资本市场和金融机构8-2课件

2.HedgeFunds

AnunregisteredinvestmentcompanythatpoolsresourcesfromwealthyindividualsandFIswhichinvestthefundsontheirbehalf.

Managerispaid1or2%offundassets,and20%to40%ofprofitsrealizedbythefund’sinvestmentstrategy.Investors:Wealthyindividuals,pensionfunds,insurancecompanies,universityendowmentfundLessregulatedthanMFs.HedgeFundssufferedheavylosesduring2008 AccordingtoHedgeFundResearchAbout700fundsclosedinthefirstthreequartersof2008(upover70percentfromthesameperiodlastyear) Theaveragehedgefundlost18percentofitsvaluein2008

HFalongwithinvestmentbanks,exchangetradedfunds,money-marketfundsandpensionfunds(‘shadowbankingsystem’)investedheavilyinsecuritizedproducts(e.g.,mortgagebackedsecurities).IntheU.S.the‘shadowbankingsystemhasprovidedabout80%oftotallendingsince1992.StrategiesofHFNon-directional.LongandshortpositioninassetsOpportunistic:Possibleassets’mispricing(LTCM.Seenextslide)Event-driven:Potentialmergers.1LongTermCapitalManagementcollapse(1998)LTCMwantedtotakeadvantageofunusualspreadsbetweenbondpricesCorporatebondsandT-bondsusuallyfollowsystematicpatternThentheirpricesstarttodivergeLTCMseesthisasamispricing:SellsshortT-bondsandbuyslongCorpbondsHowever,theoppositeoccurred:thespreadbetweenthepricesofT-bondsandCorp.bondsincreased!July1998CorpbondsT-bondsLTCMexpectation23.PensionFunds:IntroductionPensionFund.Fundsetupbyacorporation,labourunion,governmententity,orotherorganizationtopaythepensionbenefitsofretiredworkers.Thepensionfundisalegallyseparateentity(aseparateaccountwithinafirmoracorporation)PensionFundsarerunbyAssetManagers(firmmanagersorotherFIs;withhelpofactuariesandotheradvisers)PensionFundsarecurrentlyveryactiveinmonitoringfirms’performanceduetotheirincreasingcontrollingshareownership.TheyreduceAgencyproblemsbetweenmanagersandshareholders3Employer-sponsored(cont’d)

TrusteedPensionPlansAssetManager(Trustee)InsuranceCompanies,trustcompanies,banks,Investmentbanks,specializedfundmanagerTheyholdandmanagethefund’sassetsaccordingtospecifiedguidelinesforaFee.LargestPensionfundsinCanadaOntarioTeachers'PensionBoardandOntarioMunicipalEmployees’RetirementBoard.LargestPensionFundManager(discretiontomanagefunds):CaissededepotetplacementduQuebec‘Withtheexceptionofvestedassets,whichmaybewithdrawnbyanemployeeandplacedintoarestrictedRRSP,theassetsofpensionfundsareonlywithdrawntomeetpaymentstobeneficiaries’(p105)5TypesofTrusteedPensionPlansDefinedContributionPlan.Itprovides,atretirement,whateverpensionincomeisavailablebasedonaccumulatedcontributionsandinvestmentreturns.Eachemployeehasanaccountintowhichtheemployerandtheemployee(inacontributoryplan)makeregularcontributions.Contributionsfrombothpartiesaretax-deductible,andinvestmentincomeaccruestax-free.Theemployeebearsalltheinvestmentrisk.

Theretirementaccountisbydefinitionfullyfunded.Adefinedcontributionplanislessriskyforthecompany,butcouldleaveretireeswithlowerpensions.6b)DefinedBenefitPlans.

Itprovides‘guaranteed’incometoworkersinretirementnomatterwhathappensinthefinancialmarkets.Eachemployee’spensionbenefitentitlementisdeterminedbyaformulathattakesintoaccountyearsofservicefortheemployerand,inmostcases,wageorsalary.(Seeexampleonnextslide)

Employer

absorbstheinvestmentrisk.7Example2:

Assumeanemployeeis40yearsoldandhasbeenworkingforsamefirmasabovefor15years(samesalary). Ifnormalretirementageis65,theinterestrateis8%,andtheemployee’slifeexpectancyis80,

whatisthepresentvalueoftheaccruedpensionbenefit?A:Annuitypromised(atretirement)=0.01*60,000*15=$9,000PVaccruedPensionbenefit=$9,000*(P/A,8%,15)(P/F,8%,25) =$9,000(8.5595)(0.1460)=$11,247

9DecreasesininterestratesabigproblemforPrivatePensionFunds

WhymanyCanadianPrivateSponsoredfunds(Defined-BenefitPlans)arecurrentlyunderfunded?(orendeficit.,i.e.,thefunddoesnothaveenoughassetstomeetallobligations,orpaymentstoretirees,ifitwasdismantlednow) -CurrentlypensionplansarevaluedeverythreeyearsAssumelastyearvaluationwas2006 -PensionfundshaveAssetsandLiabilities(obligationstoretirees)

ExampleSupposein2004afirmsetasidealumpsumthatshouldbeequal$100,000after20years(amountthathastobecovered).Therequiredamountis$31,180assuming6%growth(interestrate).Apensionliabilityistheamountofmoneythatmustbesetasideinaplantomeetfuturepayments.Ifinterestratesfall,itisassumedthatthemoneywouldgeneratelessincomebetweennowandthetimeithastobepaidouttoretirees,sometimesdecadesintothefuture.10Thefollowingtablereportsahypotheticalscenarioinlast5yearsforthefirm’spensionfund OverRateof Assets(A)MarketLiabilities(L)(Under)ReturnYear Interestrate fundedAssets (riskadjustedproposal)

(A)-(L)Start2004 startrate (6%)100,000/(1.06)20=

$31,1807% End2004$31,180(1.07)=$33,362(6%)100,000/(1.06)19=33,051 +$3117% End200533,362(1.07)=35,698(6%)100,000/(1.06)18=35,034+6647% End200635,698(1.07)=38,196(5%)100,000/(1.05)17=43,630(5,434)1% End200738,196(1.01)=38,578(5%)100,000/(1.05)16=45,811(7,233)-15%End200838,578(1-0.15)=32,791(4%)100,000/(1.03)15=64,186(31,395)11Whataboutcompaniesthatfailorbankruptcy?PFsareseparateentities,sothemoneyinthemisstillprotectedfromcreditors.Insadcases,retireesmayloosehalfoftheirretirementormore.ThePensionplanwoul