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Chikaro
2021-02-18

Index funds don’t buy IPOs but here’s why they should<blockquote>指数基金不购买首次公开募股，但这就是为什么它们应该购买</blockquote>

How indexed mutual funds and ETFs can capture the powerful gains when a company goes public The U.S.

Index funds don’t buy IPOs but here’s why they should<blockquote>指数基金不购买首次公开募股，但这就是为什么它们应该购买</blockquote>

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{"i18n":{"language":"zh_CN"},"data":{"magic":2,"id":384069161,"tweetId":"384069161","gmtCreate":1613588100753,"gmtModify":1634553036157,"author":{"id":3575426348363377,"idStr":"3575426348363377","authorId":3575426348363377,"authorIdStr":"3575426348363377","name":"Chikaro","avatar":"https://static.laohu8.com/default-avatar.jpg","vip":1,"userType":1,"introduction":"","boolIsFan":false,"boolIsHead":false,"crmLevel":11,"crmLevelSwitch":0,"individualDisplayBadges":[],"fanSize":0,"starInvestorFlag":false},"themes":[],"images":[],"coverImages":[],"extraTitle":"","html":"<html><head></head><body>Ok</body></html>","htmlText":"<html><head></head><body>Ok</body></html>","text":"Ok","highlighted":1,"essential":1,"paper":1,"likeSize":0,"commentSize":0,"repostSize":0,"favoriteSize":0,"link":"https://laohu8.com/post/384069161","repostId":1195476575,"repostType":4,"repost":{"id":"1195476575","kind":"news","pubTimestamp":1613555269,"share":"https://www.laohu8.com/m/news/1195476575?lang=zh_CN&edition=full","pubTime":"2021-02-17 17:47","market":"us","language":"en","title":"Index funds don’t buy IPOs but here’s why they should<blockquote>指数基金不购买首次公开募股，但这就是为什么它们应该购买</blockquote>","url":"https://stock-news.laohu8.com/highlight/detail?id=1195476575","media":"MarketWatch","summary":"How indexed mutual funds and ETFs can capture the powerful gains when a company goes public\nThe U.S.","content":"How indexed mutual funds and ETFs can capture the powerful gains when a company goes public<blockquote>指数共同基金和ETF如何在公司上市时获取强劲收益</blockquote> The U.S. market for IPOs (initial public offerings) was red hot in 2020.&nbsp; Excluding special purpose acquisition vehicles, U.S. IPOs last year raised $83 billion in gross proceeds.&nbsp; The prices of these IPOs jumped during the initial day of trading by 36% on average.<blockquote>2020年，美国IPO（首次公开募股）市场非常火爆。不包括特殊目的收购工具，去年美国IPO筹集了830亿美元的总收益。这些IPO的价格在交易首日平均上涨了36%。</blockquote> Despite these high returns, index funds — including mutual funds and exchange-traded funds — almost never bought IPOs at their initial offering price.&nbsp; 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.<blockquote>尽管有这些高回报，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。相反，指数基金等到IPO股票被添加到相关指数的日期附近才购买IPO股票——通常是在IPO后六个月至一年内的季度末。</blockquote> 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.&nbsp; For example, the price of Tesla&nbsp;spiked once it became likely that the company would be added to the S&amp;P500.<blockquote>然而，随着任何IPO指数纳入日期的临近，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> 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.&nbsp; Then, I make a path-breaking proposal — allowing any index fund that tracks the Russell 1000 Index&nbsp;to meet these concerns by early buying of IPOs if, and only if, they are large relative to the size of the index.<blockquote>在这篇文章中，我概述了2010年至2018年关于IPO高初始回报的数据，以及阻碍指数基金在IPO被纳入指数之前购买IPO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早期购买IPO来满足这些担忧，当且仅当IPO相对于指数规模较大时。</blockquote> Like many other studies,the study that I co-authored with two experts on indexing&nbsp;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.&nbsp; 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.<blockquote>与许多其他研究一样，我与两位指数专家合著的研究发现，IPO股价在交易的第一天就有很高的回报。在第一个交易日之后，该研究通过一种称为指数调整表现（IAP）的衡量标准评估了IPO回报，即证券的总回报与指数从交易第一天的收盘价到随后任何一天的收盘价的总回报之间的差额。例如，正的IAP表明，从第一个交易日收盘到IPO被纳入相关指数之日，IPO的表现优于指数。</blockquote> 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.&nbsp; Of these 932 IPOs, 115 were included in the Russell 1000 within the first six months of trading.<blockquote>该研究计算了2010年1月至2018年12月9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> 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.&nbsp; The Russell 1000 contains the top 1000 publicly traded U.S. companies according to market capitalization.&nbsp; IPOs are considered for inclusion at the end of each quarter, strictly based on their market capitalization.<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指数包含了按市值排名前1000的美国公开交易公司。严格根据其市值，IPO在每个季度末被考虑纳入。</blockquote> The first-day return for these 115 IPOs was highly positive — 22% on average with a median gain of 10%. &nbsp;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.<blockquote>这115家IPO的首日回报率非常高——平均为22%，中位数为10%。同样，研究发现了罗素1000指数中这115家IPO的IAP，发现了积极的趋势——IPO和指数纳入日期之间的平均IAP为6.89%，中位数为5.24%。</blockquote> Both of these trends show that index funds could generate excess return by buying IPOs before they are added to the index.&nbsp; The greatest return could be realized by buying IPOs at the initial offering price and holding them through the index inclusion date.&nbsp; 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.<blockquote>这两种趋势都表明，指数基金可以通过在IPO被纳入指数之前购买IPO来产生超额回报。最大的回报可以通过以初始发行价购买IPO并持有至指数纳入日来实现。指数基金也可以通过在IPO首日交易后购买IPO并持有至指数纳入日来实现显著的超额回报。</blockquote> Risks in the returns<blockquote>回报中的风险</blockquote> Index funds would face several risks associated with such early purchases of IPOs.<blockquote>指数基金将面临与这种早期购买IPO相关的几个风险。</blockquote> First, and most importantly, no one knows which IPOs will be added to the index at the time of the IPO.&nbsp; An index fund might purchase an IPO stock that doesn’t get added to the index.&nbsp; 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.<blockquote>首先，也是最重要的一点，没有人知道哪些IPO会在IPO时被添加到指数中。指数基金可能会购买没有被添加到指数中的IPO股票。在这种情况下，该基金将不得不出售IPO股票，可能会亏本出售。IPO股票的价格将会下跌，因为当该股票被添加到指数中时，不再需要其他指数基金购买该股票。</blockquote> 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.&nbsp;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.<blockquote>第二个担忧是，指数基金在IPO中不会获得足够大的配置来反映该股在指数中的未来地位——例如，当一家受欢迎的科技公司上市时。即便如此，指数基金仍然可以通过在IPO后的第二天购买更多此类股票并持有该股票直到其被纳入指数来产生超额回报。</blockquote> 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.&nbsp; Tracking error occurs when the returns on an index fund portfolio differ materially from those of the index it is benchmarked against.&nbsp; But investors would probably not be overly concerned if the fund beat the index it was designed to track.<blockquote>第三，由于指数基金将持有不包括在指数中的股票——至少在几个月内——该基金将经历跟踪误差。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。但如果该基金跑赢了它旨在跟踪的指数，投资者可能不会过度担心。</blockquote> 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.<blockquote>当然，这种指数基金的招股说明书必须明确，它将在首次公开募股和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纳入指数之前购买所涉及的风险。</blockquote> 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. &nbsp; 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.<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IPO在罗素1000指数中的预期权重相对较大的情况下才应该购买IPO。预期权重等于IPO筹集的总收益除以指数中自由交易股票的总流通量。由于罗素1000指数由市值排名前1000的美国公司组成，IPO相对于该指数的规模越大，IPO被加入该指数的可能性就越大。</blockquote> This strategy could be adapted to varying risk tolerances of index funds by adjusting the size threshold for early purchases of an IPO.&nbsp; 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.&nbsp; In a more aggressive strategy, by contrast, the size threshold for buying IPOs would be lower.<blockquote>这种策略可以通过调整早期购买IPO的规模阈值来适应指数基金不同的风险承受能力。在保守策略中，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的规模阈值会更低。</blockquote> 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%)<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，进取为0.50个基点。（一个基点等于1%的1/100）</blockquote> 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.<blockquote>下表总结的结果表明，在2010年至2018年期间，该策略将成功产生超额回报，而不会产生重大风险。</blockquote> 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%.&nbsp; 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%.<blockquote>例如，在保守策略下本应在此期间购买的最大IPO 100%在前六个月内被纳入指数，并产生了15%以上的超额回报。在激进策略下，本应在此期间购买的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> <img src=\"https://static.tigerbbs.com/0fc52461985f7a3ca10fac53ba2ccf05\" tg-width=\"1260\" tg-height=\"476\"><blockquote></blockquote> 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.<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IPO随后不会被纳入该指数的风险不大，但该策略的超额回报超过了风险。</blockquote> 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.&nbsp;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&amp;P 500, where stocks included are chosen by a committee.<blockquote>我不建议任何指数基金使用这种策略来购买通过将私人公司与特殊收购工具合并而实现的IPO。我也不建议任何基于其他指数的指数基金采用这种策略，因为这些指数很难预测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>","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>指数基金不购买首次公开募股，但这就是为什么它们应该购买</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; 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}\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>指数基金不购买首次公开募股，但这就是为什么它们应该购买</blockquote>\n</h2>\n<h4 class=\"meta\">\n\nMarketWatch2021-02-17 17:47\n\n</h4>\n</header>\n<article>\nHow indexed mutual funds and ETFs can capture the powerful gains when a company goes public<blockquote>指数共同基金和ETF如何在公司上市时获取强劲收益</blockquote> The U.S. market for IPOs (initial public offerings) was red hot in 2020.&nbsp; Excluding special purpose acquisition vehicles, U.S. IPOs last year raised $83 billion in gross proceeds.&nbsp; The prices of these IPOs jumped during the initial day of trading by 36% on average.<blockquote>2020年，美国IPO（首次公开募股）市场非常火爆。不包括特殊目的收购工具，去年美国IPO筹集了830亿美元的总收益。这些IPO的价格在交易首日平均上涨了36%。</blockquote> Despite these high returns, index funds — including mutual funds and exchange-traded funds — almost never bought IPOs at their initial offering price.&nbsp; 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.<blockquote>尽管有这些高回报，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。相反，指数基金等到IPO股票被添加到相关指数的日期附近才购买IPO股票——通常是在IPO后六个月至一年内的季度末。</blockquote> 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.&nbsp; For example, the price of Tesla&nbsp;spiked once it became likely that the company would be added to the S&amp;P500.<blockquote>然而，随着任何IPO指数纳入日期的临近，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> 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.&nbsp; Then, I make a path-breaking proposal — allowing any index fund that tracks the Russell 1000 Index&nbsp;to meet these concerns by early buying of IPOs if, and only if, they are large relative to the size of the index.<blockquote>在这篇文章中，我概述了2010年至2018年关于IPO高初始回报的数据，以及阻碍指数基金在IPO被纳入指数之前购买IPO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早期购买IPO来满足这些担忧，当且仅当IPO相对于指数规模较大时。</blockquote> Like many other studies,the study that I co-authored with two experts on indexing&nbsp;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.&nbsp; 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.<blockquote>与许多其他研究一样，我与两位指数专家合著的研究发现，IPO股价在交易的第一天就有很高的回报。在第一个交易日之后，该研究通过一种称为指数调整表现（IAP）的衡量标准评估了IPO回报，即证券的总回报与指数从交易第一天的收盘价到随后任何一天的收盘价的总回报之间的差额。例如，正的IAP表明，从第一个交易日收盘到IPO被纳入相关指数之日，IPO的表现优于指数。</blockquote> 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.&nbsp; Of these 932 IPOs, 115 were included in the Russell 1000 within the first six months of trading.<blockquote>该研究计算了2010年1月至2018年12月9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> 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.&nbsp; The Russell 1000 contains the top 1000 publicly traded U.S. companies according to market capitalization.&nbsp; IPOs are considered for inclusion at the end of each quarter, strictly based on their market capitalization.<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指数包含了按市值排名前1000的美国公开交易公司。严格根据其市值，IPO在每个季度末被考虑纳入。</blockquote> The first-day return for these 115 IPOs was highly positive — 22% on average with a median gain of 10%. &nbsp;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.<blockquote>这115家IPO的首日回报率非常高——平均为22%，中位数为10%。同样，研究发现了罗素1000指数中这115家IPO的IAP，发现了积极的趋势——IPO和指数纳入日期之间的平均IAP为6.89%，中位数为5.24%。</blockquote> Both of these trends show that index funds could generate excess return by buying IPOs before they are added to the index.&nbsp; The greatest return could be realized by buying IPOs at the initial offering price and holding them through the index inclusion date.&nbsp; 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.<blockquote>这两种趋势都表明，指数基金可以通过在IPO被纳入指数之前购买IPO来产生超额回报。最大的回报可以通过以初始发行价购买IPO并持有至指数纳入日来实现。指数基金也可以通过在IPO首日交易后购买IPO并持有至指数纳入日来实现显著的超额回报。</blockquote> Risks in the returns<blockquote>回报中的风险</blockquote> Index funds would face several risks associated with such early purchases of IPOs.<blockquote>指数基金将面临与这种早期购买IPO相关的几个风险。</blockquote> First, and most importantly, no one knows which IPOs will be added to the index at the time of the IPO.&nbsp; An index fund might purchase an IPO stock that doesn’t get added to the index.&nbsp; 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.<blockquote>首先，也是最重要的一点，没有人知道哪些IPO会在IPO时被添加到指数中。指数基金可能会购买没有被添加到指数中的IPO股票。在这种情况下，该基金将不得不出售IPO股票，可能会亏本出售。IPO股票的价格将会下跌，因为当该股票被添加到指数中时，不再需要其他指数基金购买该股票。</blockquote> 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.&nbsp;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.<blockquote>第二个担忧是，指数基金在IPO中不会获得足够大的配置来反映该股在指数中的未来地位——例如，当一家受欢迎的科技公司上市时。即便如此，指数基金仍然可以通过在IPO后的第二天购买更多此类股票并持有该股票直到其被纳入指数来产生超额回报。</blockquote> 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.&nbsp; Tracking error occurs when the returns on an index fund portfolio differ materially from those of the index it is benchmarked against.&nbsp; But investors would probably not be overly concerned if the fund beat the index it was designed to track.<blockquote>第三，由于指数基金将持有不包括在指数中的股票——至少在几个月内——该基金将经历跟踪误差。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。但如果该基金跑赢了它旨在跟踪的指数，投资者可能不会过度担心。</blockquote> 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.<blockquote>当然，这种指数基金的招股说明书必须明确，它将在首次公开募股和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纳入指数之前购买所涉及的风险。</blockquote> 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. &nbsp; 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.<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IPO在罗素1000指数中的预期权重相对较大的情况下才应该购买IPO。预期权重等于IPO筹集的总收益除以指数中自由交易股票的总流通量。由于罗素1000指数由市值排名前1000的美国公司组成，IPO相对于该指数的规模越大，IPO被加入该指数的可能性就越大。</blockquote> This strategy could be adapted to varying risk tolerances of index funds by adjusting the size threshold for early purchases of an IPO.&nbsp; 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.&nbsp; In a more aggressive strategy, by contrast, the size threshold for buying IPOs would be lower.<blockquote>这种策略可以通过调整早期购买IPO的规模阈值来适应指数基金不同的风险承受能力。在保守策略中，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的规模阈值会更低。</blockquote> 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%)<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，进取为0.50个基点。（一个基点等于1%的1/100）</blockquote> 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.<blockquote>下表总结的结果表明，在2010年至2018年期间，该策略将成功产生超额回报，而不会产生重大风险。</blockquote> 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%.&nbsp; 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%.<blockquote>例如，在保守策略下本应在此期间购买的最大IPO 100%在前六个月内被纳入指数，并产生了15%以上的超额回报。在激进策略下，本应在此期间购买的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> <img src=\"https://static.tigerbbs.com/0fc52461985f7a3ca10fac53ba2ccf05\" tg-width=\"1260\" tg-height=\"476\"><blockquote></blockquote> 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.<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IPO随后不会被纳入该指数的风险不大，但该策略的超额回报超过了风险。</blockquote> 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.&nbsp;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&amp;P 500, where stocks included are chosen by a committee.<blockquote>我不建议任何指数基金使用这种策略来购买通过将私人公司与特殊收购工具合并而实现的IPO。我也不建议任何基于其他指数的指数基金采用这种策略，因为这些指数很难预测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>\n<div class=\"bt-text\">\n\n\n 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>\n为提升您的阅读体验，我们对本页面进行了排版优化\n\n\n</div>\n</article>\n</div>\n</body>\n</html>\n","type":0,"thumbnail":"","relate_stocks":{".IXIC":"NASDAQ Composite",".DJI":"道琼斯",".SPX":"S&P 500 Index"},"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":{".IXIC":0.9,".DJI":0.9,".SPX":0.9}},"isVote":1,"tweetType":1,"viewCount":1028,"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":2,"xxTargetLangEnum":"ORIG"},"commentList":[],"hasMoreComment":false,"orderType":2}