比特幣ETF換手率低於標普500和納斯達克100主要ETF

閱讀摘要:

●比特幣ETF 的交易指標可為ETF 持有者提供有價值的見解。

● 奇怪的交易數據導致兩個ETF 換手率異常。

●比特幣ETF 的與2004 年GLD 的推出有哪些相似之處?

自從美國推出現貨比特幣ETF 交易以來,一直存在一個普遍的問題——’這些ETF 份額的持有者是誰? ‘

由於現在有多種比特幣投資管道,從私人比特幣基金到自我託管再到第三方現貨託管服務(如WEEX唯客交易所),更重要的是ETF 增強了比特幣投資的吸引力。儘管我們已經有了一些答案,但具體答案仍然有些難以捉摸,我們相信深入研究ETF 交易數據可以揭開有關這些基金持有者的神秘面紗。

我們分析的核心是換手率,該指標是透過將美元交易量除以基金的總資產淨值(NAV)得出的。此比率顯示了ETF 資產在任何一天交易的比例,可讓您了解投資者和交易者的概況,以及推動他們做出投資選擇的潛在因素。

值得注意的是,即使在同一資產類別中(如標普500 股指),ETF 系列(如iShares、SPDR、Vanguard 等)也表現出顯著換手率差異。這意味著,換手率並不是整個資產類別的籠統指標,而是揭示了個別ETF 的獨特特徵。

比特幣現貨ETF 比較

我們分析了單檔基金的換手率(過去5 天平均值)以及所有現貨比特幣ETF 的總體換手率(過去5 天平均值)。研究後者的目的是深入了解整個現貨比特幣ETF 市場格局,特別是考慮到11 只ETF同時推出的情況。這種不同參與者同時進入同一資產類別的競爭場景很少見,現貨比特幣ETF 是我們所知的唯一例子。

比特幣ETF 的集體換手率受到灰階比特幣信託(GBTC) 的顯著影響,該信託目前持有比特幣ETF 資產的大部分份額(約60%)。

比特幣ETF 推出初期,由於資金流入極少,交易活動一度十分活躍,這可能會產生誤導性,但現在趨勢現已穩定下來了,達到了較為一致的水平。換手頻率較低的Valkyrie Bitcoin Found (BRRR) 換手率為2.2%,灰階比特幣信託(GBTC) 換手率為2.4%,ARK 21Shares 換手率較高,為11.3%,而比特幣ETF的整體換手率為5.3%。

有兩檔基金因其不尋常的交易模式而表現異常,它們是WisdomTree Bitcoin Found (BTCW) 和VanEck Bitcoin Trust (HODL),我們將在接下來的部分中更深入地探討這一點。

比特幣ETF換手率低於標普500和納斯達克100主要ETF

WisdomTree 和VanEck 的異常性

與典型的現貨ETF 相比,有兩隻ETF 在換手率方面表現突出:WisdomTree Bitcoin Found(BTCW)和VanEck Bitcoin Trust(HODL)。

最初,HODL 的換手率與其他ETF 保持一致,直到上週二(2 月20 日),當時其交易量大幅飆升,當天達到近4 億美元,背後的原因尚不清楚。我們之前曾強調過,每日交易量並不是每日資金流向的可靠指標,對此行業內普遍存在誤解,這在本次案例中尤為突出。

上週二當天,HODL 的資金流入僅590 萬美元,但交易量大幅增加,相較於過去5 天日均成交量激增54 倍,令人費解。

BTCW 則一直是特例。 2 月20 日成交量也顯著激增,是過去5 天日均成交量的35 倍。而它的換手率一直遠高於其他所有ETF。

BTCW 是現貨ETF 中NAV 最小的,只3,570 萬美元,不到現貨比特幣ETF 總NAV 的0.1%,而第二大ETF Franklin Bitcoin ETF (EZBC) 的NAV 為1.006 億美元。然而,與其規模不相稱的是,BTCW 的交易活躍度遙遙領先,高峰期間5 天平均換手率高達205%,即使低谷期的27.8%,仍然超過ETF 推出後交易穩定以來換手率第二高的2.5 倍以上。

歡迎大家就這些異常指標持續存在的原因進行討論,但除了將其歸咎於潛在的過度投機外,目前尚無法提供明確的解釋。

比特幣ETF換手率低於標普500和納斯達克100主要ETF

BTC ETF 與股票ETF 換手率比較

我們將比特幣ETF 的總換手率與其他資產類別進行了比較:廣義的股票、標普500 指數以及科技股,後者可能與比特幣有一些相似之處。我們的研究結果顯示,比特幣ETF 的整體換手率低於各領域主要的股票ETF,例如標普500 指數的SPY 和科技股的QQQ,但高於這些資產類別中較不知名的ETF。

如果考慮到標普500 ETF的總量,其換手率低於比特幣ETF,因為SPY 相對於IVV 和VOO 缺乏顯著的NAV 權重優勢。另一方面,QQQ 相對於XLK 和VGT 擁有巨大的NAV 優勢。

比特幣ETF換手率低於標普500和納斯達克100主要ETF
比特幣ETF換手率低於標普500和納斯達克100主要ETF

WEEX唯客交易所註:上文中的SPY 是追蹤標普500 指數的SPDR S&P 500 ETF;IVV 是追蹤標普500 指數的iShares Core S&P 500 ETF;VOO 是追蹤標普500 指數的Vanguard S&P 500 ETF。

QQQ 是追蹤納斯達克100 指數的Invesco QQQ Trust,主要投資科技股;XLK 指Technology Select SECtor SPDR Fund,主要追蹤標普500 指數中的科技業;VGT 指Vanguard Information Technology ETF,該基金追蹤了MSCI美國資訊科技指數,主要投資美國資訊科技產業股票。

選擇權市場可能是換手率差異的重要原因

我們認為,導致標普500 ETF 和科技股ETF 換手率差異的主要因素是選擇權市場。

SPY 和QQQ 擁有一些流動性最強、最活躍的選擇權市場,交易商對Delta 的對沖需求可能是造成換手率差異的原因。交易商透過在標的市場(SPY 和QQQ)交易來對沖其賣出選擇權的Delta 曝險(交易商通常是淨空頭選擇權合約)。相較之下,IVV 和VOO 以及XLK 和VGT 的選擇權市場則較不活躍,因此交易標的股票的需求較少。

如果ETF 選擇權獲得批准,比特幣ETF 換手率可能會改變。向SEC 提交的這些19b-4 申請的評議期已於2 月15 日結束,因此我們可能很快就能從SEC 那裡得到關於ETF 期權的回复,但目前還沒有任何消息。

比特幣ETF 換手率高於黃金ETF,年齡可能是關鍵

我們也分析了比特幣ETF 與黃金ETF 的整體換手率。研究結果顯示,比特幣ETF 的換手率明顯高於美國兩大現貨黃金ETF GLD 和IAU。 GLD 和IAU 之間的換手率差異可能歸因於選擇權市場,而與比特幣ETF 的差異可能源自於基金和資產類別的相對年齡。

GLD 和IAU 兩隻ETF 即將迎來20 歲生日,而新推出的比特幣ETF 才一個多月。隨著時間的推移,比特幣ETF 的換手率可能會與黃金ETF 更加接近。

比特幣ETF換手率低於標普500和納斯達克100主要ETF

比特幣ETF 成交量與GLD 推出時一致

在比較GLD 和比特幣ETF 在其生命週期相似階段的換手率時,我們注意到比特幣ETF 的換手率最初低於GLD,但逐漸與GLD 趨同。這種最初的差異可能由於比特幣市場上存在像GBTC 這樣的巨頭,而GLD 在2004 年剛開始時NAV 極小,透過日常資金流入穩步成長。

只過了1 個半月,比特幣ETF 和GLD 的換手率就接近持平,這使我們相信,比特幣ETF 的換手率最終可能與黃金ETF 保持一致。不過這項假設需要經過五次減半(20 年)後才能得到驗證。

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