財務(wù)與資本市場管理

Treasury

and

CapitalMarket

Management財務(wù)與資本市場管理Historical

Performance歷史表現(xiàn)2Now,

althoughthis

chart

doesn"t

include

years

2002-2008,

it

still

gets

acrossasimple

point.

Stocks

have

outperformed

over

time

withaconstantafter-inflationrate

of

return.

The

dollar,

conversely,

has

slowlybut

surely

been

an

excellent

short

over

the

years.

Hat

tip

to

Paul

Kedrosky

forinitially

highlighting

JeremySiegel"s

book

Stocks

for

the

Long

Run

in

one

of

his

linkfests.Read

more:

/2009/01/total-real-return-indexes-1802-2001.html#ixzz0TBRiogKlHistorical

Performance歷史表現(xiàn)·3456History歷史78Types

of

financial

markets金融市場的類型9Physical

assets

vs.

Financial

assets·

實物資產(chǎn)市場和金融資產(chǎn)市場的比較Money

vs.Capital貨幣市場和資本市場的比較Primary

vs.

Secondary·

一級市場和二級市場的比較Spot

vs.Futures現(xiàn)貨市場和期貨市場的比較Public

vs.Private公開市場和私募市場的比較How

is

capital

transferred

between

saversand

borrowers?資本如何在出借人和借款

人之間轉(zhuǎn)移的？Direct

transfers直接轉(zhuǎn)移

Investment

bankinghouse投資銀行

Financialintermediaries金融中介10Types

of

financial

intermediaries金融中介的類型11Commercial

banks商業(yè)銀行Savings

and

loan

associations儲蓄和貸款協(xié)會Mutual

savings

banks共同儲蓄銀行Credit

unions信貸協(xié)會Pension

funds養(yǎng)老基金Life

insurance

companies壽險公司Mutual

funds共同基金Physical

location

stock

exchanges

vs.Electronic

dealer-basedmarkets實際場所的股票交易市場與基于經(jīng)紀的電子市場的比較Auction

market

vs.

Dealermarket

(Exchanges

vs.OTC)

拍賣市場和經(jīng)紀市場的比較（交易市場和場外

交易市場OTC的比較）NYSE

vs.

Nasdaq

紐約證交所和納斯達克的比較Differences

are

narrowing差異很小12Primary

Markets

versus

SecondaryMarkets(一級市場與二級市場）Primary

Markets（一級市場）在一級市場，資金需求方（如企業(yè)、政府）通過發(fā)行金融產(chǎn)品（如股票、債券等）籌集資金。Secondary

Markets（二級市場）

在二級市場，投資者進行金融產(chǎn)品的交易。

(如：NYSE,NASDAQ)13Primary

Markets一級市場Business企業(yè)Investors投資者Cash現(xiàn)金14Newly

issued

securities新發(fā)行的證券Secondary

Markets二級市場Investors投資者Investors投資者Cash現(xiàn)金15Outstanding

securities流通證券Markets資本市場16

Primary

Markets–raise

needed

capital

forbusinesses

to

expand

assets

and

operations.一級市場--為企業(yè)籌集所需的資本以擴大資產(chǎn)及運營規(guī)模

Secondary

Markets–reflects

business’s

healthand

provides

a

pricing,or

market,signal

on

thevalue

of

the

business.二級市場--反映企業(yè)健康狀況并提供一個價格或產(chǎn)權(quán)市場,是企業(yè)價值的信號.Money

Markets

versus

CapitalMarkets貨幣市場與資本市場Money

Markets（貨幣市場）markets

that

trade

debt

securities

with

maturities

ofone

year

or

less

(e.g.

CD’s,

U.S.

Treasury

bills)主要是一年期及以內(nèi)的債券或其他融資券的交易。Capital

Markets（資本市場）markets

that

trade

debt

(bonds)

and

equity(stock)

instruments

with

maturities

of

morethan

one

year主要是一年期以上的債券或權(quán)益類金融產(chǎn)品的交易。17Money

Market

InstrumentsOutstanding,（貨幣市場流通產(chǎn)品）1990-2004($Bn)商業(yè)票據(jù)1-*聯(lián)邦基金與票據(jù)國債可轉(zhuǎn)讓存單銀行承兌票據(jù)Capital

Market

InstrumentsOutstanding,資本市場流通產(chǎn)品1990-2004($Bn10億)公司股票公司債券1-*州與地方政府債

銀行與消費者貸款抵押貸款政府證券美國政府機構(gòu)債券Foreign

Exchange

Markets外匯市場“FX”markets

deal

in

trading

one

currency

foranother

(e.g.dollar

for

yen)外匯市場主要進行不同幣種間的交易The

“spot”FX

transaction

involves

theimmediate

exchange

of

currencies

at

the

currentexchange

rate現(xiàn)期交易主要是以當前匯率并即時結(jié)算。The

“forward”FX

transaction

involves

theexchange

of

currencies

at

a

specified

date

in

thefuture

and

at

a

specified

exchange

rate（遠期交易主要是以未來某個時段匯率并在未來結(jié)算。20Overview

of

Financial

Institutions金融機構(gòu)概覽Institutions

that

perform

the

essential

function

ofchanneling

funds

from

those

with

surplus

funds

to

thosewith

shortages

of

funds

(e.g.

banks,

thrifts,

insurancecompanies,

securities

firms

and

investment

banks,

financecompanies,

mutual

funds,

pension

funds)金融機構(gòu)主要承擔為資金需求方與富余方進行中介服務(wù)的職能（如銀行、保險結(jié)構(gòu)、證券公司、投資銀行、共同基金等）21Flow

of

Funds

in

a

World

without

FIs:DirectTransfer（如果世界沒有金融機構(gòu):資金流直接轉(zhuǎn)移）Users

of

Funds（資金需求方）(Corporations)公司Suppliers

of

Funds(Households)資金提供方(家庭)Financial

Claims（金融索取權(quán)）(Equity

and

debt

instruments)(權(quán)益與債權(quán)工具)22Cash（現(xiàn)金）Example:

A

firm

sells

shares

directly

to

investors

without

goingthrough

a

financial

institution舉例:企業(yè)直接出售股份給投資者,而不經(jīng)過金融機構(gòu)Flow

of

Funds

in

a

worldwith

FIs:Indirecttransfer（有金融機構(gòu)下的資金流動——資金流間接轉(zhuǎn)移）Users

of

Funds（需求方）FI金融機構(gòu)(Brokers)(經(jīng)紀商)FI(Assettransformers)Suppliers

of

Funds（供應(yīng)方）Financial

Claims金融索取權(quán)(Equity

and

debt

securities)權(quán)益與債權(quán)類證券23Financial

Claims金融索取權(quán)(Deposits

and

Insurance

policies)(存款與保險)Risks

Faced

by

Financial

Institutions金融機構(gòu)的可能面臨的風險Interest

Rate

Risk利率風險Foreign

Exchange

Risk外匯風險Market

Risk市場風險Credit

Risk信用風險Liquidity

Risk流動性風險Off-Balance-Sheet

Risk表外業(yè)務(wù)風險Technology

Risk技術(shù)風險Operation

Risk營運風險Country

or

Sovereign

Risk政府風險Insolvency

Risk償債能力風險24Ongoing

trends（當前趨勢）Globalization（全球化）Securitization（證券化）Financial

Engineering（金融工程化）Computer

Networks（計算機網(wǎng)絡(luò)化）25Raising

capital籌集資本26

The

ability

to

raise

capital

at

a

reasonable

price

is

one

of

the

primarydeterminants

of

long-term

success.Globally,capital

can

be

raised

inprivate

or

public

markets.以合理價格籌集資本的能力是企業(yè)長期成功的首要因素。國際上，資本可以從私募市場或公開市場籌集。Methods:途徑Debt

instruments.債務(wù)手段Preferred

stock.優(yōu)先股Common

stock(equity).普通股(股權(quán))

Private

placements–typically

to

institutional

investors:pensionfund,insurance

company,bank

or

trust.私募安排--通常對機構(gòu)投資人：養(yǎng)老基金、保險公司、銀行或信托基金。Size

of

issue.發(fā)行規(guī)模Need

for

quick

transaction.對快捷交易的需要Complexity

of

the

security.證券的復雜性Maintain

company

privacy.維護公司的獨立性Pricing

of

issue.發(fā)行定價Parties

involved

in

capital

transactions與資本交易相關(guān)的主體27Investment

bankers.投資銀行家Corporate

bankers.企業(yè)銀行家Regulatory

agencies.管制部門Analysts.分析師Rating

agencies.評級機構(gòu)Auditors.審計師Shareholders

and

bondholders.股東與債券持有者Investment

Companies投資公司簡介28Mutual

Funds共同基金Hedge

Funds對沖基金Investment

Banks投資銀行Commercial

Banks商業(yè)銀行Investment

Securities投資工具簡介29Debt債務(wù)工具Money

market

instruments

貨幣市場工具Bonds

債券Common

stock普通股Preferred

stock優(yōu)先股Derivative

securities衍生證券

Options,Futures,Swaps,Mortgage

Backed

Securities,etc.期權(quán)，期貨，調(diào)期，抵押證券Chicago

Board

of

Trade芝加哥交易所Black-Scholes,

Merton

(1973)Mutual

Funds共同基金30Sources資金來源401k,403k退休金,Individual

Investors個人投資者Large

Funds著名大型基金(管理公司)Fidelity,

TIAA-CREF,

Citi-Corp.Empirical

Results研究結(jié)果Most

funds

underperform多數(shù)表現(xiàn)差于平均水平Some

funds

show

consistent

stronger

performance某些持續(xù)表現(xiàn)良好Depends

on

time

period主要取決于衡量時間段Mutual

Funds

Overview共同基金概述31Mutual

funds

are

financial

intermediaries共同基金是金融中介機構(gòu)Enjoy

economies

of

scale利用規(guī)模經(jīng)濟

Shareholder

services

At

year-end

2004,

more

than8,800

mutual

funds

held

total

assets

of

$8.11

trillion

2004年底，8,800多家共同基金共持有8.11萬億的資產(chǎn)Types

of

Mutual

Funds共同基金種類32Long

Term長期Equity

funds股權(quán)基金B(yǎng)ond

funds債券基金Hybrid

funds

混合基金Short

Term短期Money

market

mutual

funds貨幣市場共同基金Historical

Trends歷史回顧33First

mutual

fund

established

in

1924第一家共同基金于1924年成立

Advent

of

money

market

mutual

funds

in

1972

as

investorslooked

for

ways

to

earn

market

rates

on

short-term

funds

1972年出現(xiàn)了貨幣市場共同基金，以滿足投資者尋求在短期資金上獲取市場利率水平回報的需要Tax-exempt

money

market

mutual

funds

introduced

in

19791979年引入了免收利息所得稅的貨幣市場共同基金

Special-purpose

equity,

bond,

emerging

market,

and

derivatifunds

exploded

on

the

scene

during

the

1990’s

bull

market

在1990年代的牛市中，特殊用途工具，債券，新興市場以及衍生產(chǎn)品基金開始大量出現(xiàn)Growth

of

theMutual

Fund

Market共同基金市場的成長帳戶數(shù)34資產(chǎn)數(shù)（十億美元）基金數(shù)量Number

of

Mutual

Funds,1980,1990,20041980、1990、2000、2004年共同基金的數(shù)量9-*股權(quán)基金混合基金債券基金有稅市場基金免稅市場基金Mutual

Fund

Costs共同基金成本36Mutual

funds

charge

shareholders

a

price

or

fee共同基金向持有者收取一個價格或者費用Two

types

of

fees

are

incurred

by

investors投資者面臨兩種類型的費用Load

versus

No-load

Funds有傭金和無傭金基金Load

fund有傭金No-load

fund無傭金Fund

Operating

Expenses基金的運營費用Assets

in

MMMFs,2004(in

$B)2004年共同基金資產(chǎn)（十億美元）全部金融資產(chǎn)在外國的存款活期存款和貨幣定期和儲蓄存款證券信用和市場工具公開市場工具國債公債市政債券公司和外國債券其他資產(chǎn)37Regulation管制38This

industry

is

heavily

regulated

to

protect

inve為保護投資者，政府對共同基金行業(yè)管制很嚴SEC

is

the

primary

regulator

SEC是主要的管理者Securities

Act

of

19331933年證券法Securities

Exchange

Act

of

19341934年證券交易法InvestmentAdvisers

Act

and

Investment

Company

Act

of

19401940年投資顧問法和投資公司法Insider

Trading

and

Securities

Fraud

Enforcement

Act

of19881988年內(nèi)幕交易和證券欺詐實施條例Market

Reform

Act

of

1990

NSMIA

of

19961990及1996年市場改革條例Defining

Hedge

Funds界定對沖基金Limitations

on:在下述方面受限制number

of

U.S.

investors

(99

maximum)美國投資者數(shù)量(最大99人)solicitation

of

U.S.investors對美國投資者的述public

advertising

and

disclosure公開廣告與披露

Information

problems:信息問題no

public

performance

records沒有公開業(yè)績記錄data數(shù)據(jù)

data

vendors

only

maintain

live

fund出售者僅僅擁有當前的基金數(shù)據(jù)Offshore

Funds海外基金39Hedge

Funds對沖基金40Facts

About

the

Hedge

Fund

Industry對沖基金業(yè)概況

$2.5

trillion

at

its

peak

in

the

summer

of

2008整體規(guī)模達2500億美元Growing

at

about

20%per

year年增長率約20％About

8,000

active

hedge

funds總數(shù)達8000家Better

hedged更好地規(guī)避風險Performance

fees

(or

"incentive

fees")

20%-45%More

sophisticated

investors更高素質(zhì)的投資者Swiss

and

other

private

banks瑞士和其他私人銀行Endowments

and

pension

funds大額捐款和養(yǎng)老基金

A

hedge

fund

is

an

investment

fund

open

to

a

limited

rangeof

investors

that

is

permitted

by

regulators

to

undertake

awider

range

of

investment

and

trading

activities

than

otherinvestment

funds,

and

that,

in

general,

pays

a

performancefee

to

its

investment

manager.

對沖基金是對有限數(shù)量的投資者開放的投資基金,由管理當局批準,能從事比其他投資基金更大范圍的投資和交易活動,并且通常給投資經(jīng)理人支付一筆業(yè)績提成.History

Alfred

Winslow

Jones,

Sociologist,

Fortune

Editor歷史:阿爾佛雷得.溫斯洛.瓊斯,社會學家,財富雜志編輯Industrysize產(chǎn)業(yè)規(guī)模managed

around

$2.5

trillion

at

its

peak

in

the

summer

of2008在其頂峰期的2008年夏天管理了大約2萬5千億美元41Fees收費management

fee

of

2%of

the

fund‘s

net

assetvalue

each

year

and

a

performance

fee

of

20%ofthe

fund’s

profit每年按基金凈資產(chǎn)價值的2%收取管理費StevenCohen‘s

SAC

Capital

Partners

chargesa35-50%performance

fee斯蒂文.科恩的SAC資本合伙公司收取35%-50%的業(yè)績提成Jim

Simons"

Medallion

Fund

charged

a45%performance

fee吉姆.西蒙斯的大獎?wù)禄鹗杖?5%的業(yè)績提成42Hedge

Funds對沖基金43Key

Characteristics

of

Hedge

Funds主要特征–

Tend

to

hedge

against

downturns·

期望規(guī)避下跌區(qū)間風險–

Flexible

(short

selling,

leverage,

derivatives)·

靈活的交易方式(賣空，杠桿交易，衍生工具)–

Rocket

scientists,

aggressive

strategy,

advancedmodels·

頂尖的科學家，激進的交易策略，先進的模型Style:global

macro,directional,event-driven,relative

value(arbitrage),managed

futures(CTA)風格:全球宏觀的,方向性的,事件導向的,相對價值的(套利),受控的未來.Market:

equity,

fixed

income,

commodity,

currency市場:權(quán)益,固定收益,商品,貨幣Instrument:long/short,futures,options,swaps工具:做多/做空,期貨,期權(quán),互換Exposure:directional,market

neutral風險暴露:方向性的,市場中性Sector:

emerging

market,

technology,

healthcare

etc.行業(yè)部門:新興市場,科技,衛(wèi)生保健等Method:

discretionary/qualitative

(where

the

individual

investments

areselected

by

managers),

systematic/quantitative

(or

"quant"

-

where

theinvestments

are

selected

according

to

numerical

methods

using

acomputerized

system)方法:主觀/定性的(經(jīng)理挑選個體投資品種),系統(tǒng)/定量的(或“量化”-使用計算機系統(tǒng)根據(jù)數(shù)學方法挑選投資品種）Diversification:

multi-manager,

multi-strategy,

multi-fund,

multi-marke4t4多樣化：多位經(jīng)理，多種策略，多類基金，多個市場Strategies策略Strategy

Allocation策略分布Strategy策略

Assets($bln)資產(chǎn)（$10億）

PercentAssets資產(chǎn)比重

NumberFunds基金數(shù)量

Long/Short

EquityHedge做多/做空股權(quán)對沖28235%1148

Event

Driven時間驅(qū)動38.618%316Other其他40.79%316

Fixed

IncomeArbitrage固定收益套利38.6166

Global

Macro全球宏觀32.68%146Emerging

Markets新興市場31.77%168

Market

Neutral市場中性26.86%212Convertible22.25%124Source:Lipper/Tass數(shù)據(jù)來源Hedge

Fund

Location對沖基金分布Location地點

Percent

Assets資產(chǎn)比重

Cayman

Islands開曼群島35%United

States美國32%British

Virgin

Islands英國維京群島8%Bermuda百慕大群島8%Bahamas巴哈馬群島4%Luxembourg盧森堡3%Asia亞洲4%Comparison

to

private

equityfunds與私募股權(quán)基金比較47Both

are

lightly

regulated均為寬松管制

Hedge

funds

invest

in

relatively

liquid

assets對沖基金投資于相對流動性的資產(chǎn)

Private

equity

funds

invest

primarily

in

veryilliquid

assets

such

as

early-stage

companies

andso

investors

are“l(fā)ocked

in”for

the

entire

termof

the

fund私募股權(quán)基金主要投資于非常不流動

的資產(chǎn)，比如初創(chuàng)階段的公司，因而投資者在整

個基金期內(nèi)被“鎖定”Comparison

to

U.S.mutual

funds與美國共同基金比較48

Mutual

funds

are

regulated

by

the

SEC,

whilehedge

funds

are

not共同基金由SEC管制，而對沖基金則不是

A

hedge

fund

investor

must

be

an

accreditedinvestor

with

certain

exceptions

(employees,etc.)

對沖基金投資者必須是合格投資者，具有特定例外（雇員等）

Mutual

funds

must

price

and

be

liquid

on

a

dailybasis共同基金必須按日標價和結(jié)算We

Estimate

Current

Institutional

Investment

Globally

InHedge

Funds

To

Be

Around

$360BInstitutional

Investment

Globally

In

Hedge

FundsAbout

$360B全球機構(gòu)投資于對沖基金約$3600億30%of

overall

hedge

fundassets

are

held

byinstitutions全部對沖基金的30%由機構(gòu)擁有Only

15%

of

institutionsare

currently

investedinhedge

funds僅15%的機構(gòu)目前投資于對沖基金Hedge

funds

representabout

2%ofinstitutional

assetstoday目前對沖基金占機構(gòu)資產(chǎn)約2%Total:

$361BGlobal

Institutional

Hedge

FundInvestmentDecember

31,

20052005年12月31日全球機構(gòu)對沖基金投資Source:

The

Bank

of

New

York

and

Casey,

Quirk

and

Associates

analysis

2006.

For

purposes

of

this

report

“institutions”

refer

to49retirement

plans,

endowments,

foundations

and

hospitals,

government-affiliated

organizations

with

at

least

$100MM

in

assets,

as

well

asinsurance

companies

and

banks

with

at

least

$100MM

in

externally-managed

proprietary

assets.澳大利亞其他中東除英國的歐洲英國美國日本steps

to

speed

and

strengthenthe

development,

evolution,

and

healthof

China"s

equitymarkets:

(1)

facilitating

transparent

access—for

issuers,investors

and

intermediaries—to

China"s

capital

markets;

(2)

promoting

an

equity

culture;

(3)

providing

tax

incentives

for

capital

formation

thatencourage

risk-taking,

venture

capital

and

entrepreneurship;

and

(4)

creating

a

regulatorysystemwith

clear

and

certain

rules,

and

an

enforcementmechanismthat

is

consistent

and

fair.China

Market中國市場50History歷史Regulation規(guī)制

Information

Transparent,Insider

Trading,Speculation信息披露、內(nèi)幕交易與投機Short

sale賣空Options(CBOT)etc.選擇權(quán)High

volatility高波動性Tax稅收Transaction

Cost交易成本Government

Role政府角色The

most

important

is

the

liberalization

of

interest

rates

inChina.

If

those

interest

rates

are

administratively

controlled,

then

it

will

be

less

easy

tomodel.

Other

key

issues

include

deepening

reformon

corporate

governance,

the

ability

to

obtainreliable

credit

information,