アクティブ運用型のＥＴＦがアメリカでデビューする

ＥＴＦが新しい時代に入ろうとしています。
これまでＥＴＦは専らＳ＆Ｐ５００とか日経２２５のような指数に基づき、それを忠実にトレースするような商品設計でした。言い換えればパッシブ（＝インデックス）運用だったわけです。
今回、初めてアクティブ運用型のＥＴＦを出す会社はグレイル・アドバイザーズという会社です。グレイル・アドバイザーズは金融サービスのインベストメント・バンキングに特化していたパットナム・ロヴェルという証券会社の創業者、ドナルド・パットナムが興した会社です。

今回ローンチされる「グレイル・アメリカン・ビーコン・ラージ・キャップ・ヴァリュー・ＥＴＦ（ＧＶＴ）」はテキサスのアメリカン・ビーコン・アドバイザーズがサブアドバイザーを務め、実際のファンドの運用はブランディーワイン、ホッチキス・ワイリー、メトロポリタン・ウエスト・キャピタルという３つの運用会社に任されます。このうちブランディーワインとホッチキス・ワイリーは割と有名な運用会社です。

ＥＴＦがアメリカの運用業界にすっかり定着して以来、いつかはこの日（＝つまりアクティブ運用の世界にもＥＴＦの手法が援用されるということ）が来るとは思っていましたが、意外に早かったなという気がします。

ＳＥＣは既に２００１年頃からこのような展開に備えてアクティブ運用型ＥＴＦに関する公聴会（パブリック・オピニオン・ヒアリング）を持っています。以下は少し古いのですが２００５年にＳＥＣのサイトにＵＰされたコンセプト・リリースをコピペします。アクティブ運用型ＥＴＦの持つ問題点、議論を詰めるべき要点が簡潔にサマライズされていると思います。

僕が重要だと思う部分には簡単な訳を添えておきます。

SEC Concept Release:Actively Managed Exchange-Traded Funds
SECURITIES AND EXCHANGE COMMISSION
17 CFR Part 270
[Release No. IC-25258; File No. S7-20-01]
RIN 3235-AI35
Actively Managed Exchange-Traded Funds
Agency: Securities and Exchange Commission ("Commission").
Action: Concept release; request for comments.
Summary: The Commission is seeking comment on various issues relating to actively managed exchange-traded funds ("ETFs"). All existing ETFs are based on various equity market indices. An actively managed ETF would not track an index. This type of ETF currently does not exist, and the Commission is interested in public comments on this concept to help inform the Commission's consideration of any proposals for actively managed ETFs.

（中略）

III. The Concept of an Actively Managed ETF
As noted above, market participants are interested in developing an "actively managed ETF" - an ETF with an actively managed portfolio that does not seek to replicate the performance of any particular market index.

証券関係者の中には「アクティブ運用型ＥＴＦ」を開発したいという声がある。「アクティブ運用型ＥＴＦ」というのは株価指数をなぞることを意図しないＥＴＦのことである。

Like existing ETFs, an actively managed ETF would be registered under the Act (as an open-end fund rather than a UIT, because a UIT cannot be managed) and would issue and redeem its shares only in Creation Units.

「アクティブ運用型ＥＴＦ」も既存のＥＴＦ同様、クリエイション・ユニットを通じて株式を発行したり償還したりする。

The ETF would list its shares on a national securities exchange, and investors would trade the ETF shares throughout the day at market prices in the secondary market. As with index-based ETFs, the ability to buy and redeem Creation Units at NAV would present arbitrage opportunities if the market price of the individual ETF shares deviated from NAV.


既存のＥＴＦ同様、「アクティブ運用型ＥＴＦ」も日中取引所にて売買され、ＮＡＶ（純資産）と、場でついている株価の誤差を利用したアービトラージを現株とクリエイション・ユニットのやりとりで実現しようとするものである。

Despite these general similarities, there may be significant structural and operational differences between the two types of products.31 For example, it is not clear whether an actively managed ETF would propose to inform investors of the contents of its portfolio in the same manner as index-based ETFs (through the daily announcement of the Portfolio Deposit and Redemption Basket).

このような類似性にもかかわらず既存のＥＴＦと「アクティブ運用型ＥＴＦ」との間には重要な構造上の違いがある。例えば「アクティブ運用型ＥＴＦ」がそのポートフォリオの銘柄構成をどう一般投資家に公表するかは不透明である。


32 Because the portfolio of an actively managed ETF likely would change more frequently and in less foreseeable ways than the portfolio of an index-based ETF, it is not clear how or whether an actively managed ETF would propose to communicate intra-day changes to investors.

「アクティブ運用型ＥＴＦ」は既存のＥＴＦより頻繁にポートフォリオの入れ替えが行われる可能性があるが、その場合、ザラバでポートフォリオの変更があった場合、それをどう投資家に伝えるかは明白ではない。

33 This potential for less transparency in the portfolio holdings of an actively managed ETF may make the process of creating and redeeming Creation Units more difficult or present greater investment risk for arbitrageurs. As a result, an actively managed ETF could have a less efficient arbitrage mechanism than index-based ETFs, which could lead to more significant premiums or discounts in the market price of its shares.

このような問題は現株とクリエイション・ユニット間でのアービトラージをやりにくくする危険性がある。アービトラージがやりにくくなるとＮＡＶと場でついているＥＴＦの価格との乖離が広がる可能性がある。

In addition to potential operational differences, an actively managed ETF may not have the same uses and benefits as those associated with index-based ETFs. As described above, many of the uses of existing ETFs, particularly for institutional investors, relate to the fact that ETF shares serve as a proxy for an index, which would not be the case for ETF shares of actively managed ETFs. In addition, an actively managed ETF may have greater turnover in its portfolio securities, which could result in higher expenses and less tax efficiency than index-based ETFs.34
We need to consider carefully whether actively managed ETFs are in the public interest and consistent with the protection of investors and the purposes of the Act before we grant the relief necessary to allow for the introduction of these products. To facilitate this process, we are seeking public comment on a wide range of issues posed by the possible introduction of actively managed ETFs. In addition to the specific questions outlined in the following sections, we seek comment on these broad issues:

How are actively managed ETFs likely to be structured, managed and operated?
How will investors use, and benefit from, actively managed ETFs?
Would the exemptive relief that the Commission has granted to index-based ETFs be appropriate for actively managed ETFs?
Are there any new regulatory concerns that might arise in connection with actively managed ETFs?

IV. Areas for Comment
A. Index-Based ETFs vs. Actively Managed ETFs
For purposes of this release, we have assumed that any ETF that would not seek to track the performance of a market index by either replicating or sampling the index securities in its portfolio would be an actively managed ETF. Thus, actively managed ETFs would include, for example, an ETF that seeks to achieve a multiple (or the reverse) of the performance of a market index. Actively managed ETFs also would include any ETF that, although it may be using a market index as a benchmark for measuring its performance, pursues an investment objective that is not tied to the index.
Is this an appropriate way to distinguish between index-based and actively managed ETFs? Are there any reasons to distinguish between different types of actively managed ETFs? If there are different types of actively managed ETFs, are there any reasons to regulate the various types differently?

B. Operational Issues Relating to Actively Managed ETFs
The unique structure of an ETF - in which investors can buy and redeem Creation Units at NAV, and can sell and purchase individual ETF shares in the secondary market at market price - is designed, among other things, to ensure arbitrage opportunities that would reduce any deviations between the NAV and the market price of ETF shares.

The expectation that the market price of ETF shares would track NAV (and the performance of an index) is important to many of the uses of ETF shares as index-based securities. An ETF also is thought to offer advantages over a closed-end fund structure in which discounts from NAV are common. The existing ETFs, as a general matter, have not experienced significant deviations between the NAV and the market price of their ETF shares.35
Is it important that ETFs be designed to enable arbitrage and thereby minimize the probability that ETF shares will trade at a large premium or discount? In considering whether to grant the exemptive relief necessary to permit actively managed ETFs, should we be concerned about whether their shares will trade at a significant premium or discount?
It appears that two factors may contribute significantly to the effectiveness of arbitrage in the ETF structure - the transparency of an ETF's portfolio and the liquidity of the securities in the ETF's portfolio.

1. Transparency of an ETF's Portfolio
Existing ETFs generally create and redeem Creation Units through in-kind transactions.

既存のＥＴＦではクリエイション・ユニットの組成や償還は所謂、インカインド・トランスアクションによって行われる。（これが「アクティブ運用型ＥＴＦ」ではできにくいのではないか？）

At the beginning of each day, the investment adviser or sponsor of the ETF makes available the identities of the securities in the Portfolio Deposit and the Redemption Basket (generally through the National Securities Clearing Corporation, a clearing agency that effects the sales and redemptions of Creation Units for many ETFs). These baskets generally reflect the contents of the portfolio of the ETF on that day and do not change during the day.36 In addition, the listing exchange makes available the current value of the Portfolio Deposit on a per ETF share basis at 15 second intervals throughout the day and disseminates intra-day values of the relevant index. This high degree of transparency in the investment operations of an ETF helps arbitrageurs determine whether to purchase or redeem Creation Units based on the relative values of the ETF shares in the secondary market and the securities contained in the ETF's portfolio.
What level of transparency in portfolio holdings is necessary to allow for effective arbitrage activity in the shares of an actively managed ETF? Should an actively managed ETF be required to disclose the full contents of its portfolio? Is it sufficient for an actively managed ETF to disclose only a sample of its portfolio or the general characteristics of its portfolio? Can effective arbitrage occur without any disclosure of the specific securities in an ETF's portfolio (i.e., arbitrage that is based strictly on the NAV and market price of ETF shares)?
How frequently would the investment adviser of an actively managed ETF need to disclose the portfolio securities or characteristics of the ETF portfolio? Would an investment adviser need to disclose intra-day changes in the portfolio of an actively managed ETF? Would there be a need to permit or require the specified Portfolio Deposit or Redemption Basket to change during the day to reflect changes in the ETF's portfolio? If so, what type of notice would be necessary to inform investors of any changes to the Portfolio Deposit or Redemption Basket in the course of a day? Are intra-day values of the Portfolio Deposit meaningful to investors if investors do not know the contents of the ETF portfolio?

Would frequent disclosure of portfolio holdings lead to "front running" of the ETF portfolio, where other investors would trade ahead of the ETF and the Creation Unit purchasers who must assemble Portfolio Deposits?

「アクティブ運用型ＥＴＦ」がポートフォリオの変更を頻繁に発表すると、所謂、「フロント・ランニング」と呼ばれる行為を助長するのではないか？

37 Would frequent disclosure of portfolio holdings lead to "free riding," where other investors would mirror the investment strategies of an actively managed ETF while the ETF investors pay the advisory fees?

「アクティブ運用型ＥＴＦ」が人気化した場合、そのようなファンドを真似することで利する、所謂、「フリー・ライダー（タダ乗り）」が登場するのではないか？

Would an investment adviser to an actively managed ETF face a conflict between maximizing performance and facilitating arbitrage by informing the marketplace of the adviser's investment strategies (e.g., would there be a reluctance on the part of a portfolio manager to make frequent adjustments in the portfolio because of the possible impact on the arbitrage mechanism)?

「アクティブ運用型ＥＴＦ」の運用担当者がパフォーマンスを取るか、それともアービトラージをやりやすくする配慮を取るかの間で二者択一を迫られたりするのではないか？

（以下略）