誰是下一次金融危機的推手

The next financial crisis will be played out in indexes and exchange traded funds. That is inevitable given the huge share that ETFs now take of investor fund flows, and their popularity as hedge fund trading vehicles.

下一場金融危機將在指數和交易所交易基金(ETF)領域上演。這是不可避免的，因爲目前它們在投資者的資金流動中佔有巨大份額，同時它們作爲對衝基金交易工具很受歡迎。

What is less clear, and deeply controversial, is whether the structure of ETFs will itself contribute to the next crisis, or even cause it. Regulators, worried by past incidents when untested financial innovations helped exacerbate financial crises, are worried that it could.

不太清楚、爭議程度很高的是，ETF的結構本身是否將對下一場危機起到推波助瀾的作用、甚至引發危機。監管機構擔心，這是有可能的：未經過考驗的金融創新在過去就曾加劇了金融危機。

ETF providers indignantly counter that they make the market more liquid, and less prone to sudden stops. Indeed, they complain that well-intentioned regulations exacerbate a problem they were meant to cure.

ETF提供商憤慨地反駁稱，他們增加了市場流動性，降低了市場突然停擺的可能性。他們抱怨稱，實際上，是那些出於好意的監管規定加劇了它們本應解決的問題。

The scale of the ETF industry is not in question. They now hold more than $3tn in assets. But this raises the question of whether they have come to lead the market rather than follow it. This operates at two levels. First, there is a concern that the power of the indexes distorts markets over time, and second, there is the possibility that the structure of ETFs and index funds worsens market shocks when they happen.

ETF行業的規模不是問題。目前ETF掌管的資產規模高於3萬億美元。但這引出了這樣一個問題，即ETF是否已開始引領市場、而非跟隨市場。質疑來自兩個層面。首先，人們擔心，指數的力量會隨着時間推移扭曲市場。其次，在市場發生危機時，ETF和指數基金的結構可能會加劇危機程度。

Indexes’ influence spreads to virtually all institutionally managed funds. Benchmarking by the consultants on whom institutions rely when choosing fund managers is so widespread, that active managers have no choice but to watch the index they are compared to very closely, and are obliged to follow any major changes in its composition.

指數影響到幾乎所有機構管理基金。機構選擇基金經理時依賴顧問的意見，而顧問對基金經理進行標杆比較(Benchmarking)的做法十分普遍，結果主動性基金經理只能非常密切地跟蹤被拿來與自己比較的指數，並且被迫跟隨該指數成分股的任何重大變化調整自己的投資組合。

Examples are easy to come by. When the Russell indices — highly popular among US fund managers — are updated each year, they often drive the heaviest trading of the year. In June this year, Chinese A-shares peaked and began to fall shortly after MSCI, the most important index provider for emerging markets, decided to delay including them in its flagship index. This came as a surprise. Showing the importance of indexers, Chinese authorities had lobbied hard for inclusion, as this would have driven capital into the A-shares market. Many investors at the time said that the subsequent sell-off could in part be attributed to the knock to confidence that came with MSCI’s decision.

例子很容易找到。當在美國基金經理中特別受歡迎的羅素(Russell)指數每年更新成分股時，經常會帶出年內最密集的交易。去年6月，當對新興市場而言最重要的指數提供商MSCI明晟決定暫緩把中國A股納入其旗艦指數之後，中國A股很快就見頂並開始下跌。這當時讓人感到意外。說明了指數提供商重要性的是，中國當局之前一直努力遊說，希望MSCI明晟同意納入A股，因爲那將推動資金流入A股市場。當時，許多投資者表示，隨後的拋售可能部分是因爲MSCI明晟的決定導致市場信心受損。

Indexers do their best to limit their impact on the market. Russell makes its methodology very public, so investors can see weeks in advance what changes are likely to its indices. MSCI conducts public consultations.

指數提供商儘量降低他們對市場的影響。羅素完全公開了其指數編制方法，所以投資者可以提前數週看到其指數可能發生的變化。

But while indexing and benchmarking remain so prevalent, the problem of overpowerful indexes seems impossible to avoid. It can merely be mitigated. For passive investors, rules for indexes must remain as clear as possible. For active managers, the solution may be to change benchmarking. Rather than looking at past performance, which does not predict the future, consultants could look at investors’ past behaviour, or rate them on their degree of style discipline. If clients show that they are more interested in highly concentrated funds taking contrarian positions, and not in funds that merely shadow an index, then the industry would adjust to meet the demand, and the systemic problems caused by indexes should reduce.

但是，在指數編制和標杆比較仍很盛行之際，指數過於強大的問題似乎難以避免，只能儘量減輕。對於被動投資者而言，指數編制規則必須保持儘可能透明。對於主動型經理而言，解決辦法或許是改變標杆比較方法。顧問們可以不再考察基金經理的過往業績（過去的業績不代表未來），而是考察投資者的過往行爲，也就是根據其風格的一貫性爲其打分。如果客戶表明，他們更感興趣的是與市場反向持倉、高度有的放矢的基金，而不是僅僅複製指數的基金，那麼行業將進行調整以滿足此需求，指數引發的系統性問題也就應該會減輕。

Then there is the issue of market structure. Two incidents in 2015 raised concern. First, there was August 24, when US share prices gapped downwards at the opening in New York, and ETF prices were not available for a while. Second, in December, a gradual sell-off in high-yield bonds turned into a rout for ETFs holding high-yield bonds.

接着還有市場結構的問題。2015年的兩起事件引發了擔憂。第一件發生在8月24日，紐約股市開盤時，股價跳空下跌，一段時間內ETF的價格無法生成。第二件發生在12月，一場逐漸升級的高收益債券拋售潮導致持有高收益債券的ETF大幅下跌。

Was this due to liquidity mismatches? It is a fair question. ETFs only offer prices throughout the trading day because market makers trade to ensure that there is no gap between the market price and the underlying price of the securities in the index they track, so this has to be a risk — especially when, as in the case of high-yield bonds, the underlying security is fundamentally less liquid.

這種局面是流動性錯配導致的嗎？這是一個合情合理的問題。ETF僅在整個交易日內提供價格，因爲做市商進行交易，以確保他們所跟蹤指數中的證券的市場價格和基礎價格之間沒有落差，那麼這必然造成一種風險，尤其是當標的證券根本就流動性不足的時候（就像是高收益債券的情況那樣）。

There are two theories. One, held by the industry, is that the problems were driven if anything by regulations. Mandatory trading pauses following the 2010 “flash crash” made it harder for ETF managers to get a handle on the underlying price of their securities, and created problems. The other theory: there is indeed a mismatch.

對此存在兩種觀點。一個是行業的觀點，認爲問題是由監管導致的（如果說存在原因的話）。在2010年的“閃電崩盤”(flash crash)之後，交易被強行暫停，導致ETF經理更難掌握其證券的基礎價格，引發了問題。另一種觀點認爲，流動性錯配確實存在。

Debate is healthy. The echoes of credit derivatives, which in 2008 helped to turn a serious housing downturn into a near-collapse of the world financial system, are clear enough. Without a major market disruption — and 2015’s turbulence barely ranks compared with the events of 2008 — it is hard to test whether new financial instruments will work as intended when under stress. Better for everyone, including ETF providers, to err on the side of caution.

辯論是有益的。2008年，一場嚴重的住房市場下跌之所以差點兒導致世界金融系統崩潰，就是因爲信貸衍生品的推波助瀾。信貸衍生品敲響的警鐘仍清晰可聞。如果不發生一次重大的市場紊亂（2015年的動盪跟2008年的市況相比幾乎算不上動盪）,我們很難驗證新的金融工具在壓力之下能否正常運轉。對於包括ETF提供商在內的所有人而言，寧願失之過於謹慎，也不要掉以輕心。