Dotcom era warning for index funds and ETFs amid great tech sell-off
科技股动荡背后的被动押注与价格扭曲
If value investors have been on the rack in recent times, their experience has stemmed, at least in part,
from inadequate exposure to Faang stocks — the fabled Facebook, Amazon, Apple, Netflix and
Google/Alphabet.
如果说价值型投资者一段时间以来痛苦万分，那么这种体验至少在一定程度上源于他们对
Faang 股票的敞口不足——Faang 是指 Facebook、亚马逊(Amazon)、苹果(Apple)、Netflix 和谷
歌(Google)/Alphabet。
Since last Thursday’s spectacular $120bn fall in Facebook’s market capitalisation, we have witnessed
a great tech sell-off that may point to a watershed in the value versus passive investment saga. Yet by
now, as in the tech bubble of the late 1990s, many value investors (who buy stocks because they are
cheap compared with their fundamentals) have thrown in the towel and bought into the Faangs. So is
this a rerun of the dotcom story?
自上周四 Facebook 市值惊人地蒸发 1200 亿美元以来，我们目睹了一场大规模的科技股抛售，
这可能预示着价值型与被动型投资对垒故事中的一道分水岭。但如今，就像上世纪 90 年代末
的科技泡沫一样，许多价值型投资者（他们购买股票的原因是股价与基本面相比很便宜）投降
了，买入了 Faang 股票。那么，这是互联网股热潮的重演吗?
Yes and no. Certainly a tired bull market has increasingly been driven by an ever shrinking pool of
tech stocks, which bears some similarity to events at the turn of the millennium.
是，也不是。当然，牛市力度减弱越来越是由于不断缩水的科技股造成的。这与世纪之交的行
情有些相似。
It is also true that many fund managers with a value focus have again felt obliged to switch to a
momentum approach to hang on to footloose clients.
的确，许多专注于价值的基金管理公司再次感到有必要转向一种动能策略，来留住随心所欲的
客户。
And, as in the late 1990s, indexed funds have been forced buyers of overpriced tech stocks. In
indices weighted according to market value, net inflows into passive portfolios result in the share of
overvalued stocks in the index increasing in a rising market and potentially declining in a falling one.
与 1990 年代末一样，指数型基金也被迫买入了价格过高的科技股。在按市值加权的指数中，
被动型投资组合的资金净流入导致那些估值过高的股票在指数中所占的比例，在市场上涨时会
上升，在市场下跌时可能下降。
Yet the Faang phenomenon is very different from the dotcom equivalent, which was accompanied by
a great deal of dross — a welter of companies with no earnings, puffed by unscrupulous, conflicted
analysts and prone to collapse at the first gust in a market squall. Today’s tech boom is powered by
big companies with strong revenue streams and, in the main, credible business models.
然而，Faang 现象与互联网股热潮大不相同，后者伴随着大量滥竽充数的公司——很多公司没
有盈利，被寡廉鲜耻、前后矛盾的分析师吹捧，容易在市场风暴的第一阵风吹来时崩溃。如今
的科技股热潮是由拥有强劲收入流、以及总体而言可信的商业模式的大公司推动的。
Their resilience is exemplified by the financial dynamics of Google’s battle with the European
Commission over abuse of its market power in mobile operating systems. Alphabet, Google’s parent,
confronts a $4.3bn fine with cash and marketable securities in its balance sheet of $102bn, net
income at the half year of $12.6bn and a tax charge of just 14.6 per cent of pre-tax income.
Faang 的韧性，在谷歌与欧盟委员会(European Commission)围绕其在移动操作系统上滥用市场
力量展开斗争时的财务状况中得到了体现。谷歌母公司 Alphabet 面临 43 亿欧元罚款，但其资
产负债表上的现金和有价证券价值达 1020 亿美元，半年净利润为 126 亿美元，税负仅为税前
收入的 14.6%。
Also striking is how the forced buying effect is immeasurably greater this time because of the growth
of both indexed mutual funds and exchange traded funds. According to the Bank for International
Settlements, passive funds managed about $8tn, or 20 per cent of global investment fund assets, as of
June 2017, up from 8 per cent a decade earlier. This growth was at the expense of active investors
who experienced outflows over the same decade.
同样引人注目的是，由于指数型共同基金和交易所交易基金(ETF)的增长，这一次的被迫买入
效应比以往增大得无法估量。根据国际清算银行(BIS)的数据，截至 2017 年 6 月，被动型基金
管理的资产约 8 万亿美元，占全球投资基金资产的 20%，高于 10 年前的 8%。这种增长是以
同一时期资金流出主动型基金为代价的。
At the same time, ETFs outpaced indexed mutual funds, accounting for 40 per cent of passive fund
assets in June 2017 compared with around 30 per cent in 2007. And now the ETF universe is being
expanded by the addition of smart beta ETFs, whereby indices are adjusted to reflect styles of
investment such as tech, growth, low volatility and so forth.
与此同时，ETF 的增速超过了指数型共同基金，2017 年 6 月占被动型基金资产的 40%，而 2007
年这一比例约为 30%。如今，随着智能贝塔 ETF 的加入，ETF 领域正在扩大。智能贝塔 ETF
的特点是，对指数进行调整，以反映科技、成长、低波动性等投资风格。
The increased size of this passive investment industry means an underlying conflict of interest has
become more intense. ETF managers operate a low-cost, low-fees business model that means they
seek scale. Having Facebook or Apple in an ETF helps it achieve this. So many smart beta ETFs are
biased towards the largest capitalisation, highly liquid tech stocks.
被动投资行业规模的扩大，意味着潜在的利益冲突变得更激烈。ETF 基金经理使用的是一种低
成本、低收费的商业模式，这意味着他们寻求扩大规模。在 ETF 组合中持有 Facebook 或苹果，
有助于实现这一目标。所以，许多智能贝塔 ETF 都倾向于持有市值最高、流动性极佳的科技
股。
It is hard to believe that this does not result in distorted market prices. Inter alia, the growth of
passive investing must lead to greater correlation of indexed securities and a reduction in
company-specific information contained in stock prices.
我们很难相信这不会导致市场价格扭曲。尤其是，被动型投资的增长注定会导致指数成分证券
之间的相关性增大，以及股票价格所反映的跟具体公司相关的信息减少。
Howard Marks, co-chairman of Oaktree Capital Management, the US alternative investment
manager, argues that for a stock to be added to an index or smart beta fund amounts to an artificial
form of increased popularity and it is relative popularity that determines the relative prices of stocks
in the short run.
美国另类投资基金公司橡树资本管理公司(Oaktree Capital Management)的联席主席霍华德•马
克斯(Howard Marks)指出，将一只股票添加到一个指数或智能贝塔基金中，相当于人为提高它
的受欢迎度，而在短期内决定股票相对价格的正是相对受欢迎度。
As with tech stocks in 2000, he says, the seeming perpetual motion machine created by all this
forced buying by passive investors is unlikely to work forever: if funds ever flow out of equities and
thus ETFs, what has been disproportionately bought will have to be disproportionately sold.
他表示，与 2000 年的科技股一样，被动型投资者的被迫买入，看似制造了一种永动机，但它
不太可能永远运转下去：如果资金从股票中、进而从 ETF 中撤出，那么之前高得不成比例的
买入将注定变成高得不成比例的抛售。
It is not clear where index funds and ETFs will find buyers for their overweighted, highly
appreciated holdings, Mr Marks adds, if they have to sell in a crunch. So appreciation that was driven
by passive buying is likely eventually to turn out to be rotational, not perpetual.
马克斯补充称，如果在危机中，指数基金和 ETF 不得不卖出，那么它们将在哪里为其权重过
高、估值高企的资产找到买家，目前尚不清楚。因此，由被动买入驱动的升值最终可能会回转，
而不会一直维持下去。
An important difference with the dotcom era concerns concentration risk and liquidity. The Faangs
account for 12 per cent of the S&P 500 and 27 per cent of the Nasdaq 100 index. So investors in
ETFs should not assume they are safely diversified. And the ETFs’ apparent promise of liquidity,
especially in bond markets, has yet to be tested in a downturn. The stakes are much higher now.
与互联网热潮时代的一个重要区别是，集中性风险和流动性。Faang 占标普 500 指数(S&P 500)
的权重为 12%，占纳斯达克 100 指数(Nasdaq 100)的权重为 27%。因此，ETF 投资者不应想当
然地认为它们是安全多元化的。而 ETF 表面上的流动性承诺——尤其是在债券市场上——尚
未在市场下跌时期得到检验。现在的风险要高得多。