募股。我也不建议任何基于其他指数的指数基金采用这种策略，因为这些指数更难预测IPO股票何时以及是否会被纳入指数，例如标普500，纳入的股票是由一个委员会选择的。</blockquote></p><p></p>\n<div class=\"bt-text\">\n\n\n<p> 来源：<a href=\"https://www.marketwatch.com/story/index-funds-dont-buy-ipos-but-heres-why-they-should-11613194940?mod=home-page\">MarketWatch</a></p>\n<p>为提升您的阅读体验，我们对本页面进行了排版优化</p>\n\n\n</div>\n</article>\n</div>\n</body>\n</html>\n","type":0,"thumbnail":"","relate_stocks":{".SPX":"S&P 500 Index",".IXIC":"NASDAQ Composite",".DJI":"道琼斯"},"source_url":"https://www.marketwatch.com/story/index-funds-dont-buy-ipos-but-heres-why-they-should-11613194940?mod=home-page","is_english":true,"share_image_url":"https://static.laohu8.com/599a65733b8245fcf7868668ef9ad712","article_id":"1195476575","content_text":"How indexed mutual funds and ETFs can capture the powerful gains when a company goes public\nThe U.S. market for IPOs (initial public offerings) was red hot in 2020. Excluding special purpose acquisition vehicles, U.S. IPOs last year raised $83 billion in gross proceeds. The prices of these IPOs jumped during the initial day of trading by 36% on average.\nDespite these high returns, index funds — including mutual funds and exchange-traded funds — almost never bought IPOs at their initial offering price. Instead, index funds waited to buy IPO stocks until near the date on which they were added to the relevant index — typically at the end of a quarter within six months to a year after the IPO.\nYet as the index inclusion date nears for any IPO, its price typically surges in anticipation of a barrage of purchases — driving up the price that index funds must pay for that stock. For example, the price of Tesla spiked once it became likely that the company would be added to the S&P500.\nIn this article, I outline the data from 2010 to 2018 about the high initial returns for IPOs as well as the concerns holding back index funds from buying IPOs before they are included in the index. Then, I make a path-breaking proposal — allowing any index fund that tracks the Russell 1000 Index to meet these concerns by early buying of IPOs if, and only if, they are large relative to the size of the index.\nLike many other studies,the study that I co-authored with two experts on indexing found high returns in IPO stock prices during the initial day of trading. After this initial day of trading, the study evaluated IPO returns by a measure known as the index-adjusted performance (IAP) — the difference between the total return of the security and the total return of the index from the closing price on the first day of trading to the closing price of any following day. For example, a positive IAP would signal that an IPO has outperformed the index from the close of the first day of trading until the date the IPO is included in the relevant index.\nThe study calculated these two metrics of returns for all 932 U.S. IPOs offered in the nine years between January 2010 and December 2018. Of these 932 IPOs, 115 were included in the Russell 1000 within the first six months of trading.\nThe study used the Russell 1000 because it includes 92% of the total market capitalization of all listed stocks in the U.S. equity market. The Russell 1000 contains the top 1000 publicly traded U.S. companies according to market capitalization. IPOs are considered for inclusion at the end of each quarter, strictly based on their market capitalization.\nThe first-day return for these 115 IPOs was highly positive — 22% on average with a median gain of 10%. Similarly, looking at the IAP for these 115 IPOs included in the Russell 1000, the study found a positive trend — with an average IAP of 6.89% and median of 5.24% between the IPO and the index inclusion date.\nBoth of these trends show that index funds could generate excess return by buying IPOs before they are added to the index. The greatest return could be realized by buying IPOs at the initial offering price and holding them through the index inclusion date. Index funds could also realize significant excess returns by buying IPOs after their first day of trading and holding them through the index inclusion date.\nRisks in the returns\nIndex funds would face several risks associated with such early purchases of IPOs.\nFirst, and most importantly, no one knows which IPOs will be added to the index at the time of the IPO. An index fund might purchase an IPO stock that doesn’t get added to the index. In that event, the fund would have to sell the IPO stock, potentially at a loss. The price of the IPO stock would decline because there would no longer be the expectation that other index funds would be required to buy that stock when it is added to the index.\nA second concern is that an index fund would not get a large enough allocation in an IPO to reflect the stock’s future position in the index — for example, when a popular tech company goes public. Even so, an index fund can still generate excess returns by buying more of such a stock on the day following an IPO and holding that stock until it is added to the index.\nThird, since the index fund would be holding stocks that are not included in the index — at least for several months — the fund would experience tracking error. Tracking error occurs when the returns on an index fund portfolio differ materially from those of the index it is benchmarked against. But investors would probably not be overly concerned if the fund beat the index it was designed to track.\nOf course, the prospectus of such an index fund would have to make clear that it would be buying stocks in the initial offerings of IPOs and after their first day of trading. The prospectus should also delineate the risks involved when the fund buys IPOs before they are included in the index.\nTo mitigate the most important risk — that the IPO will not be included in the index — I recommend that index funds should purchase an IPO only if its expected weight in the Russell 1000 is relatively large. The expected weight equals the gross proceeds raised by the IPO, divided by the total freely traded float of stocks in the index. Since the Russell 1000 Index is composed of the top 1000 U.S. companies by market capitalization, the larger the IPO is relative to the index, the more likely that the IPO will be added to that index.\nThis strategy could be adapted to varying risk tolerances of index funds by adjusting the size threshold for early purchases of an IPO. In a conservative strategy, the index fund would purchase only IPOs with the largest expected weight in the index, since they are most likely to be included in the index. In a more aggressive strategy, by contrast, the size threshold for buying IPOs would be lower.\nThe study examined three thresholds for risk appetite, defined in terms of the expected weight of the IPO in the index: 1.0 basis point for conservative; 0.75 basis point for pragmatic and 0.50 basis point for aggressive. (One basis point equals 1/100 of 1%)\nThe results, summarized in the table below, show that this strategy would have been successful at generating excess returns without significant risks during the period from 2010 through 2018.\nFor example, 100% of the largest IPOs that would have been purchased under the conservative strategy during this period were added to the index within the first six months and generated excess returns above 15%. Under the aggressive strategy, 88% of the IPOs that would have been purchased during this period were included in the index within six months and generated excess returns of close to 17%.\n\nMy recommendation is that an index fund based on the Russell 1000 buy relatively large IPOs in their initial offerings or, if necessary, immediately after their first day of trading. Although there is a modest risk that such IPOs will not subsequently be included in that index, the excess returns from this strategy outweigh the risks.\nI would not recommend that any index fund use this strategy to buy an IPO effected by merging a private company with a special acquisition vehicle. I also would not recommend this strategy for any index fund based on other indices where it is more difficult to predict when and whether IPO stocks will be included in the index, such as the S&P 500, where stocks included are chosen by a committee.","news_type":1,"symbols_score_info":{".SPX":0.9,".IXIC":0.9,".DJI":0.9}},"isVote":1,"tweetType":1,"viewCount":1191,"commentLimit":10,"likeStatus":false,"favoriteStatus":false,"reportStatus":false,"symbols":[],"verified":2,"subType":0,"readableState":1,"langContent":"EN","currentLanguage":"EN","warmUpFlag":false,"orderFlag":false,"shareable":true,"causeOfNotShareable":"","featuresForAnalytics":[],"commentAndTweetFlag":false,"andRepostAutoSelectedFlag":false,"upFlag":false,"length":17,"subscribersOnly":false,"subscribersOnlyAccessible":false,"xxTargetLangEnum":"ORIG"},"commentList":[],"isCommentEnd":true,"isTiger":false,"isWeiXinMini":false,"url":"/m/post/384946613"}
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