无管理者的委托：自动做市商作为可验证的投资组合产品
Mandate without Managers: Automated Market Makers as Verifiable Portfolio Products
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中文总结 AI 辅助
该研究将自动做市商（AMM）视为可编程执行经济委托的投资组合技术，引入带多资产费用结构的G3M，经对比模拟与历史数据，发现特定费用区间内G3M在年化收益和跟踪误差上优于现有基金。
中文摘要 AI 辅助
自动做市商（AMMs）通常被解读和评估为去中心化交易所。在此，我们从Balancer所设想的视角出发，认为AMM也可被视为一种可编程地执行经济委托的投资组合技术。具体而言，我们遵循该协议所采用的几何平均做市商（G3M）不变式，以执行目标加权投资组合。我们为G3M引入了多资产费用结构，在该结构下，竞争性套利会实施带区间再平衡策略，且权重偏差可预先界定，从而可直接从资金池的可观测持仓验证是否符合委托要求。随后，我们将模拟的G3M投资组合与VBIAX、EQL和EDOW的实际表现，在年化收益和相对于投资组合委托的跟踪误差方面进行比较。在这些历史案例研究中，仅使用套利类订单流，发现在特定费用区间内，G3M在两项指标上均优于现有基金。
英文摘要
Automated market makers (AMMs) are typically interpreted and evaluated as decentralized exchanges. Herein, we take the perspective envisioned by Balancer that an AMM can also be viewed as a portfolio technology that programmatically enforces an economic mandate. In particular, we follow the geometric mean market maker (G3M) invariant employed by that protocol in order to enforce a target-weighted portfolio. We introduce a multi-asset fee structure to the G3M under which competitive arbitrage implements a band-rebalancing strategy with mis-weighting bounded ex ante, allowing compliance with the mandate to be verified directly from the pool's observable holdings. We then compare simulated G3M portfolios against the realized performance of VBIAX, EQL, and EDOW on annualized returns and tracking error against the portfolio mandate. Across these historical case studies, and using arbitrage-only order flow, the G3M is found to outperform the incumbent funds in both metrics for certain fee ranges.
