An equity wash is a contractual provision in a stable value investment option that requires any transfer a participant makes from the stable value investment option to a competing option (for example, a money market fund or a short-term bond fund) to first be directed to any other investment option not designated as a competing option for a period of time, usually 90 days. This provision is designed to reduce any arbitrage incentive and disruptive cash flows, thereby protecting the participants and the returns of the stable value investment option over the long term.
啥意思? 晕...作者: tianfangye 时间: 2015-9-22 18:42
本帖最后由 tianfangye 于 2015-9-22 18:53 编辑
没经历过。 似乎是投资管理行会限制客户转移账户资金的一个霸王条款。无论如何，90天后做什么都可以。
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Anthony Luna, vice president and portfolio manager for T. Rowe Price Associates, said his firm generally defines competing funds as fixed-income products with a duration of three years or less. However, he noted, some wrap providers also put certain asset-allocation products under the competing-fund umbrella. These can include target-date funds and balanced funds, but typically only when they have a large allocation to fixed-income assets—perhaps 75 or 80 percent of the portfolio—and when the duration of that part of the portfolio is less than three years. “Most of our contracts also view self-directed brokerage accounts as a competing fund,” he added.
Jennifer Gilmore, head of stable value portfolio management for Invesco Advisors Inc., said her firm’s definition of a competing fund is similar to the one Luna spelled out. She added that self-directed brokerage accounts are the investment option that most often prompts discussions with wrap providers over whether they should be placed in the competing-fund category. “We have to look at the specifics over every plan’s self-directed brokerage window,” she said, explaining that her firm typically allows no more than 25 percent of plan assets to be allocated to that investment option.
Christopher Pellegrino, a portfolio analyst for Transamerica Stable Value Solutions, and Tim Grove, vice president of markets-product risk for Prudential Financial, said their definitions of competing funds are similar to those used by T. Rowe Price and Invesco, too. Grove noted, though, that his firm sometimes classifies Treasury Inflation-Protected Securities, or TIPS, funds as competing funds, too, assuming they have a short duration. Most do not, he conceded, although he said duration is not the only factor his firm considers.
“When we think about TIPS funds, we also think about how it’s communicated to plan participants,” he said. “What does the fact sheet say? How does it describe the fund’s objective? Will it be a safe alternative to stable value, even if there might be some underlying characteristics that could cause fluctuation? How is the participant going to view it? We’ve seen similar funds described differently, and how participants see it can be important.”
Grove also conceded that the stable value industry has not reached a consensus on whether to treat self-directed brokerage windows as competing funds. His firm does. “It’s the access they have to money market funds underneath that’s the issue,” he said.
Gilmore said the arbitrage risk embedded in brokerage windows should be a concern to every plan sponsor as they seek to protect the interests of their plan participants, particularly those invested in stable value. Often, she said, it is the most sophisticated plan participants who are most likely to use brokerage windows and who are, perhaps, most likely to spot and act on arbitrage opportunities. “Overall, plan sponsors understand,” she said. “They just want (any restrictions on the use of competing funds) to be workable. They have to be restrictions their record-keeper can implement, and that they can communicate clearly to participants.”
Luna added that as a stable value manager, it’s easier for him to justify competing-fund restrictions to plan sponsors when those restrictions are workable. “If I don’t believe in what you’re telling me and you’re putting me in front of a client, typically the conversation doesn’t go well,” he said. By way of example, he said it would be difficult for him to defend a request to classify a TIPS fund with a 9-year duration as a competing fund. “Some sponsors are fairly sophisticated investors; they might run their own bond portfolios,” he explained. “When you try to tell them a long-duration TIPS fund is a competing fund, they’re not buying it.”
Gilmore noted that plan sponsors are sensitive to competing-fund restrictions, especially when the fund in question has been in a sponsor’s plan for some time without any restrictions. “Every time a new fund is declared competing, that’s another event requiring the sponsor to go in front of a committee and explain it,” she said. “And they’re making more of these trips, on many different subjects.”
“We can help by being more consistent on definitions of competing funds,” seconded Grove.
Bradie Barr, senior vice president-marketing for Transamerica Stable Value Solutions and moderator of the panel discussion, asked if there were risk mitigation tools that might be more palatable to plan sponsors and plan participants than an equity wash. Gilmore was not sure. “A lot of plan sponsors are used to the equity wash now,” she said. “We did some brainstorming internally and a lot of the alternatives we brought up were more restrictive than an equity wash. We had started thinking about trading restrictions when market value is below book value for stable value funds, or imposing some type of fee for going to a competing option. But I think those just create more complications and concerns. So I do not know that there’s an easy answer to the question.”作者: angela_c 时间: 2015-9-22 20:10
应该是 你的401k 如果在 money market 或者其他fixed income mutual fund
里面的holding 如果主要是 Treasury bill, treasury bond, TIPS ,或者corporate bond
mature in less than 3 to 5 years(duration is short)
90 天内不能转到另一个mutual fund with similar holdings
有些 asset allocation fund 比如 说是 target 2020 退休的 ,也应该是差不多的
这种也很大比例fixed income positions作者: not4weak 时间: 2015-9-22 20:20
保护原基金价值，防止客户频繁套利交易
“This provision is designed to reduce any arbitrage incentive and disruptive cash flows, thereby protecting the participants and the returns of the stable value investment option over the long term.”作者: angela_c 时间: 2015-9-22 21:07
fixed income trading 和 equity trading 很不一样，好多都还是手工，
我猜是
第一 order size 都很大
第二 特定的issues就那么多，你一个大单下去，容易arbitrage
总体上交易成本高。作者: not4weak 时间: 2015-9-22 21:25
