2011年08月29日 14:08

文 / 曹弋

中国央行决定扩大存款保证金基数，把保证金存款纳入存款准备金的缴存范围，此次纳入范围的保证金存款包括承兑汇票、信用证和保函。

据新华网援引业内人士介绍，根据央行此次的通知，中、农、工、建、交及邮储等六大银行9月5日起分批上缴，其他银行则自9月15日起分批上缴。央行还设定了一定的“过渡期”。对于大银行，9月5日至10月4日，需将保证金的20%按比例补交存款准备金，10月5日至11月4日按60%的基数补交，11月5日以后才全部计收。对小银行，宽限期则长达6个月。

据《财新》根据业界的初步测算，如果以7月末的数据为补缴的基础，则9月份起，因补缴引起的资金回笼规模，一次为1500亿、2300亿、2300亿、770亿、1000亿、1000亿。其中10月和11月份回笼力度最大。

《华尔街日报》援引经济学家计算认为，按照目前21.5%的官方存款准备金率计算，政策到明年2月份全面实施时，将冻结银行系统8000-9000亿元流动性。

保证金存款是指客户为从银行取得信用证和其他担保而将一定数量的资金存入银行账户所形成的存款类别。

而存款准备金是指金融机构为保证客户提取存款和资金清算需要而准备的资金，初衷是保证存款的支付和清算，之后才逐渐演变成为货币政策工具，中国央行通过调整存款准备金率，影响金融机构的信贷资金供应能力，从而间接调控货币供应量。

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识别投机狂热与金融危机

历史经验证明，投机狂热在泡沫破裂，陷入危机之前无法准确识别。因此，经济学家称泡沫是“后验”的。但是，确实有一些对金融危机的先行指标的研究存在。几年前，很多这些指标显示美国经济及全球其他一些地区经济逐渐增加的脆弱性。今天，这些红色警报显示指向的是华尔街目前的宠儿——中国。

1. 巨大的投资灾难往往始于一个令人信服的增长故事。

很多巨大的投资灾难往往始于真实的快速增长。无论是早期的铁路还是当初的互联网，都有着真实的早期快速增长。但是，当人们把早期的快速增长推算到长期的未来，纷纷投资时，泡沫就产生了。

2. 对当局能力的盲目信仰是另一个典型狂热的特征。

20年代，由于美联储的成立，人们相信经济的繁荣与衰退的周期已经终结。一个“新时代”已经开始，人们认为股票不再那么有风险，股票估值直线上涨。之后，人们对格林斯潘的信任也是如此。

3. 投资的普遍增加是金融灾难的另一个领先指标。

在盲目的乐观中，资本总是受到错配。而只有泡沫破裂之后，这种错配的程度才清楚的显示出来。19世纪经济学家John Mills观察到“恐慌并不摧毁资本。恐慌只是揭示出资本以前在投入毫无希望的无效项目中被摧毁的程度。”  “Panics do not destroy capital; they merely reveal the extent to which it has been previously destroyed by its betrayal in hopelessly unproductive works.”在英国的铁路狂热中，从伦敦到Peterborough有三条铁路。而实际上只要一条铁路就足够了。技术泡沫破裂后，光纤网络的产能过剩持续了很多年。而最近一份的IMF经济展望指出投资占GDP很高比例的国家倾向于遭受最严重和长期的经济低迷。

4. 腐败总是伴随着巨大的繁荣而剧增。

在繁荣时期，人们总是更乐观，更愿意相信别人，钱总是很多。但是，即使钱再多，也总有一些人更加贪婪，要得更多。

5. 货币供应的快速增长是金融不稳定的一个可靠领先指标。

在所有的严重投机背后，总有宽松货币的身影。低利率让投资者寻求更加高回报，更有风险的投资，从而推动投机。

6. 固定汇率国家往往产生不合理的低利率，催生繁荣但终以泡沫破裂告终。

欧盟和1997年亚洲金融危机就是这方面的例子。大规模的资本流入也是金融不稳定的一个领先指标。

7. 危机通常在一段时间的贷款疯狂增长之后。

在繁荣时期借的债常无法偿还。国际清算银行（Bankfor International Settlements）的经济学家的研究表明，贷款严重偏离过去趋势而超乎寻常的增长，这项指标能够在预测金融危机方面有80%的成功率。更新的一些研究也表明，贷款增长的滞后影响是预测金融危机的一个极其重要的指标。

8. 道德风险是巨型投机狂热的共同特征。

贷款的繁荣让人们普遍相信当局不会让金融系统出问题。无论如何，反正有人会出手相救。典型的例子就是格林斯潘一遇到问题就降低利率，让市场充斥流动性。

9. 债务的增加并不是唯一的担心，金融结构变得不稳定才是严重问题。

由于过度借贷，用借来的钱进行的投资的回报无法偿还贷款。因此，金融系统非常脆弱，即使是平时微不足道的小事件，如利率小幅上升或者资产价格下降，都会引发危机。

10.有危险的贷款往往由房地产抵押担保，担保物在流动性迅速增加中快速升值。

贷款迅速增长与房地产价格的迅速上涨的组合是非常痛苦的泡沫破灭之可靠领先指标。

总之，研究表明，迅速增加的流动性是金融不稳定的最重要的领先指标。资产价格泡沫的出现是第二个最为可靠的危机指标。低利率和快速的货币增长也是好的警告标志。

分析中国梦

1. 中国梦

13亿人口，大范围的城市化将让3亿人从乡村走向城镇，假设中国未来将以8%的GDP增长速度前进，这些都是中国梦的一部分。

但是，对中国未来增长的预测有可能过于乐观。城市化的进程有可能减缓，中国的人口将于2015年开始下降，工人的工资将上涨。如果城市化进程放缓，中国必须找到更有效率的利用生产要素的方式。

2. 对党和政府，对政策制定者的信任

中国在金融危机中独善其身，这让大家更信任政策制定者。但是，中国的经济增长严重依赖出口增长。而中国对西方的出口已经达到了日本最高峰时期的出口额的两倍。中国无法继续增长贸易顺差而不招致贸易保护主义。贸易保护主义的威胁在金融危机后更加严重。

中国过高的投资水平也造成了资本错配的风险。由于GDP是政府的目标层层下达，因此造成中央和地方的博弈。因此，GDP不再是反映经济运行的指标，而是经济运行的目标。而且，这种体系偏向于国企而对民营企业不利。MIT教授黄亚生的研究表明，中国的经济体系已经从80年代的民营经济为主转为目前的政府主导为主。这造成了收入不公，消费在GDP中的比例下降，以及创新的衰退。中国的快速增长是有欺骗性的，因为虽然政府能比私人部门更快的投入资源，但投资的质量却更低。

3. 投资的繁荣

中国的固定资产投资增长过快，占GDP的比例过高。中国目前的基础设施对于目前的经济发展水平来说已经非常发达。2009年，中国的高速公路利用率只有OECD平均值的12%左右。很多小型机场的使用率只有一半。而高速铁路系统很可能无法收回成本。大规模的固定资产投资还带来了大范围的产能过剩。

正如克鲁格曼在《亚洲奇迹的神话》中指出的那样，中国所遵循的亚洲模式越来越依赖于投资。但是，这种投资受制于边际效益递减的规律。而中国的投资在GDP中的比例高于历史上任何一个亚洲国家。中国投资的效率（每一单位投资所能带来的GDP增长）持续下降。

4. 腐败

所有投机性的狂热都伴随着欺诈的增多。只有在泡沫破裂之后，我们才能知道欺诈的严重程度，如安然、世通、马多夫等。中国的地产及基建的增长给欺诈和腐败带来了机会。而系统化的腐败则降低了中国经济增长的质量，提高了中国经济的系统风险。

"As a result, its financial system is fragile, its environment degraded and vulnerable, its law enforcement establishment tainted and ineffective, its infrastructure insecure, its public health service unresponsive, and its regulatory system creaky."

5. 宽松的流动性

流动性宽松，因此钱来得容易。哈耶克认为，宽松的流动性通过货币和信贷扩张导致通胀，可以是总体价格水平的上涨或者资产价格的上涨。由于利率低于“自然”水平，因此商业受到鼓励投入到只能在远期才能获得回报的项目。这就造成了资本错配。

而这正是中国的情况，流动性增长过快，利率过低，资产泡沫形成。

6. 固定汇率和资本流入

中国的固定汇率增加了出口，保持了利率的低水平。但这也吸引了大规模的资本流入。

中国的巨额外汇储备并不能使中国经济战无不胜。这些储备只能用来购买外国资产，支付进口，或者抵御自身货币受到攻击。但外汇储备无法解决资产泡沫崩溃后随之而来的问题，如支离破碎的银行系统，不良投资的后果等。在历史上曾经积累了如此巨额储备的国家只有两个：1929年的美国和1989年的日本。

7. 贷款迅速增加

中国去年的10万亿贷款大多数流入了基建项目，房地产开发和国有企业。这如同给经济注射的一剂兴奋剂，当时很有效但具有滞后的副作用。如此巨大的信贷本身就让人担心，曾经困扰中国银行系统的坏账的问题将卷土重来。

8. 道德风险

中国的银行由政府控制，市场相信政府不会对银行的问题坐视不管。中国的银行已经到了“大到不能倒”的程度。这就造成了道德风险。要知道，80年代，日本的大银行也被视作是为了满足财政部的目标工具。但在日本“失去的十年”里，日本的银行产生了相当于初始资本两倍的损失。

9. 危险的放贷方式

在次贷危机中，人们发现欧美的银行降低了放贷标准，形成了危险的放贷方式。很多贷款靠内在的现金流根本无法支付贷款，只能依靠资产升值。而当资产价格下跌时，这种“庞氏骗局”的结构就崩溃了。而中国的地方政府投资基础设施的巨额负债也具有以上那些特点。地方政府负债的现金流不足以支付贷款，而必须靠未来经济必须如过去一样高速增长才行。

10.泡沫

中国的股市，比如创业板显示出高估，呈泡沫状态。房产市场也处于泡沫状态。

梦想之地

中国的房地产市场已经显示出典型的泡沫状态，这个泡沫迟早破裂。在过去，当以上10个红色警报都显示时，后果总是令人不愉快的。预测泡沫何时破灭非常困难。由于中国的经济体制，让预测更加难上加难。但是，中国的体制无法解决问题，只能推迟问题的爆发。

仅仅因为未来危机的具体时间无法预测，并不意味着房地产市场泡沫的问题可以被忽视。中国的房地产行业对GDP影响重大，牵动上下游多个行业，而且对银行影响也很大。另外，房地产还是地方政府的财政收入来源。很多基础设施的贷款要靠地方的卖地收入来偿还。

中国的房地产市场，甚至中国的整个经济金融系统都基于一个信仰，即未来中国将以过去的速度继续增长。这一假设让更多的投资变得合理，从而刺激增长，进而带来更多的投资。这是一个自我实现的过程。中国已经成为了一个梦想之地。中国已经成为了一个“先建设，一切都会随之而来”的经济。

但是，一旦中国的经济增长速度低于8%，坏事就容易发生。大部分新建的基础设施将会毫无用处。过剩的产能将在很多工业存在多年。房地产泡沫将会破裂，而银行系统将面临大规模坏账。沉浸于中国梦的投资者忽视这样的场景。当中国这部巨型机器最终停滞，这些沉浸在梦中的投资者将噩梦醒来。

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Chairman Ben Bernanke‘s stated goals: lower mortgage rates to boost housing, reduce corporate bond rates to encourage investment and raise stock prices to increase confidence and spending. Markets responded soon after the program was first hinted at by Mr. Bernanke in an Aug. 27 speech in Jackson Hole, Wyo. But the end goals proved more elusive.

先存一个，回头写。

In a presentation at a Quantitative Easing Conference, Bullard explained how the government’s asset-buying program has similar effects as a conventional easing action through lower interest rates would normally have on financial markets.

“The financial market effects of QE2 looked the same as if the FOMC had reduced the policy rate substantially,” Bullard said in his presentation, pointing specifically to a weaker dollar, rising inflation expectations, higher equity prices, and a decline in real interest rates.

With the policy rate already near zero, the second leg of QE was needed to prevent the U.S. economy from falling into a deflationary state — a condition that has plagued the Japanese economy for years, Bullard said. Disinflation trends and the slow pace of recovery seen in 2010 had put the U.S. at risk of following Japan’s footsteps.

Bullard’s speech Thursday coincides with the end of QE2 — the $600 billion bond-buying program that was first announced in November 2010. The first bout of QE was announced November 2008 and expanded in March 2009, comprising more than $1.7 trillion in purchases of agency debt, agency mortgage-backed securities and long-term Treasurys.

Bullard says there would be a six to 12 month lag in seeing the impact of QE2 on the real economy.

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〔2011〕18号

   当事人：徐国新，男，1973年3月出生，住址：浙江省杭州市西湖区转塘镇大诸桥村2之1号。

   依据《中华人民共和国证券法》（以下简称《证券法》）的有关规定，我会对徐国新利用“华成民”等账户操纵股价行为进行了立案调查、审理，并依法向当事人告知了作出行政处罚的事实、理由、依据及当事人依法享有的权利，当事人未提出陈述、申辩意见，也未要求听证。本案现已调查、审理终结。

经查明，徐国新存在以下操纵股价违法事实：

一、利用“华成民”、“徐才校”和“王冬香”账户操纵“ST科健”股价

（一）“华成民”账户买入“ST科健”情况

2009年8月24日9:30:00至9:31:14，徐国新利用“华成民”账户以5.05元、5.06元的价格建仓买入“ST科健”128,700股。

当日9:45:58，“ST科健”股票涨停，涨停价5.12元一直保持至当日收盘。

当日9:46:18，“华成民”账户以涨停价5.12元申报买入1笔“ST科健”999,900股，成交时间为9:46:18至15:00:00，共成交747,126股，其余未撤单。

（二）“华成民”、“王冬香”和“徐才校”账户操纵“ST科健”股价情况

2009年8月24日9:46:18后，在“ST科健”股票已涨停、市场及“华成民”账户本身已有大量未成交买单、买入申报明显无法成交的情况下，徐国新仍先后利用“华成民”、“王冬香”和“徐才校”账户以涨停价大量申报买入“ST科健”股票，将该股价格锁定在涨停价直至收盘，起到了锁定收盘价、误导其他投资者对股票走势判断的作用，为其在后一交易日卖出“ST科健”牟利提供了条件。

2009年8月

25日开盘集合竞价可撤单阶段，“华成民”账户采用不以成交为目的的虚假申报手段，在短时间内以涨停价大量申报买入“ST科健”股票，误导其他投资者对股票走势的判断，影响股票交易量和开盘价。在开盘集合竞价可撤单阶段的最后时刻，“华成民”账户将买入申报全部撤单。随即，“华成民”账户在当日开盘集合竞价不可撤单阶段和连续竞价阶段将前一交易日买入的“ST科健”股票全部申报卖出。具体交易过程如下：

1. 2009年8月24日通过买入申报锁定涨停价情况

9:46:58，“华成民”账户在其9:46:18的买入申报尚有849,001股未成交（占市场涨停价位未成交买量的31.68%）的情况下，仍以涨停价5.12元连续39笔申报买入“ST科健”351,000股。

9:46:59至14:54:27，在前期的买入申报持续未能成交的情况下，“华成民”、“王冬香”和“徐才校”账户仍继续以涨停价5.12元申报买入“ST科健”388笔共5,162,600股。其中，“华成民”账户将273笔买入申报共计2,643,900股进行撤单。

截至2009年8月24日收盘时间15:00:00，“华成民”、“王冬香”和“徐才校”账户涨停价位未成交买量为3,122,474股，占收盘时市场以涨停价位未成交买量的74.92%。

2. 2009年8月25日通过虚假申报操纵股价情况

2009年8月25日开盘集合竞价可撤单阶段，“华成民”账户分别于9:15:00、9:17:22、9:17:23、9:17:31和9:17:32以涨停价5.38元申报买入“ST科健”151笔共1,503,800股，占当日开盘集合竞价可撤单阶段市场买入申报总量的84.03%。当日9:16:54、9:19:31、9:19:35、9:19:36和9:19:37，“华成民”账户将上述1,503,800股买入申报全部撤单，占当日开盘集合竞价可撤单阶段市场买入申报撤单总量的99.53%。

“华成民”账户第1笔申报至最后1笔撤单前，9:15:10至9:19:30市场揭示的虚拟成交价格保持在5.38元，虚拟可成交量中“华成民”账户所占比例保持在100%；其他投资者买入申报总量和涨停价买入申报总量分别由94,200股上升至258,500股和9,000股上升至142,500股，涨幅分别为174.42%和148.33%。

“华成民”账户最后1笔撤单后，9:15:40至9:24:00市场揭示的虚拟成交价格保持在5.38元，9:24:10后有所下降，最终形成开盘价5.35元；其他投资者买入申报总量和涨停价买入申报总量仍持续增加，分别由284,800股上升至388,500股和167,800股上升至254,300股，涨幅分别为36.41%和51.55%。

（三）“华成民”账户卖出“ST科健”获利情况

2009年8月25日9:24:15和9:24:25，“华成民”账户分别以5.38元和5.35元申报卖出“ST科健”175,826股和200,000股，该两笔卖出申报未成交，于开盘后撤单。

2009年8月25日9:30:50至13:43:21，“华成民”账户以5.10元至5.33元的价格申报卖出“ST科健”32笔共875,826股，全部成交，最终获利115,360.20元。

二、利用“华成民”账户操纵“*ST联油”股价

（一）“华成民”账户买入“*ST联油”情况

2009年9月3日，徐国新利用“华成民”账户建仓买入“*ST联油”788,721股。

（二）“华成民”账户操纵“*ST联油”股价情况

2009年9月4日，为了能以较高价格将账户内的“*ST联油”股票卖出，在当日开盘集合竞价可撤单阶段，“华成民”账户采用不以成交为目的的虚假申报手段，在短时间内以涨停价大量申报买入“*ST联油”，误导其他投资者对股票走势的判断，影响股票交易量和开盘价。在开盘集合竞价可撤单阶段的最后时刻，“华成民”账户将买入申报全部撤单。随即，“华成民”账户在当日开盘集合竞价不可撤单阶段和连续竞价阶段，将其前一交易日买入的“*ST联油”全部申报卖出。具体交易过程如下：

2009年9月4日开盘集合竞价可撤单阶段，“华成民”账户分别于9:15:00、9:17:33和9:19:14以涨停价4.27元申报买入“*ST联油”86笔共2,471,400股，占当日开盘集合竞价可撤单阶段市场买入申报总量的65.20%。当日9:19:01至9:19:04和9:19:34，“华成民”账户将上述2,471,400股买入申报全部撤单，占当日开盘集合竞价可撤单阶段市场买入申报撤单总量的76.13%。

“华成民”账户第1笔买入申报至最后1笔撤单前，9:15:10至9:19:30市场揭示的虚拟成交价格保持在4.27元，“华成民”账户在市场虚拟可成交量中所占比例由0%升至100%后又降为0%，其他投资者买入申报总量和涨停价买入申报总量分别由843,200股上升至1,271,400股和536,300股上升至905,700股，增幅分别为50.78%和68.88%。

“华成民”账户最后1笔撤单后，市场揭示的虚拟成交价格一度保持在4.27元，9:24:00后有所下降，最终形成开盘价4.20元。其他投资者买入申报总量和涨停价买入申报总量仍持续增加，分别由1,292,000股上升至1,514,700股和921,300股上升至1,114,600股，增幅分别为17.24%和20.98%。

（三）“华成民”账户卖出“*ST联油”获利情况

2009年9月4日9:24:08，“华成民”账户以4.22元申报卖出“*ST联油”1笔300,721股，该笔卖出申报未成交，于9:32:10撤单。

2009年9月4日9:31:50、10:53:34，“华成民”账户分别以4.18元、4.27元申报卖出“*ST联油”两笔共788,721股，全部成交，最终获利126,682.53元。

上述违法事实，有相关交易所提供数据、资金账户资料、证券营业部说明、当事人情况说明、银行账户资料及当事人询问笔录等证据证明，足以认定。

徐国新的上述行为，违反了《证券法》第七十七条第一款第（四）项关于禁止任何人“以其他手段操纵证券市场”的规定，构成了《证券法》第二百零三条所述“操纵证券市场”的行为。

案发后，徐国新能够积极配合我会的调查工作。  

根据当事人违法行为的事实、性质、情节与社会危害程度，依据《证券法》第二百零三条和《中华人民共和国行政处罚法》第二十七条的规定，我会决定：对徐国新没收违法所得242,042.73元，并处以242,042.73元罚款。

当事人应自收到本处罚决定书之日起15日内，将罚没款汇交中国证券监督管理委员会（开户银行：中信银行总行营业部，账号：7111010189800000162，由该行直接上缴国库），并将注有当事人名称的付款凭证复印件送中国证券监督管理委员会稽查局备案。当事人如果对本处罚决定不服，可在收到本处罚决定书之日起60日内向中国证券监督管理委员会申请行政复议，也可在收到本处罚决定书之日起3个月内直接向有管辖权的人民法院提起行政诉讼。复议和诉讼期间，上述决定不停止执行。

中国证券监督管理委员会

二○一一年四月二十九日

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Below is a table showing the percentage of world market cap for the largest equity markets in the world. As shown, the US continues to hold onto the number one spot by a wide margin at 30.43%. Japan had the second largest market cap in the world at the start of the year, but China has now surpassed Japan and currently ranks second. China currently makes up 7.38% of world market cap, while Japan makes up 7.05%. The UK ranks fourth at 6.49%, followed by Hong Kong (4.77%), Canada (4.38%), and France (3.59%).

The table also shows where things stood at the start of 2005, the start of the last bear market, and the start of the current bull market. While things haven't changed dramatically over the past few years, the big shift came in the mid-2000s when China and other emerging markets were growing rapidly. As shown, China made up just 1.25% of world market cap at the start of 2005 while the US made up 42.22%. By late 2007, China had grown to 5.89%, and the other BRICs all saw their % of world market caps double. The US, on the other hand, dropped from 42.22% to 31.07%.

Below is a chart that highlights how the percentage of world market caps have changed since the start of 2005 (ex-US). Here it's easy to see the gains that emerging markets have made at the expense of developed nations.

Finally, we provide a chart showing the % of world market cap for Japan and China going back to 2004. China didn't even rank in the top ten in 2004, while Japan made up nearly 12% of world market cap. Within four years, China and Japan were essentially the same size. During the financial crisis, China fell more than Japan, allowing Japan to move solidly back into 2nd place. However, as mentioned earlier, the recent fall in Japan has allowed China to take over the #2 spot.

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第一是以市场化手段促进行业技术进步和提高环保意识，服务实体经济发展。首先是将产业政策中有关“企业生产规模条件”和“生产工艺要求”的规定作为铅冶炼企业申请交割品牌注册的条件，促进铅行业的产业升级和技术进步，优化产业结构，淘汰落后产能。其次是落实国标存放要求，期货交割铅锭的存放选择室内库房，有利于提高流通环节的环保水平，增强社会环保意识。

第二是适度限制投机、确保风险防控到位。一是在有效控制风险的前提下，在严格客户投机限仓的同时，放宽期货公司会员的限仓比例，促进优秀期货公司做大做强。二是期货公司会员实行比例限仓，非期货公司会员和客户实行数额限仓，且在限仓管理上一视同仁。三是某一合约在存续过程中的不同阶段，分别适用不同的限仓数额，进入交割月份的合约限仓数额从严控制，并测算满足不同阶段市场需求的最低持仓限额。

第三是促进套期保值、优化管理措施、贴近需求加强监管。一是为了进一步促进企业开展套期保值业务和严格防范交割风险，铅套期保值交易头寸分为一般月份套期保值交易头寸和临近交割月份套期保值交易头寸。二是简化和放宽一般月份套期保值头寸的审批程序与条件，提高套期保值的审批效率。三是加强套期保值动态化监督管理，增强贴近市场服务力度。四是对期货公司超仓不再强行平仓，而是采取更为贴近市场需求的限制同方向开仓。

强化风险控制意识
中国证券报：从模拟交易的情况来看，市场对铅期货热情较高。那么，广大铅企业和投资者在参与铅期货交易的时候，需要注意哪些问题？
丁文辉：铅具有与铜铝锌相同的属性，也具有自身独特的属性，这在客观上要求投资者充分了解行业政策和现货市场运行特点，熟悉铅期货各项合约规则，提高风险意识，做好各项风险防范措施。
一是投资者应充分认识铅市场波动特性。铅市场价格波动剧烈，铅期货标准合约中规定的最低涨跌停板和保证金水平都比较大。这就要求投资者具有相应较强的风险承受力、资金实力和风险管理能力。
二是企业应严格执行“只做套期保值、不做投机”的原则。为了配合铅期货上市，上期所专门制定《铅期货套期保值管理办法（试行）》，企业应熟悉套期保值相关规则，加强套期保值各项管理制度建设，只有这样才能充分利用好期货市场为企业发展服务。
三是期货公司会员既要做大更要做强。期货公司会员在面对业务规模扩张的机遇时，需要相应强化风险控制意识。
四是期货交割的铅锭室内存放。为促进铅国标相关要求的落实，提高流通环节的环保水平，增强社会的环保意识，用于期货交割的铅锭应选择室内库房存放。
今后上期所将积极做好市场培训和投资者教育工作，确保铅期货平稳上市和稳健运行，促进市场功能逐步有效发挥。

周四铅就该上市了，不知道效果怎么样，看看。

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Comparing Country’s GDP to US States

Chart courtesy of The Economist

>

Comparing Country’s GDP to China’s Provinces

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一、波动率的介绍
波动率已被广泛应用于衍生品定价、金融资产风险管理、投资组合管理等多个领域。对金融市场波动率的估计和预测是近几十年来金融研究领域的重要课题之 一。一般投资者理解的波动率是计算价格或收益率的标准差，这种常用的方法可用来计算历史的波动率。然而作为资产管理者，更希望能对未来资产波动率进行预测 从而进行风险管理。目前对金融资产波动率的描述方法主要有三类：
1、隐含波动率 (Implied Volatility)。在期权定价公式中，现货资产的波动率是计算期权价格的参数之一。通过市场上现存的衍生品价格，倒推出模型中的波动率，称为隐含波 动率，反映了投资者对标的资产未来的预期波动率。如基于S&P500指数期权隐含波动率的芝加哥VIX指数，代表市场对未来30天的市场波动率的 预期。当VIX越高，表示投资者预期后市的价格波动程度将会更加激烈，也同时反映其心理不安的状况。当VIX越低，反映市场参与者预期后市的价格波动会趋 于缓和。因此，VIX又被称为投资者恐慌指标(The Investor Fear Gauge)，也可理解为市场情绪指标。由于我国金融市场暂未推出基于指数的期权衍生品，所以无法计算标的指数的隐含波动率。
2、模型波动率。由于金融资产的波动具有聚集性，Engle(1982)提出用自回归条件异方差ARCH模型对波动率进行刻画，随后关于波动率模型的 扩展和应用发展迅速。目前主要有ARCH类和随机波动率SV类模型，虽然该两种模型采用不同的建模方法，但在刻画波动特性方面都取得了巨大的成功。两者都 需要参数估计、可进行样本外预测，在抽样频率方面，两者适用于使用日间或更低频率的数据。
3、已实现波动率 (Realized Volatility， RV)。由于高频数据具有不同于低频数据的特征，使得在低频领域表现良好的ARCH和SV类模型方法不能直接移植到高频数据。Andersen， Bollerslev(1998)提出使用日内高频股价数据，可以获得对日波动率更精确的描述，并由此建立了一种基于高频股价数据的已实现波动率测度方 法。由于高频数据中蕴含了比低频数据更多的市场波动信息，因此基于高频数据的波动率测度一定是一种更为真实的市场波动描述。已实现波动率的计算不需要复杂 的参数估计方法，无模型、计算简便，在一定条件下是积分波动的无偏估计量，近年来在高频领域中获得了广泛的应用。
随着IT技术的发展，数据记录技术不断提高，采样数据的时间间隔越来越短，使得对日内数据的分析变得普遍。在金融市场中，高频率采集的数据可以分为两 类：高频数据(High Frequency Data)和超高频数据(Ultra-High Frequency Data).
高频数据是指以小时、分钟或秒为采集频率的数据。超高频数据则是指交易过程中实时采集的数据，或称逐笔数据(Tick-by-Tick Data)。高频数据和超高频数据两者之间的最大区别是：前者是等时间间隔的，后者的时间间隔是时变的。目前关于金融高频数据的研究主要集中金融高频数据 统计特征、市场微观结构、交易间隔模型、资产管理等方面。

二、已实现波动率的计算与评价
已实现波动率的计算方法简单，即一定抽样频率的日内收益率的平方之和。
理论上，只要日内收益率的抽样频率足够高，RV可视为真实波动率的一致估计量。一般而言，数据的抽样频率越高，获得的市场信息就越多，RV估计量的测 量误差就越小，但由于高频数据还受到市场微观结构噪音如价格的离散性、交易成本等因素的影响，，并且由市场微观结构引起的RV测量偏差随着抽样频率的升高 而加大，因此，并不是抽样频率选取的越高，RV估计量就越准确，而是需要一个合理的抽样频率，才能对波动进行准确有效的估计和预测。参照以往研究学者的抽 样频率选取，本报告采用时间间隔为五分钟的抽样数据。
高频数据只能反映有交易时段的市场波动状况，而无法包含无交易时段的市场波动信息，即市场从该交易日收盘到下一交易日开盘的Close2Open波动 率，或称隔夜收益率，日收益率为隔夜收益率加上日内收益率。为了使RV更准确刻画全天的市场波动率，Hansen，Lunde(2005)建议使用某种尺 度参数对RV进行变换，把RV乘以某个常数。不过这种做法只是把RV按一定尺度放大，并不影响RV的日内波动特性。
三、期指主力合约的日内波动率及其应用
本报告主要考查股指期货主力合约的日内波动率及其对在交易中的应用。股指期货交易的高频数据，可以通过金融数据服务提供商获得，也可通过编写数据接口 程序或行情软件指标公式读取。本报告所选取的数据为股指期货上市日2010-4-16至2011-2-11日共198个交易日的五分钟数据，一个交易日对 应的五分钟期指数据为54个，对应的沪深300五分钟数据为48个。数据来源于财汇金融。
由于主力合约在每个月临近交割日的前几天，会把所持有的头寸转移到新的主力合约上，我们把新主力合约持仓量大于老主力合约持仓量的时间点作为判断换月 移仓起始日的标准。换月移仓起始日之后，新的主力合约成为市场交易最活跃的期指合约。因此，本报告中选取的主力合约样本区间不是按到期日来划分，而是以换 月移仓起始日来划分的。
两者日内波动趋势一致，相关系数0.79。平均来看，期指的日内波动率超过沪深300日内波动率近15%，由于日内波动率之间存在序列相关和异方差性，期指和沪深300的日内波动率都不服从正态分布，呈右偏尖峰分布。
波动率指数VIX参照的金融衍生品是指数期权，而指数期权和指数期货都有到期日，两者的市场价格波动均可以反映投资者对未来短期内标的指数价格波动的 预期。按照这一思路，我们把期指合约的日内波动率进行了五日移动平均，用来反映期指合约日内波动的短期趋势，也表示投资者对沪深300指数近期价格波动的 预期，并和沪深300指数走势进行对比。
股指期指上市后的前三个月，期指日内波动剧烈。主要是由于上市初期市场效率还不高，前三个月的成交持仓比基本在20倍以上的水平，随着成交持仓比的逐渐下降以及市场效率的提高，期指的日内波动和现货波动趋于一致。
和VIX指标研判较为类似的是，当期指RV由低位向上反弹，或是由高位向下转向时，往往是市场情绪发现较大变化，行情可能出现变盘的时间点。如 2010-9-30，期指日内波动率的移动平均值达到历史最低点0.53，国庆节后日内波动率逐渐走高，沪深300指数也放量上攻。但在 2010-10-25，期指日内波动率的移动平均值开始回落，说明投资者预期短期内标的指数的波动会减少，因此尽管沪深300在2010-10-25之后 还在上涨，但波动率已急剧下降，加之市场成交量并没有进一步放大，使得上涨空间有限。在2010-11-10，期指RV的MA5回落至阶段性的最低点 1.16，随后又开始大幅走高，并于2010-11-23日达到历史最大值6.63。沪深300在2010-11-10之后则开始出现大幅回落。
11月份期指日内波动率急剧上升的主要原因是IF1011合约提前了七个交易日便开始换月移仓，并且换月起始日存在明显的期现套利机会，在较长的移仓 阶段中，IF1011实际的基差水平由持有成本计算的合理上边界走到了下边界，IF1011和IF1012在移仓阶段的日内波动率都大幅增加。
由于股指期货上市时间并不长，可参考的期指日内波动率数据并不多。考虑到沪深300的日内波动率和期指日内波动率有较大的相关性。因此，我们把沪深300指数日内波动率的历史数据取出来和指数历史走势进行了对比。
波动率和价格走势并不太相关，两者相关系数为-0.24。当波动率由低点向上反弹时，沪深300指数有时是上涨有时却是下跌。事实上，日内波动率反映 的是投资者参与市场的情绪变化。当日内波动率处在低位时，表明投资者预期近期的价格波动较小，对当前的价格水平分歧较小，当前的价格水平或短期趋势有望延 续。因此，当波动率由低点拐头向上或是由高点调头向下时，只能说明市场存在变盘的可能，当RV自身波动较大时，变盘的概率增加。至于指数具体是上涨还是下 跌，则还需要结合技术指标或基本面进行判断。
综上所述，期指的日内波动率变化可以反映投资者对沪深300指数短期波动的预期，当期指日内波动率出现大幅波动时，则沪深300指数发生变盘的概率较大，但具体的变动方向还需要结合其他技术指标或经济基本面来判断。

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这么看起来，比起号称最能折腾的A股，日经的折腾还是略高一筹的，估计是因为他们的大公司占的比例比较大吧。

然后有兴趣去找了下2008年10月金融海啸的图，看看，人祸更加凶猛啊。

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GLD——The SPDR Gold ETF，由World Gold Trust Services LLC所管理发行的SPDR黄金ETF基金，成立于1998年12月16日，本基金以追踪黄金的市场表现为投资目标.

Gold continues to fascinate although it has been under pressure since the beginning of 2011. The precious metal has gained in investor acceptance and many advisors have been advocating to include a (small) percentage of gold as part of a well-diversified portfolio. That in turn has led speculators to continue to invest in gold based exchange traded funds such as GLD (chart above). There are other gold funds though all seeking to share the gain on this unprecedented gold bull run. How much of a speculative element there is remains to be seen but there sure are plenty of funds trying to imitate the precious metal’s return.

基本上黄金价格的上涨和这些ETF的持仓量是成正比的，而且，GLD本身的份额也是巨大的。

The growth of the exchange traded funds and their immense appetite for investments in the asset have led to a dramatic shift in demand from industrial and jewelry demand to investment demand. Overall, the demand for gold has declined since 2000 while the supply of gold saw an increase of over 400 metric tons between 2008 and 2009. From that perspective, the recent pull-back from the record highs since late last year makes fundamental sense.

实际上我们要黄金来干嘛？数据显示我们实际消耗的用量是减少的，而开采量是不断上升的，大概是因为之前几十年大家对黄金体系的放弃导致黄金在很大一段时间只是用在工业和装饰品。

We also examined the price of gold versus the Australian Dollar last week. That trading pair has now been trying to pierce through the lower trendline of this triangle pattern.

In case you are considering such a trade, keep an eye on the developments in the coming week(s) to see whether this turns into an actual sell signal. In terms of the gold price patterns, we have seen an interesting development with the Gold/Silver Ratio. The ratio which is a straight division of the gold price and the silver price, has seen a dramatic decline in the second half of 2010 when the ratio dropped significantly below its longer-term moving average (red line) which has been around 60.

和黄金比较起来，白银这段时间的走势更加凶猛，不过银本省储藏成本过高，而且自然界中含量其实还是很多的，价格的上涨，更多的是大家对他和黄金比价以及有关银的一些ETF的表现造成的，如果不是需求增加太多，仅仅作为黄金的比价来看，60是均线，现在的价格已近偏离了。

Intuitively, investors knew that the price of silver appreciated much faster than that of gold. It does however sink in much more when observing the drop in the ratio on a chart. From a technical perspective, one could now see a retracement of the ratio back to somewhere around 55, perhaps even 60. The Fibonacci retracement levels are in that range as well.

下面是GLD和USV从08年以来的价格和成交量其实可以看出，成交量也是随着价格在不断增加的，而且相对于金来说银的量的变化更加明显，也印证了大家关于银的价格是资金推动的结果。

黄金能到多少去呢，看看历史，估计要等这段通胀结束后才能回来了，通胀的结束要多久，上回的数据显示的是，2年纪结束了，什么叫慢牛快熊，大致就是这样了。等到2012过去，如果我们没有挂的话，黄金白银该挂了。

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But 2010 wasn’t all sunshine and roses for the ETF space; there were some growing pains along the way, including (generally baseless) accusations against exchange-traded products, some regulatory uncertainties, and a number of fund closures.

Before we look ahead to what may be in store for 2011, we take a look back at the stories that made headlines in the ETF industry in 2010:

10. Price Wars

As interest in ETFs continues to build, competition between issuers for market share has intensified. Whereas mutual funds compete primarily on the basis of performance, the passive nature of most ETFs makes those comparisons less meaningful, and as a result many issuers have sought to differentiate their products by appealing to cost-conscious investors [see Mutual Fund To ETF Converter].

The price wars of 2010 got underway at the very beginning of the year when Vanguard cut expenses on VTI to just seven basis points, making its broad-based U.S. equity fund the cheapest on the market. Schwab responded in June by slashing expenses on six of its funds, including a reduction in SCHB’s fee to 0.06%. When Vanguard debuted a lineup of equity ETFs linked to S&P indexes in September, the new offerings included an S&P 500 ETF (VOO) priced at 0.06%–tying SCHB for the title of “cheapest ETF” and undercutting existing offerings from iShares and State Street. VOO recently had about $250 million in assets, suggesting that the lower expense ratio is attracting investors.

iShares also made a price reduction in an effort to gain ground in the gold ETF space; the COMEX Gold Trust (IAU) now costs just 0.25%, compared to 0.40% for the ultra-popular GLD [see Cheaper Gold ETF = Better Gold ETF]. The iShares fund has begun to eat into GLD’s market share, though the Gold SPDR still has about ten times the assets of its cheaper competitor. Other issuers got in on the game in 2010 as well; Van Eck cut expenses on three international ETFs in June, and Old Mutual reduced fees of its emerging market ETF to 0.25% (that didn’t work out so well; the issuer has since pulled out of the U.S. market completely).

Investors have obviously benefited from price wars, and are no doubt hoping that downward pressure on expense ratios continues in 2010.

9. Free ETF Trading

Expense ratios weren’t the only component of the ETF cost equation to come under pressure in 2010. After Schwab marked its entrance into the ETF industry in late 2009 with commission free trading on Schwab ETFs, several other issuers followed suit in 2010. Vanguard quickly sought to level the playing field with its low cost rival by introducing commission-free trading on Vanguard ETFs for Vanguard clients (Vanguard currently offers more than 60 ETFs, while Schwab offers just 11 funds). iShares also made several of its most popular ETFs eligible for commission-free trading, partnering with Fidelity to offer a program that includes 25 of the largest iShares ETFs [see Total Cost of ETF Investing].

Arguably the most comprehensive commission-free ETF trading program was introduced by TD Ameritrade, which partnered with Morningstar to identify more than 100 ETPs from a handful of different issuers to include in the commission free program. Recently, a unit of Scottrade made a filing detailing plans for a line of domestic equity ETFs, prompting speculation that the firm is scrambling to match the offerings of its competitors [see Commission Free ETF Trading: Breaking Down All The Options].

8. Weighting Methodologies In Focus

As indexes have been transformed from hypothetical benchmarks used to measure active managers to (essentially) investable assets, investors have begun to scrutinize the construction and maintenance methodologies a bit more closely (and rightfully so). As a result, some have proposed that market capitalization weighting–which gives the biggest weights to the companies with the largest market capitalizations–has some rather serious flaws as an investment strategy. There are now a handful of ETFs offering easy, efficient access to alternatives to cap-weighting–essentially new ways of slicing up equity markets and packaging individual stocks into an equity ETF.

Alternatives to market cap weighting are nothing new; certain investors have embraced equal weighting for decades as a preferred methodology. But investors are creatures of habit, and some of those that gravitated towards cap-weighted benchmarks when making the switch to ETFs have been hesitant to go with a lesser known (and often more expensive) strategy that doesn’t seem to differ considerably from the status quo. Perhaps 2010 will be remembered as a turning point in how investors think about weighting methodologies, as several alternative weighting strategies have delivered big gains this year. Through December 21, a review of the various large cap domestic equity funds showed revealed the ultra-popular SPY–linked to the cap-weighted S&P 500–to be the laggard. And the considerable gaps between alternative products–the equal weighted RSP had beaten SPY by about 500 basis points–clearly shows that the weighting methodology can have a big impact on bottom line returns [see Case For Equal Weighting]

ETF
Weighting
YTD Gain

S&P Equal Weight ETF (RSP)
Equal
21.0%

FTSE RAFI U.S. 1000 (PRF)
RAFI
19.0%

RevenueShares Large Cap ETF (RWL)
Revenue
16.2%

WisdomTree Large Cap Dividend (DLN)
Dividend
14.3%

S&P 500 SPDR (SPY)
RSP
14.1%

WisdomTree Earnings 500 Fund (EPS)
Earnings
12.7%

7. Refining Commodity ETFs

Commodity ETFs have had an up-and-down 2010. From a performance perspective, this corner of the market has been red hot; a combination of a weaker dollar, string demand from emerging markets, and a number of supply shortages have boosted prices of everything from corn to sugar. But inflows into commodity ETPs have fallen off considerably from 2009; excluding physically-backed gold ETFs, commodity ETPs actually saw net outflows through the first 11 months of the year.

Part of the drop-off in interest may be due to frustrations with performances turned in by the “first generation” of commodity products; funds that utilize futures-based strategies often won’t line up perfectly with changes in the spot price of the underlying commodity over extended periods of time. While the performance of these ETFs is as should be expected from any futures-based strategy, some investors have nevertheless expressed frustration with the “performance gap” relative to a hypothetical spot return [see Four Strategies For Contango Free Commodity Investing].

The last twelve months have seen some impressive innovations in offering exposure to commodity prices; a number of ETFs offering exposure to stocks of companies engaged in the extraction and production have debuted, and the market reception has been generally very warm. And recent debuts haven’t been broad-based in nature or focused on just gold and oil; ETFs targeting rare earth metals (REMX), lithium (LIT), uranium (URA), and platinum miners (PLTM) were among the new ETFs to 2010.

Recent months have also seen the launch of a “third generation” commodity ETF linked to an index that incorporates research on the relationship between the slope of the futures curve and potential inventory shortages. USCI–hailed as a “contango killer”–has delivered some impressive early results, crushing many of the broad-based commodity ETPs since its debut earlier this year [see Under The Hood Of USCI]. Separately, at least two issuers have filed for SEC approval on physically-backed copper ETFs, suggesting that the commodity ETF space will continue to evolve in 2011.

6. ETF Closures Accelerate

After years of rapid-fire expansion that saw some issuers seemingly roll out any product that came to mind, predictions for a wave of ETF closures have become increasingly common. And while 2010 saw continued growth in the ETF product lineup–more than 200 new funds launched–it also saw its fair share of closures. More than a half dozen issuers–including Direxion, PowerShares, Javelin, Grail, Claymore (now Guggenheim), Rydex, and WisdomTree–shuttered ETFs at some point in 2011, and two more issuers, Geary Advisors and GlobalShares, exited the U.S. ETF industry altogether.

This trend also seems poised to continue into 2011; at the end of November, more than 350 ETFs had assets of fewer than $25 million–a rule-of-thumb break even point for ETF issuers. While some of these funds in the bottom AUM tier are new products just hitting their sweet spot, others have been around for a while and seem unlikely to ever gain much traction.

5. Big Year For The Little Guys

Much has been made of the top-heavy nature of the ETF industry, where four issuers account for about 85% of total assets and the 25 largest ETFs combine to take nearly 50% of the market share. While the big players may continue to dominate, it is a number of smaller ETF issuers that have seen the most impressive growth in 2010 thanks to generally warm receptions to various niche products. Among the “big four” of iShares, State Street, Vanguard, and PowerShares, only Vanguard has seen its market share increase over the last year–thanks in part to its reputation as a low cost provider.

Several smaller ETF issuers have grown exponentially in 2010. Global X finished November with more than $1.1 billion in assets, up from a paltry $11 million a year earlier. EGShares finished November north of $350 million, a nearly tenfold increase from a year earlier. Van Eck, WisdomTree, ALPS, and RevenueShares also saw market share surge over the last 12 months, indicating that investors are beginning to embrace the more unique and more targeted products offered by the industry’s smaller players [see Battle For ETF Market Share: Who's Gaining Ground, Who's Falling Behind].

4. MLP ETPs Booming

When 2009 was drawing to a close, many investors anticipated that interest rates would begin to climb higher at some point in 2010 as a recovery took root and inflationary pressures materialized. But with 2011 just around the corner, interest rates remain close to record lows and seem poised to stay there for the foreseeable future. That has sparked interest in asset classes capable of delivering attractive current yields, and as a result the MLP ETF space has exploded over the last year.

MLPs generally make material distributions, and the stability of these cash flows has made this once overlooked corner of the domestic energy market an intriguing option for yield-hungry investors. And many have embraced exchange-traded products as an efficient means of accessing the sector. UBS has led the way in the build out of the MLP space, rolling out exchange-traded notes linked to the Alerian MLP Infrastructure Index (MLPI), a monthly short MLP ETN (MLPS), a 2x monthly long ETN (MLPL), and a natural gas focused MLP ETN (MLPG). Other innovations have come from ALPS, which debuted AMLP, the first exchange-traded fund to offer exposure to the MLP sector (products from JP Morgan and UBS are all structured as exchange-traded notes).

According to the ETF screener, there are now eight different products offering exposure to the MLP sector, with aggregate assets of more than $3 billion. All but one of those products (AMJ) debuted in 2010, meaning that MLPs accounted for a nice chunk of the industry’s total growth in 2010.

3. Active ETFs Still Struggling

The last year saw the launch of several actively-managed ETFs, ans some of the new products have generated a fair amount of interest. WisdomTree’s active emerging markets debt ETF (ELD) debuted in August, and will finish the year with more than $500 million in assets. The Cambria Global Tactical ETF (GTAA) is another recent addition that has raked in assets; the fund managed by the authors of the influential book The Ivy Portfolio debuted in late October and already has more than $65 million in assets. And bond fund giant PIMCO has seen interest in its four active fixed income products, demonstrating that

But for the most part, 2010 was another slow year for active ETFs. Assets in actively managed equity ETFs are just north of $100 million, despite the fact that many of the products have been on the market for several years now. Though some performances have been stellar, the lack of a lengthy track record seems to be keeping investors at bay [see Seven Successful Active ETFs].

It is far too early to declare active ETFs a bust, as the space still seems poised for explosive growth. More than 25 issuers have SEC filings for active ETFs, including several mutual fund powerhouses who haven’t yet waded into the ETF waters. If the Legg Masons and T. Rowe Prices of the world begin pushing active ETFs, rapid growth would likely follow. But hurdles remain as well. An uncertain regulatory environment is one big issue, as the SEC has been slow to approve new products and has not come out with a definitive statement on the use of derivatives in mutual funds and ETFs. And the disclosure requirements continue to spook investors and issuers alike; though alternatives to the current system–such as NAV-based trading –are in the works, it figures to be years before the regulatory authorities make a dramatic shift in current policies [see Active ETF Gamechanger?].

2. ETF Bashing In Style

Since the ETF industry really began to take off a few years ago, the media coverage and investor reactions have been overwhelmingly positive. ETFs have been praised as a tool for cost-conscious individual investors to avoid what Jack Bogle has called the “tyranny of compounded costs,” while the enhanced tax efficiency and flexibility (i.e., ability to be shorted and traded intraday) has made them popular among more sophisticated investors as well. Exchange-traded products have also been instrumental in democratizing certain asset classes, bringing commodities, exotic emerging markets, and complex investment strategies within reach of all types of investors.

But throughout 2010, various attacks on ETFs popped up, a somewhat puzzling development that made a few investors think twice about embracing the exchange-traded structure. Among the most visible and damning critiques of ETFs to make waves in 2010:

• BusinessWeek Blasts Commodity ETFs: A cover story of BusinessWeek delved into commodity ETFs, going so far as to issue a blanket warning against these products. The piece, which chronicled the experiences of investors who experienced returns different from a hypothetical return on the commodity’s spot price. The article seemed to hint that these experiences resulted from product flaws, failing to explain the nuances of futures-based investment strategies or suggest that investors do their homework before buying into these products. In hindsight, the advice of “do not buy commodity ETFs” is somewhat humorous, as many commodities were among the best performing assets of 2010 [see Top Five Commodity ETFs of 2010].

• Bogan Report Of Collapsing ETFs: One of the more disconcerting reports for ETF investors came from Andrew Bogan, managing member of a Boston-based asset management firm. In September of this year Bogan enjoyed his 15 minutes of fame after authoring a paper outlining a scenario under which certain exchange traded products could “collapse,” leaving investors who thought they had exposure to an asset class out of luck. “While ETFs often appear to be a benign innovation as compared to some of Wall Street’s arcane derivatives, a closer look at the mechanics of short selling ETFs (which have become one of the most prevalent securities to short) raises some serious concerns,” wrote Bogan. Unfortunately, Bogan’s musings were picked up by the mainstream media, thrusting the issue into the spotlight. Fortunately, the responses to his claims were swift and thorough; Bogan overlooked several simple mechanisms in place designed specifically to prevent his disaster scenario [see Why An ETF Can't Collapse].

• Kaufman Report Attacks On All Sides: Perhaps the most comprehensive attack on the ETF industry came from the Kauffman Foundation in November. In a lengthy paper, two authors laid out a wide variety of alleged flaws in ETFs, ranging from their adverse impact on the IPO market to their role in increasing correlations between asset classes. Once again, the responses identifying errors in Kauffman’s logic (as well as shedding some light on the foundation’s motivation). “The claims were so broad and misplaced that ETFs were lucky not to be associated with global warming and the BP oil spill,” wrote WisdomTree President & COO Bruce Lavine [see Three Responses To Kauffman's ETF Attack].

1. Innovation, Innovation, Innovation

The ETF lineup expanded considerably in 2010, with more than 200 new products hitting the market and the pipeline continuing to fill with ideas. Some of the new additions launched in 2010 represent direct competitors to existing ETF products; Vanguard’s launch of equity ETFs linked to Russell and S&P indexes certainly falls into this category, as do several of the new products introduced by Charles Schwab and others. But for the most part, expansion in the ETF industry continues to be driven by innovation, not duplication. Many of the new funds to debut in 2010 were first-to-market products, offering exposure to an asset class, region, or investment strategy not previously available through the exchange-traded structure [see Counting Down The Best New ETFs of 2010]. A small sampling of the ETF innovation in 2010 includes:

• Target Date Municipal and Corporate Bond ETFs
• Physically-Backed Platinum (PPLT) and Palladium (PALL) ETFs
• Equal Weight Emerging Markets (EWEM) and EAFE (EWEF) ETFs
• Small Cap International Equity ETFs (SKOR, SCIN, CNDA, LATM…among others)
• Copper Miners (COPX) and Silver Miners (SIL) ETFs
• Emerging Markets Consumer (ECON) and Brazil Consumer (BRAQ) ETFs
• Philippines ETF (EPHE)
• MLP ETNs/ETFs (as profiled above)
• Long/Short RAFI ETF (RALS)

There has been some debate as to whether the ETF industry is in need of a wave of contraction or continued expansion. It seems most likely that both are in the forecast. The impressive success of many of the new products launched in 2010, as well as the promising funds expected to debut in 2011, indicates that there are clearly still some stones unturned. Still, some of the products launched in recent years that have failed to generate significant interest will likely fall off in coming years, as the ETF industry undergoes an accelerated evolutionary process.

Disclosure: No positions at time of writing.

Click here to read the original article on ETFdb.com.

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See Also:

• Five Unusual Ways To Play The China Boom With ETFs
• Isn't It Obvious Now What's Happening In Gold And Silver?
• The Double Leveraged Vix ETN Is The Industry's Latest Bizarre Concoction

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什么时候开始套期保值是个重大问题，也是套保的一个难点，实际选择的好坏直接影响到套期保值的绩效，套期保值的实际选择实际上是对沪深300指数的趋势的判断，其中涉及宏观面，政策以及自己和技术指标上的综合考虑

2 确定被套保资产的组合范围，套保期限以及期货合约的选择

通过对持有资产进行分析，可以对整个资产组合或者对资产组合进行部分的套保。

第二个是时间的选择，根据实际的走势进行判断，什么时候后进行套保，套保开始以后持续多少时间

考虑到流动性和到期日效应，我们应该采取单月合同和展期的策略，同时要注意基差对套保本身的影响

3 套保资产的beta值的稳定性分析 cusumsq

一般来说，beta是不稳定的，波动程度对套保的设计很重要，要对现货资产的beta进行研究，beta变化到一定的值后应该对套保头寸进行调整

4 确定套保模型并计算最优套保比率

5 去稳定建仓的方向和头寸

6 Beta值的监控，根据市场值进行动态调整

7 套保绩效的评估，对套期保值进行评价的标准

风险最小化

效用函数最大化

8 现金管理策略

保证金交易和逐日盯死制度，对期货头寸和保证金进行规划和管理，注意预留保证金

9 展期管理

合约接近时，或者套保合约出现较大的不利变化的时候，选择展期，展期的操作

10 套保结束

结束条件，套保建立在对未来市场走势判断基础上做出提前平仓或者到期交割的决定，控制整个风险

如果投资者出现逆转，可以提前平仓或者结束套期保值。

合约到期，对合约进行交割清算，完成套保

11 套保评估，对整个套保过程中的事件进行总结，对投资者的决策进行分析，出具完成套保报告

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两大软肋

基金公司在专户市场推出所谓“对冲基金”的热情正日渐高涨，但对于运作该类产品的准备是否充足，多数公司选择了“视而不见”。

事实上，应客户需求而生的所谓“对冲基金”，在实际运作中并未真正实现“对冲”。以某“一对一”产品为例，成立后在股指期货市场一共只下过两单，为控制风险便不再涉足股指期货；而打出股指期货套利牌的某“一对多”产品，成立至今也不过在股指期货市场下过四五单，蜻蜓点水般的操作自然对产品业绩无法造成影响。

“造成这种现象的根本原因，是自去年开始，“一对多“专户产品在销售上遇到的巨大压力。”某基金公司专户总监告诉中国证券报记者，“产品同质化和平均业绩的不尽如人意，加上券商集合理财等多种竞争对手产品大量发行的冲击，“一对多“专户如果不能在产品设计上有所创新，很难销售出去。所以，一旦有了新的创意，大家就一窝蜂地模仿了。”

该专户总监同时指出，对于基金业而言，有两大软肋制约其在股指期货套利策略上的拓展。一是人才。尽管基金公司去年招兵买马，引进了不少期货界投资专家，但很快他们发现，这些期货投资专家对A股不甚了解，完全无法实现基金公司利用股指期货和A股波动进行套利操作的预期。二是股指期货套利策略中最重要的模型。虽然许多基金公司都宣称自己建立了完美的套利模型，但基本上都是根据过去某一年或者几年的市场变化设计，在波动性很大的A股市场，其未来的有效性无法验证，从而隐藏着巨大的投资风险。

正是考虑两大软肋的存在，该专户总监所在的基金公司几经论证，最终放弃了对潮流的跟风，尽管这将在公司未来“一对多”产品营销上造成巨大压力。为此，该基金公司已经将“一对多”业务今年的发展定位为巩固现有的客户上。

需求仍旺

尽管基金业在运作所谓“对冲基金”上存在软肋，但来自客户的旺盛需求，依然推动他们不断推出该类产品。

以某基金公司为例，尽管其未主动推出包含股指期货投资策略的专户产品，但却有“一对一”的客户主动提出，要求他们为自己量身定做该类产品，并对股指期货套利的收益率抱有很大期望。无奈之下，该公司专户团队不得已设计了一款包括股指期货投资的“一对一”产品。

“在与客户的接触中我们常常发现，尽管他们知道股指期货投资风险很高，但他们的兴趣依然十分浓厚。尤其是国外对冲基金频频制造暴利的神话，让他们很期待中国也能推出这样一款产品。”某专户经理表示，“其实，这些客户并不了解股指期货套利的规则，他们往往把它想象成一个很容易谋取超额收益的方法。”

套利从来不是多数人能赚大钱的地方，你看到那些叫唤着套利的东西，只是披着一个新的概念的投机产品的。

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• 阿尔法策略，套利已经不是热点了(0)
• 两种办法得到股指期货一分钟分时数据(0)
• 股指期货(0)

source:

http://www.cmegroup.com/education/files/Algo_Trading_Update_Q4.pdf

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大家说美国赚多少钱，多有钱，看看平均工资就知道了，个人的感觉是这30年就基本没上去过，好消息是，人家不上去，生活倒是更加安定了，稳定压倒一切啊。4W的平均，在NY也就刚刚能活，在乡下，活得很滋润，套用现在流行的，他们的幸福感很高。

没去找数据，这个是百度的数，来源未知。

呃，GDP比我们工资长得快，重点是：我们那个是人民币啊。（虽然升值很快）

过几年会突然发现，我们的平均收入一下子上了一个台阶（美元计价），只是别忘了从中间减去我们币种升值的影响力。

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大家上午好！很感谢大会给我这个机会，让台湾的业者在今天给大家报告一点经验，作为台股指数出台已经有十六年了，在台湾期货业有期货经纪商、CTM业务，也有期货基金等等，这样的经验规模虽然不是特别的庞大，但是我想可以作为华人地区的先导。我想允许各位给我二十多分钟的时间报告一下经验。

我本人担任期货业务员上来的，做过期货经理实业，还有期货公司的老总，还有策划一些期货方面的业务，在这样的经验里，斗胆在这里给各位做一个报告。

做报告之前，4月份的时候，4月初的第一个礼拜，我从北京到深圳，到广州和上海，总共拜访了12家国内的基金公司，数量总监、营销总监等等做了交流，为什么？因为这些期货公司很紧张，股指期货要出台了了，吴先生要帮我们跑一趟，告诉我们股指期货的出台对我们有什么影响。

很巧的时候，是两件事情“蒙”到了。会有股价差和套利等等，沪深300的现货，会走大多头，我跟期货公司的投资总监们聊，就台湾期货的情况来说，在初期是比较难的，不幸的是一言中的了。不错，是有人在做套利，但是拉动沪深300并不是一开始就能够有的现象。下一个现象，是预测到了国内的商品会一次到位，我认为这样的一次到位的精神也会呈现在中金所的现象上，一开始最流行的就是多频交易，几乎我们的流仓量和交易量的比重就看到了这样的现象。也成就了我今天站在这里的机会。

有两个基本的假设，两岸的华人的投资机构和股市的投资者有同样的机会的话，我在这里分享一点台湾地区的经验，就有了价值。

我的报告时间只有30分钟，如果是报告不详细的，下午还有一个分组座谈的部分。我首先是报告一下台湾CTA的演进，人才的培养，操作实践的实战。

我想期货分析师是很重要的基础，我想告诉大家有四个方向可以发展，是职业规划里面可以往前走的。一个是像李会长和罗会长都说到的，一个是做投资咨询，这是台湾的期货顾问业，第二个是做期货经理，在内地是CTA还称之。第三个是期货自营商来发展，在台湾是期货市场里面最大的玩家，第四个可以往台湾目前成立的期货基金，成为期货基金的操盘人和经理人，今天在这里，我们的期货分析师的论坛，一届届的办下去累计的人才，在未来的规划可以有四个方向可以走。这是很重要的。台湾的经验在这里跟各位分享一下：

第一，CTA的演进。我个人考察了内地的分析师的证照，两方面的考规很相近，但是也有区别，1993年内地的期货市场很混乱，我认为内地的期货法规主要是在严防操纵，严防自营操纵，而台湾的法规主要是对于投资人的保护，每个收益都要有选票，每个选票都要有声音，是为投资者服务。在台湾最重视的就是客户纠纷，就是非法代操。这个发展的趋势里面，有一个市场的使命，法规的结构和市场的发展，另外还有产业的分析，CTA的分析在台湾也遇到了瓶颈，希望可以提前有一个借鉴。

如果是营业员非常代售会有三年的徒刑，如果是没有拿到CTA的证照就开始营业，这家经营者会被判刑7年，还有相应的罚金等等。如果你要做CTA的交易决定人，应该要取得期货交易分析员的资格，我刚才跟各位做交流的时候，我也在思考，在台湾这是要考试的，考试的难度是台湾金融业里面最难的证照，就是期货分析师的证照，我刚才带来了一个考题，这个考题的难度不亚于FIR的难度。还有一个一推倒式等等数学式方面都是很难的，并且是台湾考试规格最高的，希望国内也可以以此为期许。至少是需要三年以上的期货资格，每年的期货工会是委托一个专门的考试机构。

（PPT图示）这是刚刚我画好的图，与台湾用的图不同，要让投资人在CTA的帮助下开户，要以他的名义到期货商开期交所的户口，在台湾以客户的名义开户，不会有现在的阳光私募说是因为信托平台还不能在期交所开户，因为银交所有意见的时候，刚才报告当中是说已经放开了，那么下一轮的证交所还会更火。因为保管银行是一个监督人，所以CTA你要跟客户约定好，并不是你想操作什么就操作什么，保管银行最重要的就是风险管理，等一下我会不断的提到风险管理的部分，这是CTA里面最需要培养的部分。CTA人才并不是获利最大化，而是满足客户风险最小的需求最大化。可以往期货基金和私募对冲基金发展，可以代操现货和期货，可以帮助抛资产的人做资产管理，帮助机构的法人做套期保值的部分。另外，在台湾很重要的是CTA会发展成为设计衍生性的产品提供给客户，这部分的商品的概念很重要的。在人才的培养过程当中，我再次的强调，风险管理与商品化的概念，这是未来CTA培养很重要的两个概念。

这是台湾目前为止的CTA的资产发展规模的情况。在2007年我担任的公司里面，是占了这当中三分之一的总额，最重要的客户是来自于高资产端甚至是银行端的客户。这个概念是什么？因为银行端的客户的钱才会摆得比较久一点，所需要的报酬是其中一部分的报酬，这是恒定在一个状态下，而并不会高高低低的状态。雷曼兄弟倒闭之后，台湾的这部分投资人不见了，这并不是因为有风险，大家把钱交给期货，反而是大家把资金都收缩起来了，所以对于资产管理这一块的影响很大。

第二个影响，这段时间里面的人才开始跑掉了，移走了。所以人才培养是相当重要的，CTA这个行当里面，没有人才，就没有这个产业。

还有一些投资条件的限制，希望未来内地也可以一次到位，不要重蹈覆辙。既然你爱交易什么就交易什么，但是你交给CTA的时候，你的有价证券海外的部分只能做短线，做30的，第二个部分，做台湾的一定要比做国外的多两倍。这是保护台湾交易所的概念，这是希望你做多一定，在新加坡和其他的地方做少一点。

现在的CTA在台湾可以投资做现货、有价证券，可以做到40的，大陆地区的总期货可以做到10。所以路是开好了，我们现在还在想怎么开路的问题。如果你是自然人，你想怎么做就怎么做，但是你委托给CTA之后，反而受到了这些限制，会影响到你商品的创新。这是CTA的几个问题。

另外，还有市场的演变，一个最重要的问题，CTA的人才，讲一讲激励，大部分CTA人才都是从自营商走过来了，从分析师跑到自营商，到了自营商之后发现有CTA这个产业之后，大部分是从自营商转到CTA这个产业当中来，因为发现自营的话，就是跟我的老板分钱，CTA是跟客户和公司分完钱之后，公司拿到的钱再来跟操盘人来分钱。如果你是操盘分钱是20%，而在台湾就可以拿到15%，这是总资产的10%左右。如果是代操CTA的话，这就是4个，大概是25个可以给操盘的人，就剩下了一个。人才就开始大量的移动，因为觉得算得不太对，人才的培养是有特殊性，列另外还有跟自营的操盘不一样。老板是证券人士，是期货商，允许你有风险的承受，在风险的状况下可以有利益的最大化，激励制度也是这样，超越多，赚得越多。而CTA这里就是客户要风险和报酬，如果是达不到他的目标之一的时候，我们曾经的经验，帮助客户是半年赚了30左右，就马上的解约赎回了，这是基于他自己风险的考量，这跟自营的人才是不一样的。慢慢的台湾的CTA从独立的构思，变到了期货公司里面的监理，这是未来可以思考的部分。另外是最大的人才库的竞争就是期信公司，如果一个CTA人才出来的话，考虑的就是给了我一个基金，比我5000万的自营收益也要好，所以大家就往期货基金来移动了。一档就是50亿的新台币，也是相当于10亿多的人民币一档了。所以就有大量的人才往这个方向去移动，这个CTA的产业就遇到了瓶颈。我呼吁CTA在台湾的经验，如果是应用在国内的话，最重要最重要的就是人才。

人才最早是怎么来的？就是营业员就地在代操，由于营业员都是单干的，是没有一个团队合作的概念，都是跟客户直接拆分的概念。自营的交易员往往会听自己的，不听客户的。CTA最重要的就是听客户，客户要什么，想什么，开始觉得自己的人才回流了，都跑到期货基金去了，高手就开始出走了，就变成了自营和营业员开始培训了，期货公司把期货研究所拉进来一起培训，分析师和研究所里面的人才开始整合，开始走向一个标准化的需求。

因为客户的需求是各式各样的，自营的客户就是老板，就是帮自己赚到客户。而CTA不同，每个CTA公司有自己的风格，有标准化的商品设计出来。台湾最流行的就是程序交易，不管是自营商还是CTA，还是期货公司，六个操盘里面有6个是IT人员，这是今后的趋势，作为期货分析师的价值就是对于市场的调研和基本功。你会发现，很大一部分都是来自于IT的工程师。

业务、交易、研究和风控是四大人才的要件。第一个是设定你的课程，你的课程设定在哪里这一点很重要，每家要有自己的风格，不同的课程，要有不同的销售渠道，是走像基金一样的渠道，还是走直销的渠道，还是走证券的通路，还是走机构法人避险的渠道？

第二个就是交易的部分，思考要很客观、冷静，下单和执行要精准。在研究的部分，这可能是个人比较偏激的观点，我认为研究方面是两种人才，统计数量人才和IT人才，就是这两种人才的部分，特别是这部分人才，我想两岸的华人和年轻人都有这方面的实力，都要走进国际来竞争。

第三个就是研究和风控，风控是研究标的的风控，是帮投资者来做一个投资品的组合，可能是每个投资的风险都不一样，风险模型不一样，是帮助客户组装到很精致的部分，这是帮助客户做的。

在研究和风控的部分，研究部分是商品设计相当的重要，实践的部分，建议各位对模型和参数的跟踪非常的重要，这决定了能不能满足客户的需求。

这里是风控与前台、后台怎么做。我这里介绍一点自己的心得介绍给大家。我月初到期货公司做报告的时候，我发觉很多做商品期货的高管和主管对股市里面的很多东西需要再补充的，另外还有除权除息、波动率转折、外资套保、到期结算、期权卖方、开盘收盘、程序交易、价差套利、高频快单的效应等等。这是对于分析师在股指分析的时候非常重要的，每天这些指数都在台湾期货市场在发生。

台湾的程序交易的交易量在不断的上涨，到2009年全部的集中到高频交易当中去了。CEO这张图大家都看到过了，CTA在推广的时候，每个客户都会收到这个报告。在商品设计里面，高盛说对冲的交易大概是有以上的这些，各位看到2008年，MCA全球的指数是跌了42个点，所以基金疯涨，我认为这是合理的。CTA里面可以做的，期货基金可以做的商品里面，这些是属于中立型的对冲交易，可以看到保险收益率，表现得相当不错。我们看到的基金经理人比较有兴趣的是看到这个报酬率也非常不错。另外，提供给各位一个思路，大家的团队可以往哪个交易的模型思考，可以往哪些方向去思考？在台湾也个选择权交易，可以做期货交易，套期保值交易，在内地讲的是套期保值的交易，而在台湾是讲价差的交易。

这些是我在一个团队里面，你要从风险管理和技术应用，还有组织结构和设定的目标，都必须要设定这些技术门槛的部分。我想有机会大家再互相分享。最后跟各位报告一下，一个测试的结果，这是一个实证。我公司之前是一家期货公司，与另外一家公司合并之后，我们报告的是城市交易和单冲的交易的结果， 黑色的这条线是台湾的大盘指数的值，这是基金经理人最感兴趣的一张图，这是投资组合放进来，可以出现负的关系，这张图里面，可以发现往效益前沿左上方移动，这是非常好的财务工程的概念。很重要的就是必须先要做好这方面的分析，才知道你程序的参与度是什么样的程度，还有跳出了你过往测试的参数的时候，你才知道有没有备用的程序和人才，来重新组合和取代，否则你的绩效就要开始往下衰落了。

最后的两张图做一个结束。在台湾的风格是熟悉客人的风险属性，熟悉了客人的风险属性在哪里的时候，要先做好测试的投资风险和报酬，让客户看他是不是满意，满意之后才会授权你操作，授权之后就是保管银行天天监督你，定期的检查你的绩效，定期的更换你的操盘人和操盘程序等等，这么多的步骤，可以跟着客户设定的总的预算这是保底的地方。这是帮客户代班的最重要的区别，这就是量身订做这个事情是很重要的，每年每月每日每周都要注意这些参数有没有波动。这是一家有公布绩效， 绩效公布制度要不要公布出来，要不要像阳光私募和公募的绩效呢？要公示的时候，你就要有丰厚的绩效了，否则就会公示之后做对比了。你一旦公告之后，在台湾就永远要公告了，你要把自己所有的客户分门别类的分别做公告，这是透明化的结果。

我最后报告一下，不要说CTA是期货代操，而是CTA是开创期货资产管理的，观念的正确，才能够有系统的培育正确的人才，而并不是就地的把营业员的代班或者是代操的行为就地合法化，那么对于人才的冲击和人才的折伤会有很大的影响。最后就是风险管理最优先，这是CTA产业可长可久人才可持续培育发展的最重要的要件。

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• 你需要什么样的CTA？(Z)(0)
• 算法交易与CTA完美结合(Z)(0)

疑问是，我们要面对的是下一战争末？

click for larger chart

Source:
Popular Delusions: How to make America’s fiscal problems disappear: be more like Chile!
Dylan Grice
Société Générale Institutional Research

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好像是一个关于周期性的产品，回头再看吧，还没看明白怎么选的

E-System Portfolio Brochure

The Alpha E-System Portfolio is designed for investors seeking a long-term, systematic approach to risk management. The primary objective of this program is to avoid large losses, which can cost investors years of compounding, not to mention the stress of coping with the uncertainties of recovery. This is particularly important to investors in retirement and just before retirement, when investments are needed for income for life.

The secondary objective of this portfolio is to achieve gains every year, which, over time, will be high enough to offset the effects of inflation and taxes, providing a meaningful real rate of return. This program is intended to provide income investors with a growing income stream sufficient to maintain and grow their standard of living over the years.

The primary strategy of the portfolio is to have exposure to the stock market during very restricted time periods when the risk of loss is low. This strategy depends primarily on the regularities of the four-year presidential election cycle.

Election cycle theory asserts that politics has a profound affect on the stock market. The cycle is defined as follows:

With dividends included, the Dow Jones Industrial Average has been up 100% of the time in the pre-election year (year 3) since 1933, averaging a return of nearly 21%.

Our theory is that the market anticipates the business-friendly behavior of the dominant political party leading up to the presidential election. Politicians know that the surest way to be turned out of office is to preside over a recession or what is perceived to be a poor economic climate. As Bill Clinton so masterfully put it: "It's the economy, stupid!"

Most major bear markets since World War II have been contained in years one and two of the four-year cycle. The first three quarters of year two are particularly dangerous. The second and third quarters have lost 4000 Dow points since 1902; 3500 Dow points in the third quarter alone.

The market tends to recover in the fourth quarter of year two. Since 1902, this quarter has added 2800 Dow points. Since 1953, it is the best quarter in the cycle, averaging a gain of 8.1% plus dividends. Combined with the pre-election year (year three), this quarter creates a 15-month period of consistent and exceptional gains historically. Since 1933, the Dow Industrials have been up 100% of the time during this period, with dividends included, averaging a total return of about 29%.

Alpha's E-System portfolio adopts a fully-invested position in the market during this 15-month period, which we call the market's "sweet spot". Our portfolio is equally divided between the S&P 500 and NASDAQ 100. We use the NASDAQ 100 because its performance during the "sweet spot" has been exceptional and because it provides us with exposure to the top technology companies in the U.S.

Over the past 20 years, the five sweet spots alone, invested as described above, without interest earned in the intervening months, returned 11.5% annually. All five were positive. The Dow Industrials averaged a return of 9.9% over the same period. The bottom line: this simple strategy beat the market over a 20-year period while being invested in stocks just one-third of the time. Moreover, the 20-year period included one of the greatest bull market decades of all time - the 1990's.

The E-System Portfolio also exploits the market's tendency to generate consistently higher returns in late-November, around Thanksgiving, and in late-December, around Christmas. In the fourth quarters not contained in the market's sweet spot (Q4 of the election year, Q4 of the post-election year), we hold money market funds and make two holiday trades using the Russell 2000 small-cap index. These trades total 16 days - the last 6 days of November through the third trading day of December, and the last seven days of December. Since 1979, these two trades have averaged a return of nearly 5%, with a 90% win rate.

The remaining nine quarters are invested in short to intermediate bonds. The asset allocation over the complete four-year election cycle, then, looks like this:

Alpha E-System Model Portofolio
Quarterly Allocation

Details on this strategy are provided in Alpha's research paper "The E-System:  How to Exploit the Hidden Bull Market", by Dr. Arthur J. Minton (2009).

Disclosure: Past performance is not a guarantee of future performance. The E-System Portfolio strategy uses a precise asset allocation formula that utilizes the S&P 500 index, the NASDAQ 100 index, and the Russell 2000 index, and a combination of two PIMCO fixed-income funds.

The S&P 500, the NASDAQ 100 and the Russell 2000 are indexes which cannot be used in actual investing. Alpha accounts use index funds that replicate the S&P 500, the NASDAQ 100 and the Russell 2000 but which may vary from the index returns. The presentation also utilizes PIMCO funds during periods when the model is invested in fixed-income. During these periods, the portfolio is equally allocated between the PIMCO Low Duration Fund and the PIMCO Total Return Fund.

The data presented do not take into consideration fees, expenses or trading costs. This strategy may be executed using variable annuity company products which may increase the total expense factor. In some cases, the expense factor will remain unaffected due to lower management fees from Alpha. These expense factors cannot be quantified in advance. Potential investors should inquire as to the exact additional costs of these investment venues.

Model results, being hypothetical, have inherent limitations due to the fact that they do not reflect actual trading and may not reflect the impact that material economic and market factors might have had on the advisor's decision-making if actual client funds had been invested in the model strategy. No matter how positive the model returns have been over any time period, the potential for loss is always present due to factors in the future which may not be accounted for in the model. Please see full disclosure on the model portfolio performance page.

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