By Hull J
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Extra resources for Options, Futures & Other Derivatives
Example text
However, asset growth is not likely to be as dependable in the future for the Vanguard 500. Dollar inflows equal to the inflows the Vanguard 500 has experienced in the past will have a smaller impact as the fund grows. The historic growth rate of the fund seems unsustainable at its current size and in an increasingly competitive fund environment.
Depending on how finely someone wants to break down markets or asset classes, there might be anywhere between 2 and 20 markets or asset classes to spread investments over. Unless someone defines asset allocation to include selection of specific securities, asset allocation is a framework for risk management, not a list of specific investment positions. 3 I am not suggesting that asset allocation is unimportant, but the notion that it is more than 90 percent of the solution to a very complex problem is patently absurd.
In making this adjustment, I assumed that the SPDR had no losses or gains during that quarter other than an increase in net assets and unrealized appreciation from the rising market in the final quarter of 2004. 5 The striking difference between the funds is that the SPDR investor is protected from a capital gains distribution by unrealized losses while the Vanguard 500 shareholder eventually faces capital gains distributions if accumulated gains have to be realized. Vanguard’s response to the vaunted tax efficiency of ETFs has been that conventional funds have the ability to realize losses in the fund to offset gains that might be realized on stocks sold at a profit.