指数以及基金和顾问如何使用它们：入门（pdf）

J A NUA RY 2021 Contents 1Introduction 5Background Information on Indexes 5Overview of the Index Market6Common Features of Indexes7Contractual Relationships Between Index Providers and Fund Complexes8Creation of New Indexes 11How Funds, Advisers, and Others Use Indexes 11Performance Assessment13Other Regulatory Purposes15Portfolio Construction, Management, and Investment Policies16Multi-Asset Class Portfolio Construction 17Conclusion 18Appendix: Descriptions of Three Prominent Indexes 18S&P 50019MSCI ACWI20Bloomberg Barclays US Aggregate Bond Index The Investment Company Institute (ICI) is the leading association representing regulated funds globally, including mutualfunds, exchange-traded funds (ETFs), closed-end funds, and unit investment trusts (UITs) in the United States, and similarfunds offered to investors in jurisdictions worldwide. ICI seeks to encourage adherence to high ethical standards, promotepublic understanding, and otherwise advance the interests of funds, their shareholders, directors, and advisers. ICI’s membersmanage total assets of US$27.7 trillion in the United States, serving more than 100 million US shareholders, and US$8.3 trillionin assets in other jurisdictions. ICI carries out its international work through ICI Global, with offices in London, Hong Kong, andWashington, DC. Copyright © 2021 by the Investment Company Institute. All rights reserved. Indexes and How Funds and AdvisersUse Them: A Primer Introduction Indexes are an important part of the investment landscape in the United States and abroad,due to regulation, investment practice, and investor preference. Various media outlets provideample evidence of this impact, as they routinely report daily “market” performance by quotingthe performance of the best-known indexes, such as the S&P 500. One of the oldest US marketindexes is the Dow Jones Industrial Average, launched in 1896 to serve as a proxy for theperformance of the US stock market.1 Generally speaking, an index is a portfolio of assets designed to measure the performance ofa particular financial market (e.g., a stock, bond, or commodity market) or subset of it. Indexeshave proliferated over the years—one recent survey indicates that over 3 million currentlyexist—and are varied in their objectives, methodologies, and underlying investment exposures.Investors cannot invest directly in indexes, but they can obtain similar investment exposuresand returns through investments that seek to track index performance, such as index funds(i.e., funds that seek to track the performance of their target indexes). An index provider may create and administer thousands of separate indexes. The largest indexproviders—FTSE Russell, MSCI, and S&P Dow Jones—are third parties unaffiliated with funds oradvisers. An index may serve as a benchmark against which to evaluate a fund’s or an investmentadviser’s performance. Funds, advisers, investors, and others (including fund boards) use indexesin this way, partly because regulators may require such comparisons (in the United States, theSEC requires registered investment companies to compare their performance to a “broad-basedsecurities market index” in certain regulatory documents) and partly because they otherwisevalue such comparisons. As the asset management industry has grown and its products havebecome more specialized in response to investor demand—consider, for instance, the growth ofindex-related products and environmental, social, and governance (ESG) investing—the numberand variety of indexes have more than kept pace. But indexes are not merely performance measurement tools for funds. They serve otherregulatory purposes—for instance, they figure prominently in the SEC rule governing funds’use of derivatives. Indexes also influence funds’ portfolio construction and management andinvestment policies. While this influence is most significant and obvious for index funds, indexesalso affect other fund types, including actively managed funds, in different ways and to varyingdegrees (e.g., for performance and risk attribution). Indexes also influence multi-asset classportfolio construction, both inside and outside funds. Indexes and index providers are not regulated as such in the United States and most otherjurisdictions, although the EU’s European Benchmark Regulation (BMR) regulates the provisionand use of benchmark indexes.2And the International Organization of Securities Commissions(IOSCO) released recommended practices for benchmark administrators to implement in 2013.3 Recently, however, policymakers and others have taken greater interest in indexes, indexproviders, and how funds and investment advisers use indexes. For instance: »In December 2019, the SEC’s Division of Investment Management Director Dalia Blasshighlighted risks associated with indexes with significant exposure to emerging andfrontier markets—including the reliability of index data, index construction, and indexcomputation—and funds that track tho