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发表于 2016-4-3 04:09 AM
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let's ask what forces really make SPY and SPX move together as much as they do. It's one thing to say "SPY is tied to SPX," but how? There are several answers to this, but I'll argue that the most important factor is that there's a notion of "authorized participants" who are players in the market who can "create" shares of SPY at will. They do this by accumulating stock in the constituent companies and turning them into the market maker. There's also the corresponding notion of "redemption" by which an authorized participant will turn in a share of SPY to get stock in the constituent companies. (See http://www.spdrsmobile.com/conte ... reated-and-redeemed and http://www.etf.com/etf-education ... tion-mechanism.html)
Meanwhile, SPX is just computed from the prices of the constituent companies, so it's got no market forces directly on it. It just reflects what the prices of the companies in the index are doing. (Of course those companies are subject to market forces.)
Key point: Creation / redemption is the real driver for keeping the price aligned. If it gets too far out of line, then it creates an arbitrage opportunity for an authorized participant. If the price of SPY gets "too high" compared to SPX (and therefore the constituent stocks), an authorized participant can simultaneously sell short SPY shares and buy the constituent companies' stocks. They can then use the redemption process to close their position at no risk. And vice versa if SPY gets "too low."
Now that we understand why they move together, why don't they move together perfectly. To some extent information about fees, slight differences in composition between SPY and SPX over time, etc. do play. The bigger reasons are probably that (a) there are not a lot of authorized participants, (b) there are a relatively large number of companies represented in SPY, so there's some actual cost and risk involved in trying to quickly buy/sell the full set to capture the theoretical arbitrage that I described, and (c) redemption / creation units only come in pretty big blocks, which complicates the issues under point b.
The dividend on SPY is (more or less) passing on the dividends from the constituent companies. But each company pays on its own schedule and SPY does not make a payment every time, so it's holding a corresponding amount of cash between its dividend payments.
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狗仔卡
发表于 2016-3-27 02:31 AM
