债券之王格罗斯管理ETF是内行

    太平洋投资管理公司（PIMCO）创始人比尔•格罗斯在考虑了数年之后，才投身交易所交易基金（ETF）业务领域。或许，当初他并没有意识到自己会在这一行干得有声有色。

    自从2012年3月份推出以来，格罗斯旗下的PIMCO总回报ETF（Total Return ETF）已经实现了5.9%的年化投资回报率，这大约是PIMCO总回报共同基金（Total Return mutual fund）年化投资回报率的两倍，而很长时间以来，PIMCO总回报共同基金一直是世界上最受欢迎的基金之一，而且是PIMCO总回报ETF旨在效仿的一只基金。

    对此有几种可能的解释。其一，出于某种原因，格罗斯就是更加擅长管理一支ETF中的债券，而不是一支共同基金中的债券。谁知道呢？另一种可能性是，格罗斯一直在采用某种不光彩的手段。而美国证券交易委员会（Securities and Exchange Commission，简称SEC）担心的似乎正是后一种可能。

    据《华尔街日报》（The Wall Street Journal）报道，SEC正在调查PIMCO是否人为抬高了这只ETF投资组合中债券的价格，以此推高旗下新产品的投资业绩。就在PIMCO推出这支ETF的时间前后，这支ETF的交易员们买入了一批抵押债券，以及其他“零星”（也就是小额发行的）债券。与其他证券相比，这些债券较难交易，因此PIMCO的ETF能够以较低价格买入。《华尔街日报》报道说，PIMCO为这批债券支付了48万美元，而这批债券最终会偿还50万美元，外加利息。

    PIMCO在买入之后，便立刻聘请了一位外部顾问来评估这些债券的应有价值。当时这位外部顾问表示，这些债券价值50万美元。毕竟，该基金在招募说明书摘要上列出的对应价值就是这个数字。于是，PIMCO立即把这些债券的价值增记为50万美元，从而瞬时获利2万美元，尽管它明知，出售这些债券最多仅可套现48万美元。这就是他们刚刚支付的价格。

    为什么让一位外部顾问——而不是交易员——来对这些债券进行估价呢？别忘了，交易员每天都在买入和卖出债券。他们应该很清楚这些债券价值多少。

    虽然这听起来合乎逻辑，但华尔街在过去让交易员给投资组合和投资进行估价的做法曾经出现过问题。交易员在他们的交易账簿上增记投资价值，以此来掩盖他们的亏损，这种做法由来已久。还记得摩根大通（J.P. Morgan）那位绰号为“伦敦鲸”（London Whale）的交易员吗？

    因此，华尔街现在都把这项任务交给外部顾问来完成——这听起来是个更加可靠的做法，但实际上有时会让监管机构感到担忧。

    据《华尔街日报》报道，PIMCO之所以能够折价买入那些债券，是因为这些债券的流动性很差。这些债券本身没有任何问题。借方仍在按时偿付。只要你一直持有这些债券，你最终很可能会兑现50万美元。这些债券只是很难交易，因为它们的数量过于零星。

    要想解决这个流动性很差的问题，一个办法是把它们组合到——比如说——一支ETF之中。而这正是PIMCO采用的办法。现在，你就可以很容易地买入和卖出这些债券的部分。不过，既然它们易于交易，为什么它们不应该按照它们原本应该具有的价值——50万美元——来进行估价呢？

    更大的问题在于，ETF正在迅速发展，而且变得越来越复杂。ETF看起来很像是股票或债券，或者任何一种普通投资者通常会把钱投放在其中的金融产品。但事实并非如此。ETF属于金融衍生品，是为了跟踪其他证券的投资表现而构建起来的投资产品。但ETF并非总是能够准确反映出它所追踪的证券的表现。大多数情况下，ETF的投资表现会比它们应该复制其表现的金融产品略差一些。ETF的表现偶尔也会超过这些金融产品的表现。不过这种情况很少见，这也是有些人对ETF持怀疑态度的原因所在。

    几年前，当PIMCO迟迟没有推出这支ETF基金的时候，有些人认为这与信息披露问题有关。共同基金会在每月报告各自的持仓情况以及投资业绩。但ETF必须每天报告这些信息。当时人们以为格罗斯没有兴趣让所有人都知道他每天在进行什么交易。

    但真正的问题也可能是格罗斯了解ETF。当时他掌管着全球最大的共同基金，该基金旗下管理的资产规模超过2,000亿美元，而他不希望任何基金能与其相媲美，即便是自家公司旗下的另一支基金。或许，格罗斯不想推出一支ETF的原因正是因为他知道自己“非常”擅于管理ETF，而这最终会给他带来麻烦。现在的结果就是这样。

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

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

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

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

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

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

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

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

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

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

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

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

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