财务与资本市场管理

Treasury

and

CapitalMarket

Management财务与资本市场管理Historical

Performance历史表现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历史表现·3456History历史78Types

of

financial

markets金融市场的类型9Physical

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How

is

capital

transferred

between

saversand

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

bankinghouse投资银行

Financialintermediaries金融中介10Types

of

financial

intermediaries金融中介的类型11Commercial

banks商业银行Savings

and

loan

associations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Physical

location

stock

exchanges

vs.Electronic

dealer-basedmarkets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.

Dealermarket

(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12Primary

Markets

versus

SecondaryMarkets(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)13Primary

Markets一级市场Business企业Investors投资者Cash现金14Newly

issued

securities新发行的证券Secondary

Markets二级市场Investors投资者Investors投资者Cash现金15Outstanding

securities流通证券Markets资本市场16

Primary

Markets–raise

needed

capital

forbusinesses

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

business’s

healthand

provides

a

pricing,or

market,signal

on

thevalue

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.Money

Markets

versus

CapitalMarkets货币市场与资本市场Money

Markets（货币市场）markets

that

trade

debt

securities

with

maturities

ofone

year

or

less

(e.g.

CD’s,

U.S.

Treasury

bills)主要是一年期及以内的债券或其他融资券的交易。Capital

Markets（资本市场）markets

that

trade

debt

(bonds)

and

equity(stock)

instruments

with

maturities

of

morethan

one

year主要是一年期以上的债券或权益类金融产品的交易。17Money

Market

InstrumentsOutstanding,（货币市场流通产品）1990-2004($Bn)商业票据1-*联邦基金与票据国债可转让存单银行承兑票据Capital

Market

InstrumentsOutstanding,资本市场流通产品1990-2004($Bn10亿)公司股票公司债券1-*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

foranother

(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

theimmediate

exchange

of

currencies

at

the

currentexchange

rate现期交易主要是以当前汇率并即时结算。The

“forward”FX

transaction

involves

theexchange

of

currencies

at

a

specified

date

in

thefuture

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。20Overview

of

Financial

Institutions金融机构概览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）21Flow

of

Funds

in

a

World

without

FIs:DirectTransfer（如果世界没有金融机构:资金流直接转移）Users

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)22Cash（现金）Example:

A

firm

sells

shares

directly

to

investors

without

goingthrough

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Flow

of

Funds

in

a

worldwith

FIs:Indirecttransfer（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(Assettransformers)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23Financial

Claims金融索取权(Deposits

and

Insurance

policies)(存款与保险)Risks

Faced

by

Financial

Institutions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24Ongoing

trends（当前趋势）Globalization（全球化）Securitization（证券化）Financial

Engineering（金融工程化）Computer

Networks（计算机网络化）25Raising

capital筹集资本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: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:pensionfund,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.证券的复杂性Maintain

company

privacy.维护公司的独立性Pricing

of

issue.发行定价Parties

involved

in

capital

transactions与资本交易相关的主体27Investment

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Investment

Companies投资公司简介28Mutual

Funds共同基金Hedge

Funds对冲基金Investment

Banks投资银行Commercial

Banks商业银行Investment

Securities投资工具简介29Debt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Chicago

Board

of

Trade芝加哥交易所Black-Scholes,

Merton

(1973)Mutual

Funds共同基金30Sources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某些持续表现良好Depends

on

time

period主要取决于衡量时间段Mutual

Funds

Overview共同基金概述31Mutual

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

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8.11万亿的资产Types

of

Mutual

Funds共同基金种类32Long

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Historical

Trends历史回顾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

19791979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

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，债券，新兴市场以及衍生产品基金开始大量出现Growth

of

theMutual

Fund

Market共同基金市场的成长帐户数34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-*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36Mutual

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

incurred

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Assets

in

MMMFs,2004(in

$B)2004年共同基金资产（十亿美元）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37Regulation管制38This

industry

is

heavily

regulated

to

protect

inve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

19331933年证券法Securities

Exchange

Act

of

19341934年证券交易法InvestmentAdvisers

Act

and

Investment

Company

Act

of

19401940年投资顾问法和投资公司法Insider

Trading

and

Securities

Fraud

Enforcement

Act

of19881988年内幕交易和证券欺诈实施条例Market

Reform

Act

of

1990

NSMIA

of

19961990及1996年市场改革条例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public

advertising

and

disclosure公开广告与披露

Information

problems:信息问题no

public

performance

records没有公开业绩记录data数据

data

vendors

only

maintain

live

fund出售者仅仅拥有当前的基金数据Offshore

Funds海外基金39Hedge

Funds对冲基金40Facts

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

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.

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:阿尔佛雷得.温斯洛.琼斯,社会学家,财富杂志编辑Industrysize产业规模managed

around

$2.5

trillion

at

its

peak

in

the

summer

of2008在其顶峰期的2008年夏天管理了大约2万5千亿美元41Fees收费management

fee

of

2%of

the

fund‘s

net

assetvalue

each

year

and

a

performance

fee

of

20%ofthe

fund’s

profit每年按基金净资产价值的2%收取管理费StevenCohen‘s

SAC

Capital

Partners

chargesa35-50%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

a45%performance

fee吉姆.西蒙斯的大奖章基金收取45%的业绩提成42Hedge

Funds对冲基金43Key

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,

derivatives)·

灵活的交易方式(卖空，杠杆交易，衍生工具)–

Rocket

scientists,

aggressive

strategy,

advancedmodels·

顶尖的科学家，激进的交易策略，先进的模型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,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

areselected

by

managers),

systematic/quantitative

(or

"quant"

-

where

theinvestments

are

selected

according

to

numerical

methods

using

acomputerized

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-marke4t4多样化：多位经理，多种策略，多类基金，多个市场Strategies策略Strategy

Allocation策略分布Strategy策略

Assets($bln)资产（$10亿）

PercentAssets资产比重

NumberFunds基金数量

Long/Short

EquityHedge做多/做空股权对冲28235%1148

Event

Driven时间驱动38.618%316Other其他40.79%316

Fixed

IncomeArbitrage固定收益套利38.6166

Global

Macro全球宏观32.68%146Emerging

Markets新兴市场31.77%168

Market

Neutral市场中性26.86%212Convertible22.25%124Source:Lipper/Tass数据来源Hedge

Fund

Location对冲基金分布Location地点

Percent

Assets资产比重

Cayman

Islands开曼群岛35%United

States美国32%British

Virgin

Islands英国维京群岛8%Bermuda百慕大群岛8%Bahamas巴哈马群岛4%Luxembourg卢森堡3%Asia亚洲4%Comparison

to

private

equityfunds与私募股权基金比较47Both

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

veryilliquid

assets

such

as

early-stage

companies

andso

investors

are“locked

in”for

the

entire

termof

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”Comparison

to

U.S.mutual

funds与美国共同基金比较48

Mutual

funds

are

regulated

by

the

SEC,

whilehedge

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

accreditedinvestor

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

dailybasis共同基金必须按日标价和结算We

Estimate

Current

Institutional

Investment

Globally

InHedge

Funds

To

Be

Around

$360BInstitutional

Investment

Globally

In

Hedge

FundsAbout

$360B全球机构投资于对冲基金约$3600亿30%of

overall

hedge

fundassets

are

held

byinstitutions全部对冲基金的30%由机构拥有Only

15%

of

institutionsare

currently

investedinhedge

funds仅15%的机构目前投资于对冲基金Hedge

funds

representabout

2%ofinstitutional

assetstoday目前对冲基金占机构资产约2%Total:

$361BGlobal

Institutional

Hedge

FundInvestmentDecember

31,

20052005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

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.澳大利亚其他中东除英国的欧洲英国美国日本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中国市场50History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,