财务与资本市场管理

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1、Treasury and Capital Market Management财务与资本市场管理,Historical Performance 历史表现,2,Historical Performance 历史表现,3,4,5,6,History历史,7,8,Types of financial markets金融市场的类型,Physical assets vs. Financial assets 实物资产市场和金融资产市场的比较 Money vs. Capital 货币市场和资本市场的比较 Primary vs. Secondary 一级市场和二级市场的比较 Spot vs. Futures 现

2、货市场和期货市场的比较 Public vs. Private 公开市场和私募市场的比较,9,How is capital transferred between savers and borrowers? 资本如何在出借人和借款人之间转移的？,Direct transfers 直接转移 Investment banking house 投资银行 Financial intermediaries 金融中介,10,Types of financial intermediaries金融中介的类型,Commercial banks 商业银行 Savings and loan associations

3、储蓄和贷款协会 Mutual savings banks 共同储蓄银行 Credit unions 信贷协会 Pension funds 养老基金 Life insurance companies 寿险公司 Mutual funds 共同基金,11,Physical location stock exchanges vs. Electronic dealer-based markets 实际场所的股票交易市场与基于经纪的电子市场的比较,Auction market vs. Dealer market (Exchanges vs. OTC) 拍卖市场和经纪市场的比较（交易市场和场外交易市场OTC

4、的比较） NYSE vs. Nasdaq 纽约证交所和纳斯达克 的比较 Differences are narrowing 差异很小,12,Primary Markets versus Secondary Markets(一级市场与二级市场）,Primary Markets（一级市场） 在一级市场，资金需求方（如企业、政府）通过发行金融产品（如股票、债券等）筹集资金。 Secondary Markets（二级市场） 在二级市场， 投资者进行金融产品的交易。 (如： NYSE, NASDAQ),13,Primary Markets一级市场,Business 企业,Investors 投资者,Ca

5、sh现金,Newly issued securities 新发行的证券,14,Secondary Markets二级市场,Investors 投资者,Investors 投资者,Cash现金,Outstanding securities 流通证券,15,Markets资本市场,Primary Markets raise needed capital for businesses to expand assets and operations.一级市场-为企业筹集所需的资本以扩大资产及运营规模 Secondary Markets reflects businesss health and pro

6、vides a pricing, or market, signal on the value of the business.二级市场-反映企业健康状况并提供一个价格或产权市场,是企业价值的信号.,16,Money Markets versus Capital Markets货币市场与资本市场,Money Markets（货币市场） markets that trade debt securities with maturities of one year or less (e.g. CDs, U.S. Treasury bills) 主要是一年期及以内的债券或其他融资券的交易。 Capit

7、al Markets（资本市场） markets that trade debt (bonds) and equity (stock) instruments with maturities of more than one year 主要是一年期以上的债券或权益类金融产品的交易。,17,1-18,Money Market Instruments Outstanding, （货币市场流通产品）1990-2004 ($Bn),商业票据,联邦基金与票据,国债,可转让存单,银行承兑票据,1-19,Capital Market Instruments Outstanding, 资本市场流通产品1990

8、-2004 ($Bn10亿),公司股票,公司债券,州与地方政府债,银行与消费者贷款,抵押贷款,政府证券,美国政府机构债券,Foreign Exchange Markets外汇市场,“FX” markets deal in trading one currency for another (e.g. dollar for yen)外汇市场主要进行不同币种间的交易 The “spot” FX transaction involves the immediate exchange of currencies at the current exchange rate现期交易主要是以当前汇率并即时结算。

9、 The “forward” FX transaction involves the exchange of currencies at a specified date in the future and at a specified exchange rate（远期交易主要是以未来某个时段汇率并在未来结算。,20,Overview of Financial Institutions 金融机构概览,Institutions that perform the essential function of channeling funds from those with surplus funds

10、 to those with shortages of funds (e.g. banks, thrifts, insurance companies, securities firms and investment banks, finance companies, mutual funds, pension funds) 金融机构主要承担为资金需求方与富余方进行中介服务的职能（如银行、保险结构、证券公司、投资银行、共同基金等）,21,Flow of Funds in a World without FIs: Direct Transfer（如果世界没有金融机构:资金流直接转移）,Users

11、 of Funds（资金需求方） (Corporations)公司,Suppliers of Funds (Households) 资金提供方(家庭),Financial Claims（金融索取权） (Equity and debt instruments) (权益与债权工具),Cash（现金）,Example: A firm sells shares directly to investors without going through a financial institution举例:企业直接出售股份给投资者,而不经过金融机构,22,Flow of Funds in a world wi

12、th FIs: Indirect transfer（有金融机构下的资金流动资金流间接转移）,Users of Funds（需求方）,FI金融机构 (Brokers) (经纪商) FI (Asset transformers),Suppliers of Funds（供应方）,Financial Claims金融索取权 (Equity and debt securities) 权益与债权类证券,Financial Claims金融索取权 (Deposits and Insurance policies) (存款与保险),23,Risks Faced by Financial Institution

13、s金融机构的可能面临的风险,Interest Rate Risk 利率风险 Foreign Exchange Risk外汇风险 Market Risk市场风险 Credit Risk信用风险 Liquidity Risk流动性风险 Off-Balance-Sheet Risk表外业务风险 Technology Risk技术风险 Operation Risk营运风险 Country or Sovereign Risk政府风险 Insolvency Risk偿债能力风险,24,Ongoing trends（当前趋势）,Globalization（全球化） Securitization（证券化） F

14、inancial Engineering（金融工程化） Computer Networks（计算机网络化）,25,Raising capital筹集资本,The ability to raise capital at a reasonable price is one of the primary determinants of long-term success. Globally, capital can be raised in private or public markets.以合理价格筹集资本的能力是企业长期成功的首要因素。国际上，资本可以从私募市场或公开市场筹集。 Methods

15、:途径 Debt instruments.债务手段 Preferred stock.优先股 Common stock (equity).普通股(股权) Private placements typically to institutional investors: pension fund, insurance company, bank or trust.私募安排-通常对机构投资人：养老基金、保险公司、银行或信托基金。 Size of issue. 发行规模 Need for quick transaction.对快捷交易的需要 Complexity of the security.证券的复

16、杂性 Maintain company privacy.维护公司的独立性 Pricing of issue.发行定价,26,Parties involved in capital transactions与资本交易相关的主体,Investment bankers.投资银行家 Corporate bankers.企业银行家 Regulatory agencies.管制部门 Analysts.分析师 Rating agencies.评级机构 Auditors.审计师 Shareholders and bondholders.股东与债券持有者,27,Investment Companies 投资公司

17、简介,Mutual Funds 共同基金 Hedge Funds 对冲基金 Investment Banks 投资银行 Commercial Banks 商业银行,28,Investment Securities 投资工具简介,Debt 债务工具 Money market instruments 货币市场工具 Bonds 债券 Common stock 普通股 Preferred stock 优先股 Derivative securities 衍生证券 Options, Futures, Swaps, Mortgage Backed Securities, etc. 期权，期货，调期，抵押证券

18、 Chicago Board of Trade 芝加哥交易所 Black-Scholes, Merton (1973),29,Mutual Funds 共同基金,Sources 资金来源 401k, 403k 退休金, Individual Investors 个人投资者 Large Funds 著名大型基金(管理公司) Fidelity, TIAA-CREF, Citi-Corp. Empirical Results 研究结果 Most funds underperform 多数表现差于平均水平 Some funds show consistent stronger performance

19、某些持续表现良好 Depends on time period 主要取决于衡量时间段,30,Mutual Funds Overview共同基金概述,Mutual funds are financial intermediaries 共同基金是金融中介机构 Enjoy economies of scale 利用规模经济 Shareholder services At year-end 2004, more than 8,800 mutual funds held total assets of $8.11 trillion 2004年底，8,800多家共同基金共持有8.11万亿的资产,31,Ty

20、pes of Mutual Funds共同基金种类,Long Term长期 Equity funds股权基金 Bond funds债券基金 Hybrid funds 混合基金 Short Term短期 Money market mutual funds 货币市场共同基金,32,Historical Trends历史回顾,First 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 investors looked for ways to earn mark

21、et rates on short-term funds 1972年出现了货币市场共同基金，以满足投资者寻求在短期资金上获取市场利率水平回报的需要 Tax-exempt money market mutual funds introduced in 1979 1979年引入了免收利息所得税的货币市场共同基金 Special-purpose equity, bond, emerging market, and derivative funds exploded on the scene during the 1990s bull market 在1990年代的牛市中，特殊用途工具，债券，新兴市场

22、以及衍生产品基金开始大量出现,33,Growth of the Mutual Fund Market共同基金市场的成长,34,帐户数,资产数（十亿美元）,基金数量,Number of Mutual Funds, 1980, 1990, 20041980、1990、2000、2004年共同基金的数量,9-35,股权基金,混合基金,债券基金,有税市场基金,免税市场基金,Mutual Fund Costs共同基金成本,Mutual funds charge shareholders a price or fee 共同基金向持有者收取一个价格或者费用 Two types of fees are inc

23、urred by investors 投资者面临两种类型的费用 Load versus No-load Funds 有佣金和无佣金基金 Load fund有佣金 No-load fund无佣金 Fund Operating Expenses 基金的运营费用,36,Assets in MMMFs, 2004 (in $B)2004年共同基金资产（十亿美元）,37,全部金融资产,在外国的存款,活期存款和货币,定期和储蓄存款,证券,信用和市场工具,公开市场工具,国债,公债,市政债券,公司和外国债券,其他资产,Regulation管制,This industry is heavily regulate

24、d to protect investors 为保护投资者，政府对共同基金行业管制很严 SEC is the primary regulator SEC是主要的管理者 Securities Act of 1933 1933年证券法 Securities Exchange Act of 1934 1934年证券交易法 Investment Advisers Act and Investment Company Act of 1940 1940年投资顾问法和投资公司法 Insider Trading and Securities Fraud Enforcement Act of 1988 1988

25、年内幕交易和证券欺诈实施条例 Market Reform Act of 1990 NSMIA of 1996 1990及1996年市场改革条例,38,Defining Hedge Funds界定对冲基金,Limitations on: 在下述方面受限制 number of U.S. investors (99 maximum) 美国投资者数量(最大99人) solicitation of U.S. investors 对美国投资者的述求 public advertising and disclosure 公开广告与披露 Information problems: 信息问题 no public

26、performance records 没有公开业绩记录 data vendors only maintain live fund data数据出售者仅仅拥有当前的基金数据 Offshore Funds 海外基金,39,Hedge Funds 对冲基金,Facts About the Hedge Fund Industry 对冲基金业概况 $2.5 trillion at its peak in the summer of 2008 整体规模达2500亿美元 Growing at about 20% per year 年增长率约20 About 8,000 active hedge funds

27、 总数达8000家 Better hedged 更好地规避风险 Performance fees (or incentive fees) 20%-45% More sophisticated investors 更高素质的投资者 Swiss and other private banks 瑞士和其他私人银行 Endowments and pension funds 大额捐款和养老基金,40,A hedge fund is an investment fund open to a limited range of investors that is permitted by regulators

28、 to undertake a wider range of investment and trading activities than other investment funds, and that, in general, pays a performance fee to its investment manager. 对冲基金是对有限数量的投资者开放的投资基金,由管理当局批准,能从事比其他投资基金更大范围的投资和交易活动,并且通常给投资经理人支付一笔业绩提成. History Alfred Winslow Jones, Sociologist, Fortune Editor 历史:

29、 阿尔佛雷得.温斯洛.琼斯, 社会学家, 财富杂志编辑 Industry size产业规模 managed around $2.5 trillion at its peak in the summer of 2008 在其顶峰期的2008年夏天管理了大约2万5千亿美元,41,Fees收费 management fee of 2% of the funds net asset value each year and a performance fee of 20% of the funds profit每年按基金净资产价值的2%收取管理费 - Steven Cohens SAC Capital

30、Partners charges a 35-50% performance fee斯蒂文.科恩的SAC资本合伙公司收取35%-50%的业绩提成 - Jim Simons Medallion Fund charged a 45% performance fee吉姆.西蒙斯的大奖章基金收取45%的业绩提成,42,Hedge Funds 对冲基金,Key Characteristics of Hedge Funds 主要特征 Tend to hedge against downturns 期望规避下跌区间风险 Flexible (short selling, leverage, derivative

31、s) 灵活的交易方式 (卖空，杠杆交易，衍生工具) Rocket scientists, aggressive strategy, advanced models 顶尖的科学家，激进的交易策略，先进的模型,43,Style: global macro, directional, event-driven, relative value (arbitrage), managed futures (CTA) 风格: 全球宏观的,方向性的,事件导向的, 相对价值的(套利), 受控的未来. Market: equity, fixed income, commodity, currency 市场: 权益

32、,固定收益,商品,货币 Instrument: long/short, futures, options, swaps 工具: 做多/做空,期货,期权,互换 Exposure: directional, market neutral 风险暴露: 方向性的,市场中性 Sector: emerging market, technology, healthcare etc. 行业部门:新兴市场, 科技, 卫生保健等 Method: discretionary/qualitative (where the individual investments are selected by managers)

33、, systematic/quantitative (or quant - where the investments are selected according to numerical methods using a computerized system) 方法: 主观/定性的(经理挑选个体投资品种), 系统/定量的(或“量化”-使用计算机系统根据数学方法挑选投资品种） Diversification: multi-manager, multi-strategy, multi-fund, multi-market 多样化：多位经理，多种策略，多类基金，多个市场,44,Strategie

34、s策略,Strategy Allocation策略分布,Source: Lipper/Tass 数据来源,Hedge Fund Location对冲基金分布,Comparison to private equity funds与私募股权基金比较,Both are lightly regulated均为宽松管制 Hedge funds invest in relatively liquid assets对冲基金投资于相对流动性的资产 Private equity funds invest primarily in very illiquid assets such as early-stage

35、companies and so investors are “locked in” for the entire term of the fund私募股权基金主要投资于非常不流动的资产，比如初创阶段的公司，因而投资者在整个基金期内被“锁定”,47,Comparison to U.S. mutual funds与美国共同基金比较,Mutual funds are regulated by the SEC, while hedge funds are not 共同基金由SEC管制，而对冲基金则不是 A hedge fund investor must be an accredited inves

36、tor with certain exceptions (employees, etc.) 对冲基金投资者必须是合格投资者，具有特定例外（雇员等） Mutual funds must price and be liquid on a daily basis 共同基金必须按日标价和结算,48,49,Institutional Investment Globally In Hedge Funds About $360B全球机构投资于对冲基金约$3600亿,30% of overall hedge fund assets are held by institutions全部对冲基金的30%由机构拥有

37、 Only 15% of institutions are currently invested inhedge funds仅15%的机构目前投资于对冲基金 Hedge funds represent about 2% of institutional assets today目前对冲基金占机构资产约2%,Total: $361B,Global Institutional Hedge Fund Investment December 31, 2005 2005年12月31日全球机构对冲基金投资,Source: The Bank of New York and Casey, Quirk and

38、Associates analysis 2006. For purposes of this report “institutions” refer to retirement plans, endowments, foundations and hospitals, government-affiliated organizations with at least $100MM in assets, as well as insurance companies and banks with at least $100MM in externally-managed proprietary a

39、ssets.,澳大利亚,其他,中东,除英国的欧洲,英国,美国,日本,China Market中国市场,History历史 Regulation规制 Information Transparent, Insider Trading, Speculation信息披露、内幕交易与投机 Short sale卖空 Options (CBOT) etc.选择权 High volatility高波动性 Tax税收 Transaction Cost交易成本 Government Role政府角色,50,Chinas Debt Market中国债务市场,dominated by government debt

40、and central bank bills 主要是政府债和央行票据 corporate bond market ?公司债呢？ Interest rate?利率？,51,China Market, Whats next?中国市场趋势,More mature更成熟 Tighter Regulatory environment更严格的监管 More players from international investors (why and why not?)更多国际投资者 How Corporations stay competitive in global market?(transparent

41、 in information, appropriate analyst coverage, inverstor relations)公司在全球市场竞争力 Will the growth and stature of Chinas financial markets mark the end of Western dominance in the global capital arena? 中国金融市场的成长是否是资本市场西方主导的终结? Rapid increase in Chinas capital market activity does not necessarily have to conflict with other international markets. Indeed, perhaps even more important is not who will lead the worlds capital market in the future, but rather what kind of opportunities will emerge in this changing environment. 并无冲突.重要的不是谁领导资本市场,而是在如此变化的环境中将有什么样的机会,52,