Time

Saturday, September 27, 2008

价值投资不适合中国吗?

没有一个中国投资者不仰慕沃伦·巴菲特的大名,这位美国“股神”在四十年的投资生涯中取得了平均年收益率24%的辉煌战绩,其掌管的伯克夏·哈撒韦控股公司在《财富》世界500强企业中高居第301位。但是,巴菲特秉承的“价值投资”理念在中国却罕有问津,许多资深投资人士甚至认为价值投资不适合中国市场,巴菲特的经验没有任何意义。那么,究竟什么是价值投资?价值投资真的不适合中国市场吗?

华尔街著名投资专家、哥伦比亚大学商学院教授本杰明·格雷厄姆在1934年出版的《证券分析》一书中首先提出了价值投资策略,其基本思想如下:首先,股票市场的价格波动带有很强的投机色彩,但是长期看来必将回归“基本价值”,谨慎的投资者不应该追随短期价格波动,而应该集中精力寻找价格低于基本价值的股票;其次,为了保证投资安全,最值得青睐的股票是那些被严重低估的股票,即市场价格明显低于基本价值的股票,这些股票几乎没有再次下跌的空间,从谷底反弹只是时间问题,投资者集中持有这些股票就能以较小的风险牟取较大的收益。

价值投资的基本思想很简单,但是面临两个重要问题:什么是股票的“基本价值”?什么样的股票算是“严重低估”?格雷厄姆认为,一家上市公司的基本价值是这家公司所有资产的重置成本,也就是在当前条件下“重新建立”这样一家公司所必须的成本。举个例子,假设重新建立一家与IBM公司规模相当、主营业务相同、竞争力不相上下的公司需要花费1000亿美圆,那么IBM的基本价值就是1000亿美圆。为了确定公司的重置成本,格雷厄姆把大部分精力用于财务报表分析,力图找出财务报表中被低估、隐瞒或忽略的资产,并根据市场实际情况估计“重新购买”这些资产究竟值多少钱。不同行业的公司资产的重置成本往往千差万别,高科技企业的资产实际价值经常远远高于其账面价值,夕阳企业的资产却有可能一文不值,必须经过详细的个案分析才能确定。

如果公司股票价格只是略低于它的基本价值,格雷厄姆并不会急于购买;只有当股票价格比基本价值低50%甚至更多的时候,他才会认为它被市场“严重低估”了,推荐投资者放心大胆的买进。50%的价值差距足以弥补投资者可能出现的判断失误,也足以抵消市场可能存在的偏见。一只股票可能迟迟无法上涨到基本价值水平,但它不会长期停留在被严重低估的水平,只要来一次小规模反弹,就足以令投资者受益非浅。

格雷厄姆的《证券分析》出版之时,正值1929-1932年股灾结束,华尔街股市哀鸿遍野,充斥着跌破净资产的股票,是价值投资的大好时机。通过大量搜集上市公司财务数据,格雷厄姆及其同事找到了无数的符合价值投资理念的股票,并在随后的反弹行情中赚取巨额利润。但是此后数十年,随着公司财务信息日益透明、投资者素质日益提升,想在股市中找到被严重低估的优质股票已经越来越困难。到了1975年的大牛市时期,纽约证券交易所几乎没有什么股票符合格雷厄姆的“严重低估”原则,当时年过八旬的格雷厄姆本人甚至发表了一篇文章,宣称随着市场越来越有效,通过分析财务报表找到被低估的股票已经不现实了,即使偶尔能找到符合条件的股票,获得的利润也不足以弥补投资者付出的时间和精力。这篇文章被主流金融学家视为价值投资死亡的标志,晚年的格雷厄姆终于向“有效市场假设”投降了。

但是就在格雷厄姆放弃价值投资策略的同时,彼得·林奇、马里奥·加比利等价值投资者却仍在取得远远高于市场平均收益的利润。作为格雷厄姆的学生,1970年代之后名声鹊起的沃伦·巴菲特在理论上和实践上都把价值投资推向了一个新的高度。结果在20世纪的最后20年,价值投资基金不但没有消亡,反而日益壮大,诞生了不少著名基金经理人。

巴菲特承认,仅仅凭借财务报表分析已经不可能在当前的股市赢得利润,因为现在的信息太公开了,价值评估专家也太多了,报表里能够被发掘的东西早已被发掘完毕。因此,价值投资应该关注“财务报表之外的价值”,比如公司的品牌价值、客户忠诚度、技术领先程度、长期经营理念乃至高层管理人员的能力和性格等等,这些价值是不会出现在财务报表上的。例如巴菲特最欣赏的可口可乐公司,其品牌价值排名世界第一,这就使它的股票能够维持很高的市盈率,远远超过类似的饮料公司。实际上,巴菲特考察的还是公司资产的重置成本,但是他把无形资产作为公司资产最重要的组成部分,从而超越了传统价值投资拘泥于财务报表和固定资产的保守观念。曾经被巴菲特长期看好的公司还有吉列刀片、华盛顿邮报、花旗银行等,几乎都是拥有强大的无形资产、在本行业拥有近乎垄断地位的公司。巴菲特本人毫不讳言,他追求的是公司的“特许经营权价值”,这个特许经营权不是政府赋予的,而是公司管理层在长期的正确经营方针中从客户那里争取到的,这才是烧不掉、拆不毁、偷不走、压不碎的核心竞争力。

二十多年来,模仿巴菲特投资策略的人很多,但是成功者很少,一个重要原因是他们缺乏巴菲特的耐心。在挑选股票的过程中,巴菲特的耐心可谓无人能及,他会跟踪一家公司几年甚至十几年,会定期拜访公司的管理层和主要客户,还会雇佣市场调查机构详细分析该公司的市场处境,经过漫长艰辛的筛选过程才能做出决定。巴菲特持有股票的时候更加耐心,他拒绝一切短期套利行为,五到十年的投资周期对他来说还算短的,最理想的投资周期甚至是“永远不卖”——例如他对待可口可乐股票的态度。在中国股市,仅仅一年的投资周期都会被认为是长期,怪不得基金经理都认为巴菲特“不符合中国国情”。

巴菲特的“寻找特许经营权策略”逐渐成为价值投资的主流,但独立于这一主流之外的价值投资基金仍然为数不少。近十年来赢得巨额利润的蜂鸟价值基金经理保罗·D·索金以投资小企业闻名,他寻找的都是标准普尔指数范围之外的小盘股或新股,这些股票一般不会被大基金注意,投资银行的分析师也不会花时间研究它们,因此其价值常常被低估。索金大量买进经营情况良好的小盘股,等待它们扩张成大中型公司,引起其他投资者的注意,股价往往会出现飚升;如果一家小企业最终成长为标准普尔甚至道·琼斯的指标股,其涨幅就更令人难以想象。在索金的鼓舞之下,近年来全球“小企业投资基金”数量明显增加,中国目前也产生了类似的萌芽。

归根结底,价值投资的原则只有一条:寻找被市场严重低估的股票,并予以长期重仓持有。价值投资者一般不太重视企业的未来增长能力,企业目前确实具备的资产才是最重要的,无论这种资产是有形的还是无形的;他们反对正统金融学的“分散投资”理论,投资的股票数目较少,巴菲特的投资组合甚至常常只包括不到十只股票;最后,他们还反对技术分析和短期套利,认为只有长期投资才是盈利能力最强的投资。所以,尽管价值投资者的总体业绩在长期看是比较好的,但并非每个人都愿意学习他们、向他们靠拢。

如果格雷厄姆活着看到了今天的中国股市,他肯定会惊叹于这里存在的价值投资机会。虽然大部分中国大陆上市公司的财务结构很差,市盈率偏高,ST、PT股层出不穷,但在无边的沙砾之中仍然能找到少数闪亮的珍珠。由于整个市场不景气,投资者普遍缺乏信心,呈现严重供大于求的局面,某些优质大盘股往往深受其害,价值被严重低估。例如,谁能相信中国最优秀的钢铁公司——宝钢的股价居然跌破了净资产?谁能相信中国劳动生产率最高的邯郸钢铁股价居然才勉强超过净资产的一半?谁能相信齐鲁石化、西山煤电、扬子石化等盈利状况良好的大型国有企业,居然只能维持5到6倍的市盈率?这些大盘蓝筹股之所以长期低迷,很大程度上是受到了中国资本市场气氛的拖累,此外也受到了中国投资者迷信“概念”“消息”、忽视公司内在价值的影响。在国内市场上得不到青睐的大盘自然资源股,在海外上市过程中却经常受到追捧,今年风靡国际市场的神华煤矿干脆不在国内市场上市。国内某些所谓的网络题材股可以创下100多倍的惊人市盈率,而在大洋彼岸的美国,像GOOGLE这样的一流网络公司也只能维持40倍左右的市盈率。有人说中国股市目前仍然被高估了,但被高估的股票显然不包括那些真正的蓝筹股。

从长期看来,中国的钢铁、有色金属、煤炭、石油化工、电力等行业的大公司显然符合价值投资的原则,即使在美国股市最低迷的1932年,也很难找到这么多跌破净资产的优质股票了。以上行业在欧美虽然已经进入“夕阳产业”行列,但在中国却仍是方兴未艾,随着世界自然资源的不断消耗,其重要性还将不断上升。问题在于,中国投资者是否能耐住寂寞,长期持有这些优质资产,等待股市改革全面完成、股票价格向基本价值回归的那一天?这段等待或许需要三到五年,或许需要五到十年,按照巴菲特的观点,只是短短的一瞬,但对于习惯了以几个星期甚至几天为操作周期的中国投资者来说,实在是太漫长了。一位国内著名投资银行人士曾说,按照巴菲特的长期投资操作,中国的基金经理人都得下岗,因为一年两年不见效,投资者就要叫苦连天,只有短期套利才能赢得他们的青睐。

当中国投资者一再拒绝价值投资之时,境外基金却早已盯上了被低估的中国蓝筹股,宝钢、邯钢、铜都等跌破净资产的股票都是QFII的重点持有对象,随着QFII的不断增加,这种局面还会加剧。这样一个难得的机会,如果不被中国投资者抓住,就要被外国投资者抓住。恐怕只有到那时,中国投资者才会真正心悦诚服的接受“价值投资”的理念。

Friday, September 26, 2008

股市行情与金融危机现状严重脱节

对好几代美国人来说,要回答“市场今天表现如何?”这个问题很容易,只要说“看看道琼斯指数去”就行了。可这招现在不灵了。

眼下,股市表现似乎常常与正困扰整个金融体系的信贷危机是脱节的。周四就可以看出这一点。道琼斯工业股票平均价格指数开盘走高,投资者希望国会即将通过的拯救计划将给金融体系送上一副良药。

但处于当前这场金融风暴中心的短期信贷市场却是另一番景象。作为银行间市场美元贷款的基准利率,伦敦银行同业拆息(Libor)从3.48%跃升至3.77%,幅度之大为1999年以来所仅见。与之类似的基准利率纽约银行同业拆息(NYFR)同样大幅上升。

Libor和NYFR的跃升显示,各银行越来越不愿意与同行进行业务往来。MKM Partners的首席经济学家迈克尔•达达(Michael Darda)说,从这两个基准利率周四的动向看,或是信贷市场参与者认为华盛顿推出其救助计划的速度够快(尽管方向不对),或是一家主要参与者目前陷入了大麻烦。

他说,这让人非常不安,过去一年中已出现过几次信贷市场与股票市场走势背离的情况,实际上每一次事后都证明股市的方向是错的。

以今年7月为例,当时股市开始了一轮长达一个月的上涨行情。但Libor与三个月期隔夜拆息指数掉期之间的息差却在扩大,后者反映了市场对美国联邦储备委员会(Federal Reserve)隔夜拆款利率未来三个月平均水平的预期。这表明信贷市场的担忧情绪正在上升。周四,这二者之间的息差达到了两个百分点,而本月初时仅为0.8个百分点。

Dover Capital Management的首席投资长道格拉斯•克里格特(Douglas Cliggott)说,我们的信贷市场仍然存在着严重的功能缺陷,债务依然是经济运行的氧气,所以如果我们无法使信贷引擎发动起来,我们将遭遇一场严重衰退。

虽然股市从不是反映金融体系健康状况的灵敏晴雨表,但在以往的金融危机期间,股市对金融市场真实情况的反映却比这次要强,因为股市与市场行为的关系更紧密。比如速买速卖的股票交易策略就对1987年那场股灾负有重要责任。而1998年的金融危机虽然发端于债务问题,但由于身处风暴中心的对冲基金长期资本管理公司(Long Term Capital Management)被迫大量抛售股票,这场危机的危害很快便在股市上反映了出来。2000年那场因互联网泡沫破裂而产生的金融危机股市更是整个事件的主角。

而股市在当前这场危机中所扮演的角色却不那么直接。投资者目前都在试图破解信贷问题将在多大程度上影响经济增长和企业利润这一难题。人们缺乏衡量金融状况恶化程度的明确指标,相关信息也嫌不足,用Trilogy Global Advisors首席投资长威廉•斯特林(William Sterling)的话说,这营造了一种不明朗氛围,这种状况下股市活动很大程度上变成了一种投资者相互猜对方心思的游戏。

此外,许多金融公司的处境目前是如此险恶,现在买进或卖出它们的股票几乎可以和赌它们能否生存下去划等号。这都使金融公司的股票具有令人难以置信的高波动性,不时向希望通过观察这些股票走势来判断金融市场状况的投资者传递各种令人困扰的信号。

新多投资者通过观察Libor来评估金融市场压力。他们通常关注Libor与隔夜拆款利率指数掉期和三个月期美国国债收益率等相关利率的息差。投资者关注的其他指标还有银行和企业所发行商业票据的利率,以及Markit CDX指数,后者是基于防范125家投资级公司出现信贷违约的保险成本以及联邦基金利率的变动情况计算出来的。

但这些投资者关注的指标却都不大靠得住。有段时间信贷分析师们曾很看重ABX指数,它反映了各种次级抵押贷款支持证券相关信用违约掉期的价格变动情况。该指数从2006年起就反映出次贷问题的波及范围。但这个指数目前已经跌得一塌糊涂,而且波动非常厉害,因此它作为预测指标的价值也就下降了。

Thursday, September 25, 2008

Why Singapore's STI Could Fall Another 700 Points

 Remain Sell SGX, target S$4.70: Citi has cut Singapore GDP forecasts, now signaling a mild recession, with possible risk to the downside. History suggests the STI can fall >50% from peak for prolonged downturns. So if the recession deepens, we can make a case for the STI to retrace to 1800 (STI peak was 3830) by mid-2009, which on a bottom-up basis is 1.1x trailing P/B, and suggests that consensus earnings may fall c.30% from peak.

 Why the STI may fall to 1800: This note identifies 7 STI cycles from 1975 to 2003. Four of these bear markets saw recessions, and the STI fell on average 49% (worst fall: 62%) from peak over 84 weeks, giving up 97% of its bull mkt. gains. For the present (8th) STI cycle, the index rose from 1170 (Mar-2003) to a peak of 3830 (Oct-2007). Today's bear market is now 50 weeks old, and at 2477 the STI has fallen 35% from peak. Depending on the depth of a possible recession, we view an STI of 1800 by mid-2009 is no longer unrealistic.

 Singapore — slipping into recession: Citi economist Kit Wei Zheng has cut Singapore GDP forecast to 2.8% for 2008E and 2.5% for 2009E, expecting a technical recession in 3Q08, citing NODX contraction, tighter funding, with potential knock-on effects to Singapore's labor and property markets. He guides that the trough of GDP fall may come in 1Q 2009, but also cautions that the downturn may prove more protracted than currently forecasted.

 Bottom-up view: STI 1800 = 1.1x P/B, c.30% peak earnings fall: Our 12 Sept SGX report documented a bottom-up approach to value the STI trough. The multiples implied by an 1800 target seem realistic if the downturn deepens.

游客人数连跌三个月 酒店业前景严峻

由于到访本地的游客人数连续三个月下滑,星展集团研究认为本地酒店业的前景恐会相当严峻,在酒店股中只建议吸购雅诗阁公寓信托(Ascott Residence Trust)。

据新加坡旅游局发布的数据显示,我国上个月份的抵境旅客人数连续第三个月下降,和去年同期相比下跌7.7%到84万2000人,是2003年爆发沙斯疫情以来的最大一次跌幅。平均客房收费为232元,比去年同期上涨4.9%,但平均客房入住率只有81%,比去年同期下滑了9.5%。

有关数据大致上符合星展集团研究的预期,毕竟受到中国举行奥运的影响,8月份的本地旅游业应该会保持疲软,预料同上半年比较,旅游业下半年的表现会放缓下来。此外,区域通胀率走高以及放慢的经济增长导致旅游类的开销减少,中期而言,全球经济的放缓将拖慢旅游业。

尽管本月份的业内表现料会因一级方程式(F1)夜间赛车在本周末开跑而一度好转,中期的旅客数字恐会因疲弱的基本面而进一步放慢下来。

考虑到本地酒店业接下来缺乏有利刺激因素来重新获得评级上调(re-rating),以及业务面临潜在的严峻前景,星展集团维持对这个行业的“中性”评级,并对于酒店股采取选择性吸购的态度,毕竟放慢下来的入境游客人数意味着许多酒店以后的收入会转弱。

城市发展酒店服务信托(CDL Hospitality Trusts)的盈利可能因营收放缓而转弱,以致限制了其短期的表现,星展集团仍然保持对它的“持有”评级,目标价为1.23元。

其他获得星展集团“持有”评级的酒店股,还包括新加坡置地(Singapore Land)、旅店置业(Hotel Properties)和华业集团(UOL Group)。至于安国控股(Amara Holdings)、悦榕控股(Banyan Tree)和大中酒店(Hotel Grand Central),星展集团则给予它们“全面反映价值”的评级。

Saving America

The US financial system could go under without swift action from the global community

Banning short selling, establishing a government entity for warehousing bad assets and guaranteeing money market funds have brought relief to financial markets. But this may be temporary. The US still needs to find money to pay the losses from disposing of bad assets, decreasing leverage in the real economy and financial sector, and finding a non-debt-driven method to make the economy grow. The road ahead will be long and hard. The global community may have to work together for a solution.

Market pressure has forced the US government to adopt the barrage of newmeasures. The origin of the crisis is excessive leverage, especially at Wall Street brokerages. Short sellers have learned to bring them down. They short their shares to create a panic that sends their trading counterparts fleeing. The resulting loss of liquidity bleeds the highly leveraged brokers to death. Obviously, banning short selling allows them to live longer. Ironically, Wall Street created the short sellers or hedge fund industry after the hi-tech bubble burst to juice up its businesses.

Like a modern day Oedipus tragedy, they have come home to slay their parents and take their homes.
However, technical changes don't alter the fundamentals. Businesses that live solely on increasing leverage are no longer viable.
Deleveraging is inevitable, which could lead to a gut-wrenching recession. Every sector in America is overleveraged. Where can they find the money to recapitalise the economy?

The solution to America's crisis must involve the countries that own US$10 trillion in foreign exchange reserves. The US economy is undercapitalised. An internal solution is usually one form of debt replaced with another. The current proposals fall into this category.
When the shell game runs out of options, printing money is the only way out. That will eventually lead to the US dollar collapsing and hyperinflation in the US economy.

The world should come together to prevent such a tragic ending.
Countries with big foreign exchange reserves like China, Japan, Kuwait, Saudi Arabia and the United Arab Emirates, for example, should sit down with the US government to find a way to recapitalise its economy.

专家纵论金融危机:不应低估政府救市正面效果

主持人:观众朋友您好,欢迎收看中央电视台经济频道正在直播的特别报道《直击华尔街》,今天我们追踪金融危机最新动向。

主持人:很多朋友读过您那本《货币战争》,大多数人并不清楚您在美国工作过,您曾经历过风暴之前看起来很平静甚至繁荣的时期,那时候风暴已经在孕育之中。

宋鸿兵:没错,在05年06年的时候,在《货币战争》里面已经谈到债券(资讯,行情)会出问题的部分。我们提出这个风险,我们发现在整个风险机制上,实际上基于两个比较有问题的假设。认为长期而言,美国房地产市场违约率不会有大幅度上升,在一个窄的区域内波动。另外利率市场不会有剧烈抖动,基于这两个假设,所建立一整套机制,我们当时提出如果是经济学拐点,出现了大幅逆转现象,一旦违约率利率突变,整个这套东西就会产生后果。

主持人:这两个假设都不存在。

宋鸿兵:05年和06年杠杆比率33倍,后来到60倍,美国房地产下跌25%,四万亿美元灰飞烟灭,两美是无非承受这样的形势,破产早就注定。

  主持人:希望今天节目里面宋先生能给我们提供特别的视角。

  我们来看新闻,胡锦涛同美国总统布什通电话,双方就中美关系以及就金融形势问题交换意见,布什说美国政府认识到问题的严重性,将继续采取措施来稳定和国际金融市场,美国政府为稳定国内金融市场采取重要措施,希望这些措施能够迅速见到成效,使美国经济金融状态得到好转,这符合美国利益也符合中国利益,有利于维护国际金融市场的稳定,促进世界经济健康发展。华尔街风暴成为中美两国重要的议题之一,今天是美国政府的第一个交易日,全球各大市场有什么反映,华尔街迎来什么样的一周,今天《直击华尔街》我们就来关注这个话题。

主持人:华尔街风暴挂了一个星期,过去一个星期世界各国股市都受到华尔街金融风暴的冲击,世界各国都在稳定市场,这些努力得到什么回应,今天是本周第一个交易日,我们关注一下A股市场,全线涨停以后,本周股市怎么走,今天股市没有让投资者失望,成交量达到了近期的最高。

记者:沪深两市出现大幅高涨,随后出现小幅回落,在权重股带动下,继续振荡上行,两市超过1600余元,比上一个交易日放大一倍多。工商银行建设银行(601939)全线涨停,所有板块全线飘红,煤炭行业处于涨幅状,上证指数161.32点。

  张翔:投资者应该把关注点,更多地落到经济面的实际运行状况上来。

  主持人:中国政府稳定市场的举措,连续拉动A股大涨,引起国际银行的关注,我们今天采访到香港资深投行人士温天纳。

  温天纳:中央政府有一些新的救治政策,我们市场也有一些回购的安排。虽然经济不是一下子可以过来,但是信心逐步恢复正常,完全恢复正常还需要一段时间。股市可能会在这个水平上落下来,数据如果做好,我觉得对股市应该有一个正面的支持。

  主持人:我们转向香港股市,我们请驻香港的记者陈璇。

  陈璇:香港所有的媒体都在预测,到底会不会重新回到两万点,港股今天的表现不像大家预测的一样。在早上开盘的时候高开五百点,然后受到外盘的压力。到收盘的时候,恒生指数上升到304点。

  主持人:不仅内地股市和香港恒指,一起再浏览一下亚泰地区的收盘情况。

  解说:台湾地区、台北股市今天跳空高开,最终收盘上涨140点。澳大利亚方面,受海外股市19号大幅走高,澳大利亚主要股指ASS200大涨214点。

  主持人:我们再来看一下欧洲股市今天早晨的表现,22号早晨小幅高开后下跌,银行内的股票也下跌,矿业保险类股票在上涨,德国安联保险公司涨了3.1。我们再来看一下下条消息,无论是国内还是国际市场,对于各国政府干预市场这个举动,都抱着欢迎的态度,现在上涨不仅仅是股市的指数,也是大家对未来信心指数。我们对宋先生做一个采访,宋先生看到各国股市普遍出现反弹之后,您是否认为,各国此前采取一系列救市措施,达到了预期的效果?

  宋鸿兵:从短期来看达到预期效果,但是应该从长远角度来看这次危机本质是什么。我认为美国7000亿救市计划,实际是靠以增加国债为代价,去购买美国一些债券市场,失去流动性的债券产品,包括两美的短债。在这样的过程中是解救金融机构。到第二阶段,实际上不仅仅是金融机构的问题。其实问题本质在于美国资产价格,房地产价格出现下滑趋势非常猛烈,引起最大的问题是违约率大幅上升,以美国救市方法来看主要是来挽救金融机构。对于普通人民,陷入危机的购房者,没有给予相应足够的不偿。这好比是一个病人,真正产生病的是违约率,导致大量化脓。然后就一层一层往上裹绷带,这个病根没有消失。

  主持人:刀口还在,关键刀口能不能自己愈合。

  宋鸿兵:不解决违约率上升问题都没有用。

  主持人:这都是无法自行的。

  宋鸿兵:现在裹上去之后,暂时解决问题,但是再过几个月,还会使金融机构爆发更严重的问题,这是治标不治本。短起可以提高信心,但是长期来看,如果不能真正解决按揭贷款违约率,包括垃圾贷款违约率急速上升,现在所做的一切很可能最后还是难以避免更大的冲击波。

  主持人:对于未来几周资本市场的走势,现在也出现了一些分歧,有些观点比较乐观,觉得这个市场会沿着比较好的方向发展,但是也有一些声音比较悲观,他们觉得在华尔街风暴压力之下,股市上行空间不会,你的观点是什么?

  宋鸿兵:我是属于谨慎悲观。

  主持人:不是乐观派也不是特别悲观。

  宋鸿兵:政府救市能够起到提升信心作用,不应该低估正面的效果。如果救市计划不配以长期调整,从根本上减轻按揭贷款负担的压力,如果只有短效而没有长效治疗方式,对短期救市策略难以持久,只有长效互相配合才能起到治本的作用。

  主持人:现在看到一些大的金融机构出现的问题,也看到各国政府采取的一些措施,大家很难看到超大规模的机构投资者,他们这个时间在做什么,不知道宋先生有没有关注大的机构投资者的动向。

  宋鸿兵:这很有意思的问题,我在整个次贷危机中唯一有一个问题没想明白,我们知道金融市场是有输必有赢,我们知道谁赔了谁赚了,但是大小非或者其他上市公司赚钱,谁赢谁输一目了然。在整个次贷危机中,看到全都是抽象,日本、东南亚一些,英国、欧洲、美国现在都在赔钱,到底谁赚了。

  主持人:你的结论是什么?

  宋鸿兵:我没有结论,我只是提出一个问题。这是中国人必须要想清楚的三个问题,第一,谁赚了这些钱;第二,怎么赚;第三这些钱在什么地方,如果没搞明白,我们还不知道国际金融市场什么事。

  主持人:在今天节目中,宋先生会继续跟我们探讨有关本次华尔街风暴幕后的消息,接下来我们去一段广告。

  主持人:好,欢迎回来,这两天美国政府的7000亿美元救助计划,成为国际金融接一个热门话题,美国财长保尔森一天跑了两家电视,向电视台解释这个计划。

  保尔森:现在看资本市场如此脆弱,我们的市场究竟怎么样了。我们要尽快通过这项援助计划。我们国家有许多需要帮助的人,但是现在我们能给美国人民的,这是势在必行。

  主持人:美国政府现在的举动说明他们已经意识到要解决全球性的金融危机,仅仅美国一家单独行动还是不够的,而一旦日本和欧洲这些国家群起效应美国呼应,这是全球性的救市活动。对这样无可奈何的选择,有的人提出质疑。

  阿戴尔:我们真的需要回头来看,在全球范围内认真检查自己的整个体系,找到问题的症结,从而解决问题。

  主持人:日本向金融市场注入1.5亿日元,这已经是日本央行连续五个工作日的注资。

  解说:日本央行在网站上宣布消息。以外资银行为中心的金融机构,本月16号以来,日本央行连续五个交易日,对市场进行注资,约合1615亿日元。为应对金融市场流动性短缺,日本央行与联邦储备委员会达成互换协议。

  主持人:日本自民党选举产生的新总裁麻生太郎,他将出任日本下一个首相,他上来将如何面对经济的衰退。

  麻生太郎:我们制订政策,防止日本经济随之下滑。

  发言:他上任之后,采取的政策可能要比福田力度大,在结构调整,在其他法案修改方面,会推出力度比较大的对策,这样对日本经济能够尽可能地避免或者缓解目前衰退的趋势,会产生大的积极作用。

  主持人:美国财长保尔森一天跑了两家电视台,他在呼吁各个金融机构参与美国救市计划,您对这项新闻产生什么样的判断,这个新闻传递出来什么信号?

  宋鸿兵:这说明游戏结束,得有人买单,美国不愿意自己买单。现在大家比较无奈,不帮美国,全球一起下水。在这样过程中,很多是处在既无奈又无可选择。

  主持人:最重要的机构,各大机构都应该帮助他们。

  宋鸿兵:看起来是。

  主持人:各国政府都在采取一些措施,特别是美联储和各国央行都在响应市场注入流动性,这种做法是不是根本上解决这次金融危机。

  宋鸿兵:肯定有作用,美国邮报公布一个消息,一天之内可能狂跌。我的问题还是短期注入资金,能不能解决最根本的问题,能不能使美国房价反弹,能不能使违约率下降,这个东西仍然是短期的,很难持久。

  主持人:还是刚才您举的例子,这个伤口已经化脓,通过包扎手段,没有办法使伤口愈合,要使用更加长久措施才行。

  宋鸿兵:这个过程很可能很痛苦,因为你要刮骨疗毒,要把伤口切开,很可能这个过程很痛苦,要没有这个过程,很难真正康复。这仍然比较严重。从目前美国救市方式来看,我觉得大家还在回避问题,没有真正经受比较痛苦的治疗方式,还想用救济和燃眉之急的措施,把这个问题能拖则拖。但是这个方式不足以解决根本性问题。

  主持人:这次伤口的程度需要采取刮骨疗伤这样疼痛的手术吗?

  宋鸿兵:这次危机是一场金融危机,从全球来看是全球经济结构的问题,这个问题不是一年两年,由于美元体系的资源错配,导致整个全球生产和消费之间产生了严重的失调。中国成了全世界最大的商品生产者和世界工厂,主要消费者就是美国,这两者间最大的问题,美国以借债为方式。美国全国储蓄率从1980年的10.06%,逐年下降,到小布什刚上台变成3%点多,05年出现负数,美国全国进入不储蓄状态。我们看美国觉得GDP还不错,房地产价格涨得很好,还打了两场战争,就业率比较高,各种经济数字看起来非常好。这中间有了问题,既然不存钱,又要花钱,还花这么多钱,钱从哪来,美国是在借别的国家的储蓄来实现自己GDP的发展。这种手段通过金融创新,全球资本一体化,向其他国家借储蓄,这些钱从07年有5万亿美元就流到美国资本市场,到美国起两个效果,第一,抬高美国资产价格,包括房地产价格。第二,压低了美国长期贷款利息,再加上美国老百姓提供各种各样金融创新,使老百姓很容易把增值部分套现,拿出来花,还能买车,这个过程就刺激GDP。

  主持人:冰冻三尺非一日之寒,要解决这个过程是很痛苦的过程。

  解说:美联储批准转变身份,成为金融危机中一个剧烈变化。美国五大投行就剩高盛和摩根史丹利。从某种意义上,意味着传统华尔街的终结。

  主持人:华尔街风暴每天都有进展。您对于刚刚发生的这个消息摩根史丹利和高盛的选择,在您看来是否意味着华尔街风暴投行时代的终结。

  宋鸿兵:从投行特点来看,他们玩高低杠杆。如果像现在出现的资产价格往下大幅度走跌,或者债务型危机,从现在情况来看,华尔街单靠投资银行,已经难以维持了,他们选择了变身,这也是自保。他们这种投资银行模式已经不存在了。

  主持人:这认为是华尔街的神话。

  宋鸿兵:这个神话破灭的时候,以这个为特点的经营模式烟消云散。

  主持人:华尔街风暴之后,每天都有连锁反应,下一段节目里,我们看其他国家其他市场正在发生的连锁反应,先去一段广告。

  主持人:随着雷曼兄弟的倒下,日本最大的证券集团从控股得到了雷曼兄弟亚洲区整体业务。

  解说:欧洲业务将成为竞购重点,在20号得到法院批准,雷曼兄弟欧洲子公司,要求退还前几天转入80多万资金。在周一,15号开市前,总部决定申请破产保护。

  主持人:作为世界金融核心华尔街金融风暴迅速波及全球,我们浏览一下各国风暴袭击之下的市场。

  解说:目前,各国央行只认可本地资产做担保,外资机构很难从中央银行筹措资金。美国政府拟定7000亿美元救市计划,将有助于稳定市场。荷兰国际集团 ING银行表示,新兴市场及银行在再融资方面有困难。澳大利亚出台规定,从今天起禁止投资者卖空证券。委员会称卖空禁令至少一个月。

  主持人:今天我听到一个关于这次金融风暴的笑话,华尔街现在最缺什么,答案是最缺纸箱子。作为曾经在华尔街工作的人,面对此情此景,会有跟我们完全不同的感受。

  许小年:当时在次贷危机出来以后,觉得美国的金融体系要有一个比较大的重组和调整,但是没有想到现在已经危机到整个信用体系,甚至有可能整个金融体系崩溃的可能性都存在。

  解说:9月16号,雷曼兄弟宣布破产,许小宁从朋友那听到消息,一些在华尔街工作多年的朋友,因此出局。

  许小年:华尔街的朋友,包括在纽约在香港的,几天之内失去工作,多年积累的资料搬出办公室,这个状况还是很惨烈的。

  解说:让谢国忠感受最深的是美国人生活水平的状态。

  谢国忠:原来美国人的车比人多,现在出去都不开车了,大家早上起来,一个车要挤四个人。第二,不上饭店了,自己家里煮饭,生活水平开始下降了。

  解说:面对这场大地震,美国政府准备启动最大型的救市方案,动用7000亿美元购入不流动债券,消息一出,欧美亚泰股市飙升,人们看到希望,美国政府救市的决心,为人们注入分量最大的强心剂。

  记者:您怎么评价这些措施带来效果?

  许小年:我觉得方向是对的,现在最重要的任务是尽快恢复市场的信心。现在看到有希望避免金融体系的崩溃,强心剂不能救根本。

  谢国忠:损失由谁来付,现在把私人债务变成国家债务,美国政府也有问题,美国政府的债很高,现在负债超过10万亿美金,所以美国政府都有可能从技术上来说是破产机构,它的股凭什么负更多的债。

  解说:如果这场危机继续蔓延,救援资金会更久。

  谢国忠:美国家庭的债务13万亿美金,现在四五百万家庭破产,经济不好,破产的更多,经济的每一个角落,都没人有钱,现在想象政府有钱,把债务转到政府口袋里,带来暂时稳定。

  记者:还需要多长时间,才能恢复到危机发生之前的状况。

  谢国忠:美国的债务帝国是崩溃了,什么样的新的世界出现不知道。

  许小年:很难讲,美国这次处理得当,或许不会产生日本那样十几年箫条。

  主持人:节目刚开始讲到华尔街精英面对的选择,宋先生曾经在华尔街工作过,你看这新闻,感觉亲切还是伤感?

  宋鸿兵:同病相怜,这些人的境遇,都面临现实性的问题。

  主持人:他们会做何选择?

  宋鸿兵:可能选择会不一样。有相当一部分准备回到中国发展。

  主持人:你会不会庆幸早些离开。

  宋鸿兵:我很幸运。

  主持人:谢国忠和许小年讨论这个问题,美国华尔街风暴是不是到了最坏的时候,是不是开始出现向未来转好的迹象?

  宋鸿兵:我个人认为不是最坏的时候,我在年初的时候,我六月份提出一个观点,次贷危机在六七八三个月会有危机,这不是随随便便凭口而说,按照我们测算,到六七八月份,将面临美国按揭贷款最大利率承受,会导致美国很多家庭因为付不起贷款而出问题。07年2月份到5月份称为次贷危机,从今年6月份以后是信用违约,特点是信用没到期,两美为什么出问题,包括雷曼,VIG,他们共同的特点在金融衍生产品中出了大问题,这是他们共同的问题。这个危机完没完,只是按揭抵押贷款出现问题。在后半年将会发生企业债,这中间的次级贷,会再次冲击金融体系,不知道哪家银行面临更大问题。由于信用衍生品放大,这次出问题,就高于2001年的衰退,这非常值得有关部门高度警惕。

  主持人:在信用危机之后,会是什么样的结尾?

  宋鸿兵:很多金融机构会撑不住,他们认为这些银行会出现破产情况,到目前为止,美国银行倒了12家。随着CDS不断冲击,信用违约的问题越来越严重,从按揭贷款扩散到信用卡,再扩散到车贷,再扩散到企业,信用违约问题会越来越严重。这个发展过程使很多金融机构出现严重问题,这是第三个阶段,有可能大量金融机构流动性被摧毁,导致美国长期贷款会出现问题。

  主持人:这些危机重点在什么地方?

  宋鸿兵:这个市场几百万亿,如果要出现问题,摩根大通出问题,危机到了顶点。

  主持人:想尽一切办法,就要防止出现火山爆发。能防止吗?

  宋鸿兵:从目前金融机构力度和法律审批速度倒还可以,从经济格局变化来看,信用违约情况还再继续恶化。我现在担心当垃圾债券,占美国企业全部债券40%,到年底很可能会破10%,信用违约再次发威,到时候会拖垮很多银行。再往后发展,情况还很难判断。

  主持人:这个危机持续多长时间,不好说。现在世界各国在联合行动,希望能够共同来控制这场风暴。在29到33年的时候,那场经济危机的时候,我们看到各国在各自为战,会导致更严重后果。这次会让我们齐心协力渡过难关。非常感谢宋先生跟我们一起讨论,相信您的讨论会给大家带来启发。接下来我们会有国内重要新闻请不要走开。

Monday, September 22, 2008

定量分析师

定量分析是一个人的作品在谁利用数值资金或定量技术。 类似的工作是在其他大多数现代工业,但工作不是所谓的定量分析。在投资行业,人们谁执行定量分析往往是所谓的定量分析师。

尽管最初的定量分析涉及风险管理和衍生产品定价,一词的含义已经扩大随着时间的推移,包括这些人参与了几乎所有的应用数学在金融。 一个例子是统计套利 。

历史
罗伯特默顿 ,先驱的定量分析,介绍了随机演算的研究资金。定量资金开始在美国在20世纪30年代的一些精明的投资者开始用数学公式对价格的股票和债券。

哈里马科维茨的1952年博士论文“投资组合”是第一个正式文件,以适应数学概念资金。马科维茨正规化概念意味着回归和协方差为普通股,使他量化的概念, “多元化”的市场。 他展示了如何计算的平均回报和方差对某一投资组合,并认为投资者应举行只有那些组合的差异是最小的投资组合中某一平均回报。 虽然语言的资金目前涉及伊藤演算,尽量减少风险量化的方式很多基础的现代理论。

1969年罗伯特默顿介绍了随机演算的研究资金。 .默顿的动机是希望了解如何设置价格在金融市场,这是古典经济学问题的“平衡” ,并在以后的论文,他使用了机械的随机演算,开始调查这个问题。

与此同时,默顿的工作,并与莫顿的帮助下, 费希尔•布莱克和迈伦斯科尔斯是发展中国家的期权定价公式,从而赢得了1997年诺贝尔经济学奖 。 它提供了一个解决一个实际问题,即找到一个公平的价格在欧洲选择权,即有权购买一股某一股票在某一特定的价格和时间。 这种选择往往是由投资者购买的风险对冲设备。 1981年,哈里森和Pliska使用的一般理论,连续时间随机过程,使Black - Scholes期权定价公式了坚实的理论基础,因此,如何显示价格许多其他“派生”证券。

教育
往往来自物理,工程或数学背景,而不是金融相关领域,物理学,数学和工程博士.通常是一个量化,还需要广泛的技能,计算机编程。

定量分析师需求已导致设立专门的硕士和博士课程, 金融数学 ,计算金融, 和 /或财务再保险。 特别是,硕士学位的金融工程 和金融分析正在变得越来越受欢迎与学生和雇主。 伦敦的卡斯商学院的先驱定量融资计划在欧洲,其数量金融学硕士,以及金融数学硕士和数学硕士营运和财务程序提供了一些全球领先的研究。 .卡内基梅隆大学的泰珀商学院 ,设立了硕士学位金融工程的报告显示, 21 %的增幅申请人的MS在计算金融计划,这是顶部的48 %增加了一年前。 这些大师级别的程序,一般一年的时间和更集中于更广泛的MBA学位 。

在银行, 定量分析师就业,以支持贸易和销售的职能。 在非常简单的一级银行买卖的投资产品称为股票(股权)和债券(债务)。他们可以获得一个不错的主意一个公平的价格收取这些因为它们是液态的文书(许多人都购买和出售他们),因此它们是由市场经济的原则供应和需求-降低你的价格更多的人会从您那里进行购买,较高的价格更多的人会通过你销售。 在过去的30年的大规模产业衍生证券已开发的风险偏好和简介,客户已经成熟。 的特质,定制性质,许多这些产品可以使它们相对流动性,因而没有方便的市场价格可用。 该产品的管理,也就是actualised ,价格和套期保值,通过财政模式。 该模型是实施软件,然后嵌入在前端的风险管理系统。 的作用,量化是发展,这些模式。

数学和统计方法
"根据基金的基金分析师弗雷德格姆, “有两种类型的定量分析,因此,两种类型的定量分析师。一类作品的主要数学模型和其他主要统计模型。虽然没有合乎逻辑的理由一个人不能做这两种工作,这似乎并没有发生,也许是因为这些类型不同的需求和技能组合,更重要的,不同的心理。

一个典型的问题为导向的定量数值分析师将制定一个模型,定价和管理一个复杂的衍生产品。

一个典型的问题,注重定量统计的分析师将制作一个模型,用于决定哪些股票是相对昂贵,这股相对便宜。该模型可能包括一家公司的帐面价值价格比,其落后的价格收入比率和其他会计因素。一个投资经理可能实施这一分析的收购低估股票,出售股票的高估或两者兼施。

一个主要的数学工具的数量金融随机演算 。

根据2008年7月Aite集团的报告,今天定量分析经常使用字母代平台,以帮助它们发展的金融模式. 这些软件解决方案,使定量分析集中和精简字母生成过程。

Quantitative analyst

A quantitative analyst is a person who works in finance using numerical or quantitative techniques. Similar work is done in most other modern industries, but the work is not called quantitative analysis. In the investment industry, people who perform quantitative analysis are frequently called quants.

Although the original quants were concerned with risk management and derivatives pricing, the meaning of the term has expanded over time to include those individuals involved in almost any application of mathematics in finance. An example is statistical arbitrage.

History
Robert C. Merton, a pioneer of quantitative analysis, introduced stochastic calculus into the study of finance.Quantitative finance started in the U.S. in the 1930s as some astute investors began using mathematical formulae to price stocks and bonds.

Harry Markowitz's 1952 Ph.D thesis "Portfolio Selection" was one of the first papers to formally adapt mathematical concepts to finance. Markowitz formalized a notion of mean return and covariances for common stocks which allowed him to quantify the concept of "diversification" in a market. He showed how to compute the mean return and variance for a given portfolio and argued that investors should hold only those portfolios whose variance is minimal among all portfolios with a given mean return. Although the language of finance now involves Itō calculus, minimization of risk in a quantifiable manner underlies much of the modern theory.

In 1969 Robert Merton introduced stochastic calculus into the study of finance. Merton was motivated by the desire to understand how prices are set in financial markets, which is the classical economics question of "equilibrium," and in later papers he used the machinery of stochastic calculus to begin investigation of this issue.

At the same time as Merton's work and with Merton's assistance, Fischer Black and Myron Scholes were developing their option pricing formula, which led to winning the 1997 Nobel Prize in Economics. It provided a solution for a practical problem, that of finding a fair price for a European call option, i.e., the right to buy one share of a given stock at a specified price and time. Such options are frequently purchased by investors as a risk-hedging device. In 1981, Harrison and Pliska used the general theory of continuous-time stochastic processes to put the Black-Scholes option pricing formula on a solid theoretical basis, and as a result, showed how to price numerous other "derivative" securities.

Education
Quants often come from physics, engineering or mathematics backgrounds rather than finance related fields, and quants are a major source of employment for people with physics, mathematics, and engineering Ph.D's. Typically a quant will also need extensive skills in computer programming.

This demand for quants has led to the creation of specialized Masters and PhD courses in mathematical finance, computational finance, and/or financial reinsurance. In particular, Masters degrees in financial engineering and financial analysis are becoming more popular with students and with employers. London's Cass Business School was the pioneer of quantitative finance programs in Europe, with its MSc Quantitative Finance as well as the MSc Financial Mathematics and MSc Mathematical Trading and Finance programs providing some leading global research. Carnegie Mellon's Tepper School of Business, which created the Masters degree in financial engineering, reported a 21% increase in applicants to their MS in Computational Finance program, which is on top of a 48% increase in the year before.[when?] These Masters level programs are generally one year in length and more focused than the broader MBA degree.

Front Office Quant
Within Banking, quants are employed to support trading and sales functions. At the very simple level Banks buy and sell investment products known as Stocks (Equity) and Bonds (Debt). They can gain a good idea of a fair price to charge for these because they are liquid instruments (many people are buying and selling them) and thus they are governed by the market principles of supply and demand – the lower your price the more people will buy from you, the higher your price the more people will sell through you. Over the last 30 years a massive industry in derivative securities has developed as the risk preferences and profiles of customers have matured. The idiosyncratic, customised nature of many of these products can make them relatively illiquid and hence there are no handy market prices available. The products are managed, that is, actualised, priced and hedged, by means of financial models. The models are implemented as software and then embedded in front-office risk management systems. The role of the quant is to develop these models.

Mathematical and statistical approaches
According to Fund of Funds analyst Fred Gehm, "There are two types of quantitative analysis and, therefore, two types of quants. One type works primarily with mathematical models and the other primarily with statistical models. While there is no logical reason why one person can't do both kinds of work, this doesn’t seem to happen, perhaps because these types demand different skill sets and, much more important, different psychologies."

A typical problem for a numerically oriented quantitative analyst would be to develop a model for pricing and managing a complex derivative product.

A typical problem for statistically oriented quantitative analyst would be to develop a model for deciding which stocks are relatively expensive and which stocks are relatively cheap. The model might include a company's book value to price ratio, its trailing earnings to price ratio and other accounting factors. An investment manager might implement this analysis by buying the underpriced stocks, selling the overpriced stocks or both.

One of the principal mathematical tools of quantitative finance is stochastic calculus.

According to a July 2008 Aite Group report, today quants often use alpha generation platforms to help them develop financial models. These software solutions enable quants to centralize and streamline the alpha generation process.

Short-Selling Ban May Have Loopholes

Regulators are out to get short sellers. But there may be consequences to their moves that are both important and unintended.

The Securities and Exchange Commission, along with the U.K.'s financial regulator, the Financial Services Authority, banned short selling of a large number of financial shares. The SEC's action involves 799 financial companies and is slated to expire Oct. 2, with a possible short-term extension.

Investors have other tools to protect themselves from falling stocks and to wager on the health of companies. These include credit-default swaps, other derivative trades and options, all of which likely will receive more volume.

Short selling of financial shares, or betting that the prices will decline,hasn't soared lately. Short sales of Morgan Stanley rose to 2.9% of the market value of the company Sept. 16, up from 2% at the beginning of September, though it was as high as 7% in July, according to Data Explorers Inc., a research firm. Short sales of Merrill Lynch & Co. rose as high as 3.8% of the broker's market value last week, from under 2% in early September, though it topped 9% in July.

Many hedge funds have been more active in the credit-default-swap market lately, something regulators didn't address. Derivatives such as credit-default swaps aren't traded on public markets and already have raised alarms for their growth and their lack of transparency. If a surge of volume results from the changes, it might bring potential danger to the financial markets, analysts said.

Friday, several options-market makers said they will stop trading options on financial stocks because the rule change made it impossible for them to hedge their positions by selling shares short. Later in the day, the SEC said it might allow derivative-market makers to short stocks. That would allow investors to continue to bet against companies using the derivative markets, though that can be more difficult than shorting a stock.

Investors still have exchange-traded funds enabling them to wager against the financial sector. These ETFs, such as ProShares UltraShort Financials, use derivatives and are popular among both professionals as well as individual investors.

But the rush to these investments could make it harder for investors to protect their portfolios. The ProShares fund, which gives investors a return that is twice the inverse performance of the financial sector, was temporarily suspended Friday. The company said it will no longer issue new shares, potentially making it somewhat more expensive and cumbersome for new investors to buy shares.

An investor eager to buy a large number of shares of a financial company might want to hedge himself by shorting a company in the same industry. As such, he might be less inclined to do any buying. Some raised concerns about whether the regulatory moves might restrict trading in certain smaller financial shares, compounding the illiquidity that has hounded them lately.

Short-sellers also might turn their sights to companies with heavy financial exposure that aren't covered in the SEC's list of stocks, such as American Express Co., Capital One Financial Corp. and other credit-card companies.

Quantitative hedge funds, a group that plays a big part in daily trading, helping the market's liquidity in the process, often buy buckets of stocks while at the same time selling another large group of stocks. Such trading could be impeded if they can't short certain stocks, adding to the market's volatility.

Then there is the impact on markets such as convertible bonds and merger arbitrage, where traders regularly take short positions to protect themselves as they bet on a company, rather than to express a negative view. Investors who buy a convertible bond usually short the same company's stock, as a hedge, while merger investors typically buy a company slated to be acquired while shorting the acquiring company, simply to protect
themselves.

The SEC's changes could make it harder for financial companies to issue convertible bonds, sell rights offerings or engage in merger deals.
Financial companies sold more than $30 billion of convertible bonds in 2008, often when other markets were closed to them. Sen. Charles Schumer (D., N.Y.) has asked the SEC to look at making it acceptable for convertible-bond holders to continue to short financial stocks, a person familiar with the matter said.

Other markets also might be hurt by the changes, investors said.

"The U.S. and U.K. authorities have just made it technically impossible for the equity-index-futures market to function properly," because arbitragers in this market generally short stocks, including financial shares, said Douglas Kass, who runs hedge fund Seabreeze Partners Management Inc.

And even as academic research supports the role of short sellers in the market, to provide trading liquidity and a skeptical eye, some of these specialists might be forced out of business. That would hurt the pension funds and others invested in these funds to protect their downside.

Sunday, September 21, 2008

专家称美国金融救援计划可能不足以拯救银行业

美国政府20日向国会提交一项总额达7000亿美元的金融救援计划。尽管这已是上世纪30年代“大萧条”以来美国最大规模的金融救援计划,但有专家认为,这一计划可能仍无法帮助一些银行摆脱困境。

据美联社报道,如果上述计划得到国会批准,美国财政部将可以在几乎不受国会干预的情况下购买、出售、持有住宅和商业抵押贷款以及相关贷款支持证券,从而帮助金融机构剥离不良资产。

专家指出,救援计划能否收到实效关键要看政府在购买银行不良资产时实际支付的价格。根据美国财政部长保尔森的建议,金融机构将对持有的抵押贷款支持证券(MBS)等资产各自提出报价,政府从中选择最低报价进行收购。在这种情况下,如果政府收购价格过低,意味着银行不得不以较大折扣出售不良资产,并在其资产负债表上记入巨额损失,这可能导致银行本已脆弱的财务状况进一步恶化。

曾担任美联储货币事务部门负责人的文森特·莱因哈特说,如果上述假设成为现实,那么将有更多银行走向破产。他同时警告说,救援计划在实施过程中还可能导致另外一个后果,即如果政府对银行MBS等资产的收购价格过低,根据目前金融行业通行的“按市价计价”(即以证券的市场价值而非账面价值计算其当前价值)原则,所有持有相关证券资产的金融机构都不得不进行资产减记。

而如果政府以较高价格收购银行不良资产,则面临未来在出售这些资产时可能出现巨额亏损,这意味着广大纳税人将为这场金融大救援埋单。

据美国银行业监管部门——联邦储蓄保险公司(FDIC)统计,今年年初以来,美国已有11家商业银行和吸储机构破产。第二季度,有117家商业银行和吸储机构被列入“问题银行”名单,为2003年中期以来最高

金融危机引发两大反思

冬天到了,春天还会远吗?对美国次贷危机而言,春天尚远。在寒冷的冬天后是沉重的春天,此后更是布什一句“美国经济整体还是好的”根本无法回暖的夏天。目前,美国经济危机已经不容回避与忽视。

反思一:全球化利弊

这让我们不得不重新审视全球经济一体化的利弊。曾几何时,全球的经济学者都在鼓吹经济全球化的美好蓝图。一个并非专业经济学者的美国专栏作家理查德·隆沃思,在数年前的专著《全球经济自由化的危机》一书里忧心忡忡地写道:“全球资金市场两个星期的交易量,就超过全世界每年贸易和投资之所需。另外50个星期的交易活动,全是投机。”这种投机行为的危险,就在于让一块钱避险,就要以两三块钱进行避险操作。因此,“投机性的经济活动,规模是真正经济活动的12倍”。这意味着,资本市场上的多数资金,都在进行一场豪赌。

所谓“次级贷款”以及将其打包上市的其他金融衍生产品,不过是这种豪赌中的一种。隆沃思担心,全球经济自由化将带来全球性金融危机。由美国次贷衍生的危机,似乎印证了他的担忧。

值得一提的是,在次贷危机带来的“哀鸿遍野”冲击中,德国基本上“无恙”。这主要是因为大多数德国金融机构没有参购美国次贷衍生品;而且80%的德国出口商品以欧元结算,以美元结算的比例仅占13%,这也就使得短期内美元贬值对其出口的影响较小。德国以一种“特立独行”的方式,实现了全球性金融危机中的“避险”。

反思二:“透支经济”

此外,我们不得不反思,美国式的鼓励超前消费的“透支经济”。

在经济多元化时代,以美国为代表的发达国家制定了一系列刺激过度投资、过度消费的政策,这种策略以一种先进的方式包装得天衣无缝,不断向其他国家渗透。此种经济政策看似是国内的,实际上也“全球化”了。美国等发达国家通过金融手段刺激整个国家消费的高速增长;另一方面通过透支经济吸纳没有那么发达国家的资本。在美国,国民心理早将这种“寅吃卯粮”的生活当成常态,超前消费也成为一种大众认同的价值观。这种超前消费的经济、甚至文化现象一旦与国际经济一体化的趋势吻合,就会具有点射效应,向欠发达和不发达国家辐射开来。

在这样的大环境下,美国部分并不完全具备购买力的人可通过“次贷”等方式买房;银行再将这种产品打包上市。当经济繁荣发展之时,每个环节都吻合得刚刚好。但这种表面的繁荣很脆弱,一有风吹草动就可能引发“全盘皆输”的可怕局面。“房地美”、“房利美”、“雷曼兄弟”等等大公司的危机,不过是冰山一角。

在过去的一星期里,全球资本市场集体玩起了“过山车”。在全球股市连番大跌后,各国央行如商量好了一般齐齐发力,终于在这一周的末尾迎来大涨。但证券业界依然如履薄冰:这样的涨势,能持续吗?下一轮过山车,当然不会太快到来。但一定还会来。因为支撑传统经济增长的支柱已“透支”良久。但愿各国央行的铁腕救市,能够达成美好愿望。无论如何,反思的时候到了.

美国金融危机或是“无底洞”

美国利用美元的霸权地位盘剥世界的国家利己主义是这场危机的最深层根源。正是美国不负责任地输出危机,才把整个世界都拖入了漩涡中。定期的美元贬值等于说让世界来偿还美国人的欠债,这次的次贷危机就把美国人极端自私的形象展现在国际舞台上了。
——江涌
经济学博士、中国现代国际关系研究院经济安全研究中心主任,主要从事经济安全与世界经济理论研究。

现在距离美国新总统的产生还有几个月的时间,因此不管最终是共和党胜出,还是民主党胜出,布什政府现在会继续硬撑下去,争取把问题暂时遮掩住。等到新总统产生之后,危机可能会有更大的爆发。
——张志文
金融学博士,任教于中山大学亚太研究院,2006年曾到国际货币基金组织(IMF)总部做金融学研究。

雷曼公司破产让不少人丢掉工作。 受美国经济危机影响,日本股市下跌。

最近一周来,美国华尔街的血雨腥风已经迅速演变成全球股市的哀号。

为什么美国的金融危机会在全球范围内引发如此大的连锁反应?最终是谁为美国的金融危机埋单?本周的圆桌会议,我们特别邀请两位国际金融专家,解读美国金融神话的破灭。

广州日报:美国的金融危机是如何深化的?美国应该对这场危机负什么样的责任?

江涌:美国利用美元的霸权地位盘剥世界的国家利己主义是这场危机的最深层罪魁祸首。正是美国不负责任地输出危机,才把整个世界都拖入了漩涡中。

美国如今在国际经济体系中的霸主地位来自布雷顿森林体系的规定,1944年形成的布雷顿森林体系以黄金为基础,以美元作为最主要的国际储备货币,美元直接与黄金挂钩,所以我们有时候直接把美元叫成美金。但是现在不同了,美元变成了烫手的山芋,国际社会普遍对美国失去了信心。

美国对危机的扩大负有不可推卸的责任。第一,美国的银行赚了不该赚的钱,把钱贷给了没有偿还能力的人。第二,美国的银行在收不回钱之后,想了个办法把这些次级债打包成“创新债券”,卖给国内的中产阶级和国外的金融机构。第三,美国所谓的权威评级机构收了一点好处费,就给这些“创新债券”盖上5A标记,欺骗全世界的购买者。第四,美联储对美国发行债券的规模没有控制。上述这些,都不是一个负责任的金融大国应该做的事情。

张志文:现在美国金融危机是次贷危机的延续,而且问题越来越严重。不过如果把现在危机的责任归结在美国人头上,有些事后诸葛亮的感觉。

广州日报:美国金融神话破灭,谁来埋单?

全球六大央行已经开始联手救市,您认为效果会如何?

救市:长期效果很难说

江涌:美国金融神话破灭,蒸发最快的是全世界中小股民的血汗钱。其中,新兴市场国家成为最大的埋单者。越是那些跟美国紧的国家,越要在这个时候为美国人埋单。因为只有这些国家,才会购买大量的美国债券。

美国现在最大的症结出现在他们引以为傲的消费价值观上,美国人的消费理念是提前消费,而不是储蓄,先贷款花钱再去还贷。现在美国欠债太多,多得已经超过了他们的偿还能力。美国人无法还贷,于是就想到了美元贬值。定期的美元贬值等于说让世界来偿还美国人的欠债,这次的次贷危机就把美国人极端自私的形象展现在国际舞台上了。

全球六大央行的联手救市,已足够说明在目前国际金融形势的严峻性。但是注入这样大量的流动性资金,短期内会缓解形势,长期效果都不好说。金融市场根本上还是要靠信心,但现在的问题是美国消费者的信心还在下滑。因此,这恐怕只是权宜之计,无法化解信贷危机。

张志文:这一措施为美元匮乏的金融机构解了燃眉之急,因为现在市场上对现金的需求特别强。政府希望通过此举来稳定市场的信心。

广州日报:美国的全球金融霸主地位是否会因为这次严重的危机而动摇?

江涌:美元肯定会受到冲击,美国的软实力也在这一轮的危机中受到了很大的冲击。因为,这一轮的经济衰退导致一大批美国知名跨国企业倒闭,美国在国际经济中的竞争力受到很大削弱。此外美国的金融信用也受到了伤害,“美国制造”的金字招牌在国际社会的号召力也大幅下降。虽然现在风险已经转移到其他国家,但是从中长期看,美国的金融霸主地位将会受到重创。

美国的声誉受到非常大的伤害。美国一直标榜它是最完备的市场,它的规则就是最好的规则。但是在这场危机面前,美国人的这些说法都受到了广泛的质疑。这些东西以往都是美国人引以为傲的软实力的体现。

张志文:这次危机应该会对美元的地位形成比较大的冲击,但是美国作为世界经济霸主的地位还是很难撼动的。美元在危机中受到冲击,对人民币成为一种世界性货币来说也是一个机会,面对这样一个外来的机会,我们的准备是否充分,我们的金融监管体制是否能跟得上,都是决定人民币未来走势的关键要素。

未来:金融“SARS”或继续

广州日报:华尔街引发的这场金融危机还会继续深化下去吗?

张志文:这会是一个可怕的无底洞。至于危机的严重程度到底有多严重还不好判断。金融市场的信息瞬息万变,在缺乏相关信息的情况下,我们目前还很难判断。不排除未来一段时间,危机会得到缓解。但更有可能的情况是危机还会继续。

现在距离美国新总统的产生还有几个月的时间,布什政府现在会争取把问题暂时遮掩住。等到新总统产生之后,危机可能会有更大的爆发。

江涌:现在的全球经济形势很不乐观。我举一个比喻,现在我们就好像处在一条深不可测的黑暗隧道中,但是还远远看不到出路,也看不到一丝的亮光。这场金融危机也重创了世界经济,堪称全球金融“SARS”。

危机具体会持续多长时间很难预测,但可以肯定的是危机还会持续相当长的时间,起码两年之内不会得到解。

反思:全球化大潮或逆转

广州日报:全球化大潮是不是在某种程度上助长了危机在全球范围的蔓延?大家都认为全球化大潮是不可逆转的潮流,您如何看待全球化?

江涌:我们早期往往只注意到全球化的红利,比如经济全球化使世界各国经济发展克服了国内资源和市场的不足,实现了资源在全球范围内的最优配置。但是随着全球化的深入,弊端正在逐渐暴露。源于大量低成本劳动力供给的全球化红利正步入终结期,高增长和低通胀不能再兼得。

全球化到底是不是一个不可逆转的潮流,现在不好说了。如果在大的冲击下,比如美元崩溃,前所未有的恐慌会在全球范围的经济领域蔓延。如果出现这样的情况,全球化的潮流完全有可能被逆转。事实上,现在反全球化的声浪越来越高。

目前全球多边合作已经陷入困境,如WTO的多哈回合多边贸易谈判、国际货币基金组织等都遇到了很大的挑战。如果全球经济形势一直这样演变下去,全球化的神话完全可能被打破。

张志文:全球化确实对危机的扩大产生了影响。受到影响的国家出现问题,一方面在于他们与美国的金融经贸关系密切程度有关系,另一方面也与他们自身金融系统的稳定性有关系。

全球化一直是一把双刃剑,现在是特殊时期,因此全球化的负面作用被放大,也更容易被传导。在以前美国经济繁荣时期,全球化积极的溢出效应就比较大。全球化是否值得追求?对于民族国家来说,有的是主动,有的则是被动。

在全球化的过程中,如果民族国家本身的问题就比较多,那么在全球化的过程中,暴露出来的问题可能会更多,他们就需要慎重对待。最好的应对办法是以积极稳健的姿态融入全球化。

美国信贷危机向货币市场蔓延

新华网纽约9月18日电 美国愈演愈烈的信贷危机正在向货币市场蔓延。美国主要基金公司PUTNAM投资公司18日突然宣布,由于机构投资者赎回压力增大,其决定将旗下一只规模120亿美元的货币市场基金清盘。

货币市场多用于短期资金融通,通常被认为收益稳定、风险很低。购买投资这类市场的基金,也被认为是储蓄的一种很好替代方式。不过,由于目前美国的金融形势动荡,投资者信心不稳,纷纷将各类资产变现,货币市场也受到波及。

17日,一只大型零售货币基金RPF遭遇大规模赎回,导致其每单位美元资产净值大降,跌破1美元。这意味着投资者出现损失。不过,PUTNAM公司称,其决定关闭的这只基金的净值仍在1美元之上,且不存在资产信用质量下降的问题。但是,考虑到市场的流动性紧缺现状及客户赎回要求,基金受托管人投票决定清盘并尽快将资金返还投资者。据悉,这只基金只针对养老保险金管理公司等机构投资者销售。

行业人士指出,这些新情况对于规模在3.4万亿美元规模的美国货币市场基金行业是前所未有的。

根据监测机构iMoneyNet的数据,仅在17日美国货币基金市场上投资者就抽回890亿美元资金。此前5个交易日累计资金流出也达到800亿美元规模。自9月10以来的一周中,该市场总市值萎缩5%,降幅为iMoneyNet1975年对相关数据进行监测以来之最。

股本收益率和盈利率之间的关系

在公司的股本收益率走势和未来的盈利走势之间存在着某种关系,这是巴菲特在许多场合表达过的观点。如果年度股本收益率上升,盈利率也应该同样上升。如果股本收益率的走势稳定,那么盈利率走势也有可能同样稳定,并且具有较高的预见性。

股本收益率=净收益/(期初资本+期末资本)/2 当一家公司取得较高水平的股本收益率时,表明它在运用股东们提供的资产时富有效率。因此,公司就会以较高的速度提高股本价值,由此也使股价得到相应的提升。

在公司的股本收益率走势和未来的盈利走势之间存在着某种关系,这是巴菲特在许多场合表达过的观点。如果年度股本收益率上升,盈利率也应该同样上升。如果股本收益率的走势稳定,那么盈利率走势也有可能同样稳定,并且具有较高的预见性。将注意力集中在股本收益率上面,投资者可以更有信心地预测未来盈利。也就是说,如果你能估计公司未来的股本收益率,那么你就可以估计股本价值在年度间的增长。并且,如果你能估计股本价值的增长,你就能合理地预测取得每一年年终股本价值所需的盈利水平。

巴菲特的投资组合中,包括一些消费品及消费者周期股票,这显示了他对持续的、高水平的股本收益率的偏好。例如,可口可乐和吉列都取得了介于30%-50%之间的稳定的年度股本收益率。这对于已存在了数十年的公司来说,是一个惊人的纪录。几乎所有巴菲特投资的上市公司都取得了平均水平为15%或者更高的年度股本收益率。通过它们较高的内部收益以及低于平均水平的资本需求,这些公司年复一年地创造出了高水平的股本收益率。

高水平的股本收益率和公司所处的行业有较大的关系。一般来说,医药和消费品类公司的股本收益率较高而且相对较稳定。

窮到怕 [曹仁超]

曹仁超是個粵語片似的傳奇。
他原名曹志明,生於上海富裕之家,阿爺做煙草生意,「美麗牌」香煙是曹家出品。

50年代,家財盡失,中風的父親與家小蝸居北角板間房;隔籬阿嬸不見一粒金,曹志明被冤枉偷金,含淚被搜身。

他發誓要出人頭地,果然在26歲炒股賺到50萬,花十萬元辦豪華婚禮娶妻,時為1973年。

三十多年來,無人再想起「曹志明」,大家只認得股海明燈「曹仁超」。

老曹說:「我對錢沒甚麼概念,但我太明白貧窮的滋味!」

59歲的曹仁超,自稱「老曹」,挺個大肚腩,說起話來嘻嘻嘻地笑,五官皺在一起,非常可愛。

他身家甚豐,手上五個物業,一個在馬來西亞,兩個在倫敦,兩個在香港,包括自住的北角摩天大廈單位。這些房產,只佔他財產的兩成。

普通人艷羨不已,但老曹說比起六十年前阿爺的身家,差遠矣。

老曹的阿爺跟人稱「何伯」的慈善家何英傑相識,都是煙草商人。「何伯做香港煙草公司;我家做福和煙公司,是英美煙草戰前的中國代理,自己出產『美麗牌香煙』,現在上海新天地還有那些舊廣告牌。」

曹家阿爺極愛國,資產沒有轉移海外,以致五十年代家財盡失。

父中風半身癱瘓
曹父40年代已移居香港,1951年,媽媽帶3歲的曹志明來港團聚,當時曹家生意已「散晒」,一家3口住北角馬寶道板間房,過窮日子。曹志明九歲時,爸爸爆血管,半身不遂,屎尿都要人服侍,病了3年多過身;曹媽媽帶三個兒女搬到土瓜灣,因為那邊工廠多,較容易找工作。

「阿爸剩下一萬元,阿媽說,必須供我們讀完中學。三兄妹學費佔家庭開支一半,全家每餐伙食不能超過五毫子。」曹志明負責買,幾乎餐餐都是一碗鴨血、半斤豆芽、兩磚豆腐。

當年吃鴨血吃到怕,今時今日老曹說:「高檔法國餐吃血鴨,簡直荒謬!我打死不吃。」

六十年代人人都窮,但曹家是赤貧,受盡白眼。老曹回憶:「隔籬阿嬸有粒金跌落下底,一早起身找不見,便冤枉是我偷的!還要搜我身!後來找到了也不道歉,還說『你咁窮,偷金係遲早啦』!」

「有個阿婆不見了四十元,硬說我細佬偷錢,罵足我們一個月。最後發現是她兒子偷的。」

「唉……唔見一包公仔麵,都冤枉係我細佬偷。」

事隔四十多年,窮小子曹志明變成「曹仁超」,城中富豪輪流約他吃飯,弟弟也貴為港大醫學院教授,可是說起心酸往事,他仍然動容,低下頭深深歎息,掩藏不住喉嚨裡的顫抖。

有一些傷口,可能花一生精力都無法治癒。

街吃飯似乞兒

曹志明立誓「我要發達」,但發達之路何在?他並不知道。中學畢業後,他去紡織廠學維修。

「廠房攝氏四十度,個個穿橫頭褲(短褲),打大赤膊。八小時工作,無休息時間,肚餓就偷雞去街邊買飯吃,五毫子,用報紙包住,有幾片叉燒或雞肉,無桌椅無食具,就蹲在街邊用手抓飯吃。「你說,那跟乞兒有甚麼分別!

「飯是黑色的,黏滿油墨。1967年,我吃了六個月油墨,所以我注定做報紙啦!」

他在紡織廠做了半年,因為鬼佬廠長打工人,他憤而用英文粗口罵廠長,結了怨,便轉工去假髮廠,在那裡與太座一見鍾情。

「我第一天返工見到她,覺得她很溫柔,賢良淑德,便決定要娶她做老婆。因為我阿媽很tough,所以我心裡特別喜歡溫柔的女仔。

「一星期後我去對她說,我現在開始追求你,追到娶到你為止。她說,你都黐線!」

曹志明窮追不捨,伊人幾個月不睬他。有一天她上了巴士,他趕不及上車,追巴士追了兩條街,不慎撞到垃圾桶,褲子連皮肉被鐵片割開,流血不止。她不忍心,下車幫他包紮傷口,自此接受了他。

「她說,你咪咁傻啦!」老曹回憶:「她又說,接受你都得,但你要轉工,一來做假髮無前途,二來你的瘋狂行徑已成為廠裡的笑話!」

豪到盡拍拖生活
談到愛人,老曹風騷透頂,嘻嘻笑個不停。

他經朋友介紹去證券公司做學師,從倒痰罐、抹地做起。他對女友許下諾言,要斬斷窮根,努力賺錢,給她富貴生活。

於是,以電影場景為藍本,他的拍拖生活極盡奢華,「去希爾頓酒店吃飯,上半島食雪糕,搭的士入龍華吃燒乳鴿」。他月薪二百二,又兼職打字、教英文,賺了錢便豪花。

「我對錢無概念,有錢就使,月頭使晒,月中已無錢約女友去街,她以為我一腳踏兩船。」

瘋狂拍拖之餘,他也找到財路。「在交易所認識一些朋友,他們讓我進圖書館看年報,當時年報是英文的,我看了,跟客戶講起那些資料,他們覺得我好犀利。我就發覺,這是財路喎,便開始投稿。」

投到《星島》和《華僑》都被投籃,只有《明報晚報》編輯林山木欣賞,用了幾篇之後,約他在頂好酒店飲茶,一見如故,傾了幾個鐘,直到阿嬸出動地拖趕客才肯走。時為70年,他一篇稿四百字,稿費十元,筆名「思聰」。

因為讀英文學校出身,他寫的稿中英夾雜又多白話,全需經過林山木修改才刊登。話說有次林山木請病假,無人改稿,「思聰」原稿出了街,竟大受歡迎,從此才建立嬉笑怒罵的通俗文風。

林山木73年創辦《信報》,曹志明助他打天下,後來也入股百分之五;他在《信報》寫投資專欄,筆名「曹仁超」就是林山木給他取的。因為知遇之恩,老曹為《信報》打工至今。

婚後輸到想跳海
除了寫專欄,老曹的瘋癲炒股生涯,也是因林山木而起。70年,林山木介紹他到一家投資公司當投資經理,71年他已炒股賺到20萬,夠在港島買兩層樓。時值中國宣布加入聯合國,他睇好,但股市卻下跌三成,他因炒孖展兼不肯止蝕,輸剩七千元。

「我當晚拿七千元,請公司職員去淺水灣吃飯,食晒佢,聽朝再來過囉。」他嘻嘻笑道,反正年輕,錢輸無所謂,最緊要豪一鋪。

73年,曹仁超又賺夠50萬。這次他認為股市見頂,決定全身而退,結婚去。

他一擲十萬元,筵開50席,辦了個豪華婚禮,再往菲律賓度蜜月,那是他第一次坐飛機,住進馬尼拉半島酒店,帶齊名牌相機、八米厘攝影機,穿禮服在百勝灘拍照,熱到出熱痱,但完全滿足了擺脫貧窮、少年得志的虛榮。

婚後,74年7月眼見恒指從千七點跌至四百多點,他認為已見底,便買和記,從八元買到一元,結果年底恒指跌至150點,他身家蒸發了八成。

這一役他沒輸清,至少仍有兩層樓手,但有妻有女的曹仁超,突然害怕「餓死老婆瘟臭屋」,沮喪得幾乎要跳海。

學做可愛住家男
當然他沒有死,還累積起許多炒股智慧,以及「足夠幾代人生活無憂」的財富。

但阿爸四十二歲爆血管的陰影,常使他提心吊膽。四十歲開始,他每個半月看一次醫生,每年驗血,每天在家踩三十分鐘健身單車,嚴格控制飲食。現在一切正常,只是糖尿「責界」,每餐飯前須吃一粒藥丸,阻止糖分吸收。

老曹說,已決定把身家分三份,一份留給兩個女兒,一份捐出為中國辦教育,一份留待退休後與太太「浪漫一下」。「我最少十年沒有陪她去旅行,她恨去浸溫泉、看櫻花,普通人都做得到,偏偏我無時間。」

三十幾年來,他一周工作七天,與股市談戀愛,各類指數記得清清楚楚,卻偏記不住太太和女兒的生日,被老婆鬧到死。
老曹說,是時候學做可愛的住家男人了。

查大俠與小小超
老曹為《明報晚報》寫稿時,老闆查良鏞很賞識他,曾經每年加薪一倍給他。但《鹿鼎記》七二年連載得如火如荼時,查良鏞有次提起韋小寶,老曹居然說:「邊個係韋小寶?我唔識喎。」當堂激死查大俠,亦證明老曹除了財經之外,甚麼都不聞不問。

林山木創辦《信報》時,查良鏞十分支持,還為他們寫第一篇社評。但八○年有《信報》員工另起爐灶,辦《財經日報》打對台,原來幕後大股東卻是查良鏞。老曹不諱言:「當時覺得查先生有點虛偽啦,在我們面前乜乜乜,原來在背後砌我。直到《財經日報》執笠,他寫社評公開自己是股東,我才知道,咁呀?世界原來如此!其實市場是open的,你咪明刀明槍囉,競爭很正常,何必虛偽。」

「小小超」李澤楷去年開始入主《信報》,現持有八成股權。老曹說:「以前他間中會約我食飯,搞收購之後我告訴他,你別找我,我也不找你,費事瓜田李下。」

「我又同Richard講,你不要得閒無事打電話給總編輯,會嚇親人;有事你打畀我。這一年來他只叫人打過一次電話來,告訴我一篇關於電盈的報道數據出錯了。」老曹表示,信得過Richard能尊重編輯自主,亦覺得企業化經營下《信報》更有前途。

投資哲學 - 曹仁超

群眾常犯十大錯誤:

一、聽信謠傳而不信分析。

二、明明唔知道卻一味靠估。

三、追隨群眾成為其中一分子。

四、冇耐性。

五、貪念太多、智慧太少。

六、利用太少孖展資金去炒賣。

七、明知睇錯唔肯止蝕。

八、永遠唔肯離開市場(磨爛蓆)。

九、止賺唔止蝕。

十、過分相信「大戶」眼光

下周一大盘很难再涨停 大多股票仍继续飘红

今天中国股市上演史无前例的指数涨停,竟然仅仅用了一个多小时,剩下的近3个小时交易时间股民只能在无聊中度过。下周一会怎么走?空仓的投资者该怎么做?指数还会继续涨停吗?对此记者进行了采访。
  "下周一继续涨停?这不可能!"中信万通证券标山路营业部尹红面对记者的提问回答非常干脆。她认为,下周一银行股还会继续强势表现,甚至继续涨停,但对于全部股票而言,再度上演涨停是很难的。"2200点下周一会到,但上面的阻力也会显现了。"尹红告诉记者。她分析说,下周一股票肯定会出现分化,不过估计还能收起来,真正的分化可能会在周二后出现。"下周还有一周交易时间,就要迎来长假了。长假期间,国际市场的情况如何?变数很多。主力会不会坚定持股?我认为肯定会有部分资金要短线套现了。"尹红说。"目前绝大多数人不认为行情反转,而仅仅是反弹,因此获利盘在短线强势后肯定会回吐的,出现20%到30%的利润后市场就很难维持强势了。"尹红认为,下周三前后可能是短期大盘强弱的一个分水岭。
  很多股票会继续涨停
  齐鲁证券青岛管理总部赵勇也认为下周一大盘继续涨停的难度很大,但他认为很多股票会继续涨停板。"大盘的第一攻击波会到2200点到2300点一线,然后可能会震荡回调蓄势,最终可能上涨到2800点一线。"赵勇说。他告诉记者,今天从交易所透露的交易席位来看,上午卖出的绝大部分是散户,这和4月份降低印花税时正好相反,当时机构借利好出货,而散户在疯狂买进。因此,赵勇认为下周大盘整体还会维持惯性强势上涨。"估计下周一盘中会出现剧烈震荡,但不会有大的调整,最后可能还拉起来收出一根大阳线,但指数不会是涨停板的大阳线了。"赵勇说。
  下周一上涨动力仍很强
  广发证券青岛营业部刘峰认为,下周一大盘上涨的动力还是很强的。"从今天的盘面来看,场外资金都进来抄底,市场外围的资金其实是很多的,不缺钱。而场内投资者则纷纷惜售,这造成了今天仅仅用了一个多小时指数就被推到涨停板上,然后就没有成交量了,因为大家都不卖了,想买的也买不进来。这种情况在中国股市的历史上是没有的,可以想象,下周一大盘上涨的动力还是非常强的。但能否继续涨停,这就很难说了。"刘峰分析说。刘峰认为,按照4月份降低印花税的情况判断,这次的力度和上次相比要小一些,上次指数大涨超过了9%,但没有涨停。"下周一大盘充其量上演一次接近4月24日的行情吧。"刘峰认为。

Simons at Renaissance Cracks Code, Doubling Assets

On a hot afternoon in September, Renaissance Technologies LLC founder Jim Simons is too busy to take a phone call. It is, he says, from Cumrun Vafa, a preeminent Harvard University professor and expert on string theory, which describes the building blocks of the universe as extended one-dimensional filaments.

``Get another time when I can talk to him,'' Simons tells his assistant.

Then he mentions that the next day, he'll be meeting with Thomas Insel, director of the National Institute of Mental Health, to discuss autism research. And he's slated that Saturday to host a gala honoring Math for America, or MFA, a four-year-old nonprofit he started that provides stipends to New York City math teachers.

``I'm undoubtedly involved in too many things at the same time,'' Simons says in his 35th-floor office in midtown Manhattan. ``But you make your life interesting.''

String theory, autism, math education: It's fair to ask how Simons, 69, manages his day job overseeing the world's biggest hedge fund firm. The answer, judging from the numbers, is very well.

Renaissance is on fire: Its Medallion Fund -- which uses computers and trading algorithms to invest in world markets -- returned more than 50 percent in the first three quarters of 2007. It had about $6 billion in assets as of July 1.

Simons registered that performance as subprime and related markets were collapsing, sending two mortgage-related hedge funds run by Bear Stearns Cos. into bankruptcy. The turmoil pummeled the Goldman Sachs Global Alpha Fund, a rival to Renaissance's funds, which fell more than 25 percent during the same time. Morgan Stanley's computer jockeys lost $390 million in a single day in early August.

Life Story

Medallion's returns are no anomaly. The fund, which trades everything from soybean futures to French government bonds in rapid fire, hasn't had a negative quarter since early 1999. From the end of 1989 through 2006, it returned 38.5 percent annualized, net of fees.

More surprising than those returns is Simons's life story. At an age when hedge fund pioneers such as Michael Steinhardt have long since stopped managing other people's money, Simons is building on Medallion's success. He's adding funds and strategies and accumulating assets, which totaled $35.4 billion as of Sept. 28.

In August 2005, Simons started Renaissance Institutional Equities Fund, or RIEF, which invests in U.S. stocks. Through Sept. 30, it has returned 12.8 percent annualized. Unlike Medallion, which turns over its holdings dozens of times each year, RIEF keeps its positions for months or longer. Simons said at the time of the fund's inception RIEF could theoretically manage as much as $100 billion.

'New Possibilities'

In December 2006, he limited new investments in the fund to $1.5 billion a month. As of Sept. 30, 2007, it had $25.6 billion in assets.

In October, Simons started Renaissance Institutional Futures Fund, or RIFF, to invest in commodities. It's up 5.2 percent for the month. He says Renaissance's research shows the new fund can manage as much as $50 billion. Along with RIEF, it will promote cross-fertilization of ideas inside Renaissance, Simons says.

``Challenge is good,'' he says. ``It opens one's eyes to new possibilities.''

When not in Manhattan, Simons runs his empire from a 15- foot (4.6-meter) by 20-foot office in Renaissance's gated and guarded campus off Route 25A in East Setauket on New York's Long Island, some 50 miles (80 kilometers) east of the Empire State Building. With most of the trading automated, there's little of the hurly-burly of a typical hedge fund firm.

Doubling Assets

Along with routine personnel and marketing tasks, Simons makes time for the researchers and programmers who stop by his office to discuss mathematical and statistical issues they've encountered as they work on new trading strategies.

More than 200 employees, of whom about a third have Ph.D.s, work in East Setauket. Another 100 are based in Manhattan, San Francisco, London and Milan. ``He creates an environment where it's easy to be creative and works hard to keep the bullshit level to a minimum,'' says former managing director Robert Frey, who worked at Renaissance from 1992 to 2004.

Even without the new commodities fund, Renaissance's assets have more than doubled in a year from about $16 billion on Sept. 30, 2006. That growth has catapulted Renaissance past such titans as Daniel Och's Och-Ziff Capital Management Group LLC, Ray Dalio's Bridgewater Associates Inc. and David Shaw's D.E. Shaw & Co. to become the world's largest hedge fund manager, according to data compiled by Hedge Fund Research Inc. and Bloomberg.

Code Cracker

Medallion's 3.9 percent return during August, though that fund too was whipsawed by volatility, bolstered Simons's reputation as the silver-bearded wizard of quantitative investing.

In quant funds, mathematicians and computer scientists mine enormous amounts of data from financial markets looking for correlations among stocks, bonds, derivatives and other instruments. They search for predictive signals that will foretell whether, say, a palladium futures contract is likely to rise or fall.

`Role Model'

``There are just a few individuals who have truly changed how we view the markets,'' says Theodore Aronson, principal of Aronson + Johnson + Ortiz LP, a quantitative money management firm in Philadelphia with $29.3 billion in assets. ``John Maynard Keynes is one of the few. Warren Buffett is one of the few. So is Jim Simons.''

Aronson credits Renaissance with validating the entire field of quantitative investing and proving that the freedom accorded to hedge fund managers to short stocks, borrow money and invest in myriad instruments can produce results that far outstrip typical market returns.

Simons, standing just under 5 feet 10 inches tall and weighing 185 pounds (84 kilograms), has trod an unlikely path. A former code cracker for the U.S. National Security Agency, in 1968 he became chairman of the mathematics department at Stony Brook University, part of the New York state university system. He built the department into what David Eisenbud, former director of the Mathematical Sciences Research Institute in Berkeley, California, calls one of the world's top centers for geometry.

Leaving Academia

In 1977, frustrated with a math problem and eager for change, he abandoned academia to start what would become Renaissance, hiring professors, code breakers and statistically minded scientists and engineers who'd worked in astrophysics, language recognition theory and computer programming.

``All the quants in the world are trying to follow in Jim's footsteps because what he's built at Renaissance is truly extraordinary,'' says Andrew Lo, director of the Massachusetts Institute of Technology Laboratory for Financial Engineering and chief scientific officer of quant hedge fund firm AlphaSimplex Group LLC. ``I and many others look up to him as a tremendous role model.''

The tendency for fund managers to try to emulate Simons may become more curse than blessing in the years ahead. As the selloffs in July and August showed, many quant funds are chasing the same investments. For example, as of June, Renaissance and rival AQR Capital Management LLC had four of the same top 10 stock holdings: Johnson & Johnson, Lockheed Martin Corp., International Business Machines Corp. and Chevron Corp.

`Similar Models'

The overlap became problematic as the subprime contagion spread beyond housing-related stocks, bonds, collateralized debt obligations and commercial paper, forcing some funds to lighten their holdings precisely as demand was drying up.

``All these quant funds are using similar models, looking to buy something cheap and sell something dear,'' says Sol Waksman, founder of Barclay Hedge Ltd., a consulting firm based in Fairfield, Iowa. While expensive securities are by their nature easily traded --liquid, in industryspeak -- the cheap securities hunted by most quantitative managers aren't, Waksman says. After all, the reason they're cheap is that nobody wants them.

``Once you try and sell a low-liquidity stock, by definition there is no one to buy it,'' Waksman says. Overpriced stocks rose in August as hedge funds bought shares to cover their short positions, and cheap stocks plummeted as managers rushed to raise cash.

Wise-Cracking

Renaissance is under increasing pressure to stay ahead of the pack -- and to keep its secrets under wraps. Save current employees and a few former ones, nobody knows precisely how the firm makes its millions. Medallion stopped taking new money from outside investors in 1993 and returned pretty much the last of their capital 12 years later. Today, the fund is run almost exclusively for the benefit of Renaissance staff.

The wise-cracking Simons himself is mum on virtually all of its details.

What can he say about Medallion's trading strategy?

``Not much,'' Simons says with a chortle, and then takes a drag on one of the Merit cigarettes he often smokes.

What kind of instruments does it trade?

``Everything.''

How many different strategies does it use?

``A lot.''

Simons says his Ph.D.s laugh when they read the far-fetched theories about what their fund might be doing. One chat room participant speculated that Renaissance uses audio hookups to futures exchanges and analyzes the noise from the pits with voice-recognition software.

`Conjectures and Hypotheses'

``All of us in the quant business have conjectures and hypotheses but very little data,'' MIT's Lo says. ``So we like to speculate about what Renaissance could possibly be doing. They are so far ahead of everybody else that it's both challenging as well as exciting to engage in that kind of idle speculation.''

For his part, Simons says he once explored whether sunspot activity affects the markets. He doesn't say what he found.

Interviews with former Medallion fund managers and with investors, rivals and quantitative scientists provide a glimpse into how the fund is run. So do annual reports, marketing materials and court documents: Ever secretive, Renaissance is suing in New York State Supreme Court two of its former Ph.D.- level researchers who were fired in 2003 after refusing to sign noncompete contracts.

Trade Secrets

The firm accuses Alexander Belopolsky and Pavel Volfbeyn of appropriating trade secrets. Belopolsky and Volfbeyn deny the charges. In a July decision, the two briefly described three strategies that Renaissance had explored. One involved swaps, which are contracts to exchange interest or other payments; another used an electronic order matching system that anonymously links buyers and sellers; and a third made use of Nasdaq and New York Stock Exchange limit order books, which are real-time records of unexecuted orders to buy or sell a stock at a particular price.

With his myriad positions in different markets, Simons likens his approach to the extensive farming he once practiced in Colorado, using center pivot irrigation to grow wheat on thousands of acres.

``Every little stalk of wheat was not doing so great, but most of them were, so you're working on statistics,'' Simons says.

By contrast, he says, the traditional focused investing practiced by Warren Buffett is akin to intensive farming, in which each individual plant really counts. ``It's two completely different ends of the spectrum,'' Simons says.

Tidy Fortune

Medallion's farm stand sports quite a markup: The firm generally charges a 5 percent management fee and 36 percent of profits compared with the industry standards of 2 percent and 20 percent. With virtually no outside investors in Medallion, Simons and Renaissance employees are paying the tab -- and reaping the rewards. RIEF investors can select from four share classes with varying and far less expensive fee structures.

Though Simons dislikes talking about it, Renaissance has built him a tidy fortune. U.S. Securities and Exchange Commission documents show he controls 25-50 percent of Renaissance, having spread the rest of the firm's ownership among employees. So Simons's share of the performance fees earned by RIEF and Medallion was roughly between $375 million and $750 million in 2006, according to data compiled by Bloomberg.

With Medallion's 44.3 percent return in 2006, if Simons had invested $2 billion in the fund, he would have garnered an $885 million profit. He declines to comment on his investment.

According to Bloomberg calculations, Simons ranks No. 3 among the world's hedge fund managers with $1.01 billion in firm-wide performance fees during the first three quarters of 2007.

Mathematical Mind-Set

Chief Scientist Henry Laufer, who helped build the Medallion trading system, owns 10-25 percent of Renaissance, the SEC document says. Chief Financial Officer Mark Silber and Executive Vice Presidents Peter Brown and Robert Mercer each own 5-10 percent. Simons's son Nathaniel, 41, who manages the Meritage fund of funds out of San Francisco, owns less than 5 percent, as does Renaissance trading desk manager, Paul Broder.

At the core of Renaissance's success -- and the wealth Simons is creating -- is his own mathematical mind-set. Outside the financial markets, he's best known for the Chern-Simons theory, which he co-developed with Chinese-American mathematician Shiing-Shen Chern in 1974.

Chern-Simons Theory

In simple terms, the theory provides the tools, known as invariants, that mathematicians use to distinguish among certain curved spaces -- the kinds of distortions of ordinary space that exist according to Albert Einstein's general theory of relativity.

Chern-Simons is viewed as important partly because it has proven useful in explaining aspects of another field: string theory. This describes the building blocks of all matter and the universe as vibrating one-dimensional extended filaments or loops called strings.

``It turns out these things we invented, Chern-Simons invariants, had their real applications to physics, about which I knew nothing,'' Simons told the International Association of Financial Engineers in May.

Simons says he's also proud of the work he did in differential geometry at the Institute for Defense Analyses' research and development center in Princeton, New Jersey. In 1968, he published a paper in the Annals of Mathematics called ``Minimal Varieties in Riemannian Manifolds.'' The paper helped him win the American Mathematical Society's Oswald Veblen Prize in Geometry in 1976. The prize is named for the Princeton University geometrician who became the first professor of the Institute for Advanced Study.

Simons's Legacy

Simons's most enduring legacy may be as a philanthropist as he builds on the mathematics and science that have shaped his life. In his New York office, Simons gets up and walks across the room to grab a newspaper clipping. It's an article about the administration of President George W. Bush planning to add $50 billion to the defense budget.

``Just a little extra; give them an extra $50 billion,'' Simons says, his voice rising in anger. ``Well, for $2 billion, we could revolutionize math education in the U.S.''

He's referring to what he considers paltry funding for a key provision of the America Competes Act, which was signed into law on Aug. 9. The act includes a federal program to bolster math and science education based on the pilot project Simons has bankrolled with more than $25 million of his money: MFA.

U.S. Competitiveness

Simons says America's economic competitiveness is at stake. A 2003 study of 15-year-olds by the Program for International Student Assessment found the U.S. trailing 23 Organization for Economic Cooperation and Development countries, including No. 1 Finland, in math literacy at that age level. The U.S. was ahead of just five countries, among them Greece, Turkey and Mexico.

Simons places the blame for poor high school math scores largely on unqualified teachers. Because of low pay, good math and science teachers tend to get sucked into the private sector -- and the rate is accelerating.

``Students, up and down the line from affluent to impoverished, are being cheated,'' Simons says.

MFA pays full scholarships for math teachers to earn their master's degrees in education at designated graduate schools. Then, it pays a stipend of $90,000 over five years of teaching as a subsidy. Fellows and other experienced teachers are eligible to apply for a master fellowship program, which provides a stipend of $50,000 over four years. MFA is rolling out the program in Los Angeles and San Diego in 2008.

$13 Million Donation

Simons has donated tens of millions of dollars to math and science endeavors worldwide, including Stony Brook University and MSRI. In 2005, he kicked in $13 million with other Renaissance employees to keep the Relativistic Heavy Ion Collider operating at the Brookhaven National Laboratory in Upton, New York, after the U.S. Energy Department cut funding. The collider creates hot, dense matter similar to that which is believed to have existed in the first 10 microseconds, or millionths of a second, of the universe's existence after the big bang.

Simons's other major push: research into autism, a disorder marked by repetitive behavior and impairment in social communication and language. In 2005, he hired Gerald Fischbach, former dean of the faculties of health sciences at Columbia University in New York, to serve as scientific director for the Simons Foundation. The foundation funds a variety of math and science-related projects. Simons's wife, Marilyn, 57, is president. Their daughter Audrey, 21, displays some symptoms of Asperger's syndrome, a milder disorder that bears similarities to autism.

DNA Database

Under Fischbach, the foundation is building a database of DNA samples and clinical information from thousands of families across the U.S. with affected children. Scientists will use the data to identify genes that may contribute to autism.

The foundation is also attracting scientists from outside the field, such as geneticist Michael Wigler of Cold Spring Harbor Laboratory in New York. Fischbach says that, in the past, autism research has had trouble luring top talent because of its complexity.

Simons splits his week between two homes. His Manhattan apartment is in the same limestone building as another investor- turned-philanthropist, George Soros, 77. In Setauket, the white, gambrel-roofed house Simons has lived in for 31 years has broad picture windows overlooking the herons that populate the shimmering waters of Conscience Bay.

For all of his achievement and material success, Simons's life has been beset by the kind of tragedy that few parents can fathom -- the death of not one but two of his five children in separate accidents. In 1996, his son Paul, 34, was struck by a car and killed while riding a bicycle near Simons's Setauket home. In 2003, 24-year-old son Nick drowned while on a trip to Bali.

`Citigroup's Stock'

Simons grimaces when asked whether Nick's death played a role in his flurry of recent activity. He pauses before answering. ``There was some connection between losing Nick and my desire to get as busy as I could,'' he says.

Scientific exploration underpins all of Simons's work. ``What motivates me?'' he says. ``I'm ambitious and I like to do things well. I love to create something that really works. We have lots and lots and lots of strategies, and each new one gives me a lot of pleasure, to see something new that works.''

The laws of the financial markets present a special challenge, Simons says. Unlike the laws governing physics or chemistry, they tend to change over time. ``One can predict the course of a comet more easily than one can predict the course of Citigroup's stock,'' he says. ``The attractiveness, of course, is that you can make more money successfully predicting a stock than you can a comet.''

Steeped in Math

Investments, philanthropy, academia -- it all traces to a life steeped in math. James Harris Simons was born in 1938, the only child of Marcia and Matthew Simons. He grew up in Brookline, Massachusetts, a Boston suburb designed partly by landscape architect Frederick Law Olmsted.

Early on, Simons asked complicated mathematical questions. At about age 3, he was shocked to learn that a car could run out of gasoline. Why? By Simons's reckoning, a car would go through half a tankful, then half of what remained and then half of that, and so on: There would always be a small amount left. He'd discovered one of Zeno's paradoxes, named for the ancient Greek pre-Socratic philosopher, which would puzzle mathematicians for centuries.

``Those were sophisticated thoughts for a little guy,'' Simons says, laughing.

Soybean Bet

At high school in Newton, Massachusetts, Simons blew through the equivalent of advanced placement math and went on to MIT. In his freshman year, he was cocky enough to enroll in a graduate level class. ``The course said no requirements,'' he says.

At MIT, Simons worked hard and played hard -- mostly late- night poker. By 1 a.m., he and friends would pile into his Volkswagen Beetle and head off to Jack & Marion's delicatessen in Brookline for $1.25 chicken in a basket. Simons recalls how two renowned MIT mathematicians, Isadore Singer and Warren Ambrose, would sit down, order food and work into the wee hours on math problems.

``I just thought it was kind of a great life,'' Simons says. ``Here they were, grown-ups, eating in this deli, late, late at night, just working away. That seemed wonderful to me.'' Singer, still an MIT professor, would become a close personal friend.

In June 1958, after just three years, Simons collected his bachelor's degree in mathematics from MIT, returning that September for his first year of graduate school. He then headed west to the University of California, Berkeley, to complete his Ph.D. in math. There, Simons dabbled in commodities -- using his and his then wife Barbara's wedding gift money to make a $500 killing in soybeans.

`Original Guy'

Simons's thesis adviser -- Bertram Kostant, now professor emeritus at MIT -- was skeptical about him pursuing the proof that would form the basis of his dissertation, ``On the Transitivity of Holonomy Systems.'' It dealt with the geometry of multi-dimensional curved spaces and related to work by Singer and Ambrose.

``He solved it in a remarkably short period of time, under two years,'' Kostant says. ``Jim's an original guy. He likes to go off in his own direction.''

After UC Berkeley, Simons won a three-year teaching position at MIT. He left after a year to become an assistant math professor at nearby Harvard. He stayed in touch with two poker-playing MIT classmates, Colombian nationals Edmundo Esquenazi and Jimmy Mayer.

Road Trip

In 1958, Simons and Mayer had celebrated their graduation by buying Lambretta motor scooters and driving to Bogota from Boston. In 1964, the three cobbled together money with Simons's father to start a Colombian vinyl-floor-tile factory. It would eventually prove a lucky move, providing the younger Simons with a stake to build his empire.

Simons was growing restless at Harvard. He was eager to earn more money -- and frustrated by some of the math he was working on. The Institute for Defense Analyses offered a better- paying solution: Simons could spend half of his time on math at the nonprofit's Princeton center and half breaking codes for the NSA.

In 1967, the IDA's president, General Maxwell Taylor, former chairman of the Joint Chiefs of Staff, wrote an article for the New York Times Magazine in favor of the Vietnam War. Soon after, Simons penned a note to the editors. ``Some of us at the institution have a different view,'' he wrote. ``The only available course consistent with a rational defense policy is to withdraw with the greatest possible dispatch.''

Fired at 29

Taylor eventually fired Simons, who was then 29, married and a father of three. Stony Brook University President John Toll wanted a star to build the school's math department. In 1966, the university had made a splash by luring Nobel Prize- winning physicist Chen Ning Yang from the Institute for Advanced Study. Simons would hire stars for the math department.

Stung by his firing from the IDA, Simons threw himself into the task. ``Having just sort of been knocked around a little bit, I liked the idea of being my own boss,'' he says.

Simons negotiated all of the elements of a math position to lure great geometers to a young school: salary, class load, leave policy and research support.

``He'd figure what you needed and get it for you,'' Toll, 84, says. ``He did an outstanding job of building the department at Stony Brook.''

Future Stars

Among the future stars Simons lured were Detlef Gromoll from the University of Bonn; Jeff Cheeger from the University of Michigan; and Mikhael Gromov, who'd taught at Leningrad University. All had published in prestigious journals.

``It was viewed as one of the two or three best geometry groups in the world,'' says Irwin Kra, who succeeded Simons as math department chairman and is executive director at MFA.

One of Simons's other hires was a Bronx, New York-raised math professor from Cornell University: James Ax.

Simons dabbled again in commodities while at Stony Brook. The Colombian factory investment had made some profit. Simons and his partners invested about $600,000 of it with Charles Freifeld, a former math student of his from Harvard. During seven months in 1974, Freifeld increased the investment 10-fold, after fees, as sugar futures more than doubled. The $600,000 was now $6 million, Freifeld says.

Simons suddenly had money -- but he was at a crossroads. He had separated from his wife Barbara. As the '70s wore on, he grew frustrated with a math problem related to the Chern-Simons theory.

``It was driving me crazy,'' he says.

Simons met Marilyn Hawrys, a graduate student in economics at Stony Brook who helped take care of Simons's children and would become his second wife.

Birth of Medallion

Simons left Stony Brook in 1977 and started Monemetrics, a predecessor to Renaissance, in a strip mall across from the Setauket train station. He wanted someone to trade currencies and commodities and turned to an old friend, a fellow code cracker from the IDA: Leonard Baum.

Baum was co-author of the Baum-Welch algorithm, which is used to determine probabilities in, among other things, biology, automated speech recognition and statistical computing. Simons's idea was to harness the mathematical models that Baum was writing to trade currencies.

``Once I got Lenny involved, I could see the possibilities of building models,'' Simons says.

Baum never traded using the models. In the late '70s and early '80s, Baum was making too much money on fundamental trading. Such trading involves betting based on, say, whether British Prime Minister Margaret Thatcher would let the pound rise. In an era of one-way markets, it was much easier than using models.

``The dollar was very weak; all you had to do was short the dollar and you'd make a lot of money,'' Simons says.

`Magic or Nonsense'

Simons brought in Ax to look over Baum's efforts. Ax declared that not only would the models work with the currencies Baum had written them for, they could be applied to any commodity future --wheat, crude oil, you name it, Simons says.

Simons set up Ax with his own trading account, Axcom Ltd., which eventually gave birth to Medallion. Ax died of colon cancer in 2006 at age 69.

In Axcom's early days, professionals were skeptical about the kind of systematic trading Ax was doing. Still, he was brilliant and a natural at understanding probability, having shared the American Mathematical Society's Frank Nelson Cole Prize in Number Theory in 1967.

``He had the ability to see patterns in trading data,'' says Brian Keating, 36, the younger of Ax's two sons. ``People in the business thought it was magic, or nonsense.''

Talking to Lawyers

Ax was also sometimes difficult to work with. ``Most of times things went well,'' says Kevin Keating, 38, Ax's older son, who talked with his father about his days at Axcom. ``But when they didn't, they'd butt heads.''

During the 1980s, Ax and his researchers improved on Baum's models and used them to explore correlations from which they could profit. If a futures contract opened sharply higher versus its previous close, they would short it; if it opened sharply lower, they would buy it, says Sandor Straus, a former manager for Medallion who now runs his own investment firm, Merfin LLC, in Walnut Creek, California.

The stuff wasn't complicated, and it worked. In 1985, Ax persuaded Simons to let him move Axcom to Huntington Beach, California, to escape a painful divorce and enjoy year-round boating. By 1988, investors wanted to invest directly in Axcom. Simons and Ax started a hedge fund and christened it Medallion in honor of the math awards that they had won.

Short-Circuit

Ax's signals soon seemed to short-circuit. Peak-to-trough losses by April 1989 had mounted to about 30 percent.

Ax had accounted for such a drawdown in his models and pushed to keep trading. Simons wanted to stop to research what was going on.

``Both were talking to their lawyers,'' Straus says. Ax, in fact, threatened to sue. Simons pulled rank, and Ax left. He went on to write a screenplay and poems in addition to working on problems involving the mathematical foundations of quantum mechanics with Princeton University professor Simon Kochen, with whom Ax shares the Cole prize.

Simons turned to Elwyn Berlekamp to run Medallion from Berkeley, California. A consultant for Axcom whom Simons had first met at the IDA, Berlekamp had bought out most of Ax's stake in Axcom. He worked with Straus, Simons and another consultant, Laufer, to overhaul Medallion's trading system during a six-month stretch.

`Dull Life'

In 1990, Berlekamp led Medallion to a 55.9 percent gain, net of fees -- and then returned to teaching math at UC Berkeley.

``I got a lot more pleasure talking to academics than financial types,'' says Berlekamp, who is now professor emeritus. ``Most people in this business are pretty dollar- centric. It makes for a dull life.''

Ax was gone. Berlekamp was gone. Medallion's revamped trading system remained. Straus took the reins. Medallion returned 39.4 percent in 1991, 34 percent in 1992 and 39.1 percent in 1993, according to Medallion annual reports.

Back on Long Island, Simons was gathering an A-team of math brains. Laufer, a former Stony Brook professor, joined full time as research chief in late 1991. Frey, a trader from Morgan Stanley's Analytical Proprietary Trading group, the pioneering black-box quant desk, came in 1992. Nick Patterson, another cryptologist from the IDA, joined in 1993. That year, Simons also hired Brown and Mercer, two language technology experts from the IBM Thomas J. Watson Research Center.

Best Year

The nastier that stock or bond markets turned, the better Medallion seemed to perform. In 1994, as the Federal Reserve raised its federal funds target rate six times to 5.5 percent from 3 percent, Medallion returned 71 percent for the year. The Bloomberg/Effas long-term U.S. government bond index lost 6.7 percent that year.

In 1995, Simons moved most of Renaissance's California operations to Long Island. The firm needed computing power to model the data Renaissance was harnessing, and Simons bought it: From 1994 to 2000, Renaissance's total CPU power grew by a factor of 50. Data bandwidth in and out of Renaissance headquarters rose by a factor of 45, according to a Medallion annual report.

The year 2000, during which the Standard & Poor's 500 Index tumbled 10.1 percent, proved Medallion's best to date. It gained 98.5 percent, net of fees. By the end of that year, Renaissance had 148 employees -- and the fund had a 43.6 percent annualized return over 11 years, net of fees, according to an annual report. It hasn't had a down quarter since.

Insatiable Curiosity

Performance such as that feeds the hedge fund industry's insatiable curiosity. Rivals search for the signals underpinning Renaissance's returns. One set of clues came in the New York State Supreme Court decision in July, which the court heavily redacted. It cites three strategies tested at the firm, including one using limit order book data.

MIT's Lo says that a fund firm could look at such data and identify a large sell order for, say, $15 a share when a stock was trading at $15.05. The fund could short the stock at $15.01 and benefit if the stock hit the $15 trigger.

``There's going to be tremendous downward pressure on the stock,'' Lo says.

`Wolf at the Door'

Former employees say observers may gain as much insight into Renaissance's performance by scrutinizing a more obvious factor: Simons has succeeded in building a pretty good business model. First, it's a firm run by and for scientists.

``I've always said Renaissance's secret is that it didn't hire MBAs,'' says Berlekamp, who blames the herdlike mentality among business school graduates for poor investor returns.

Programming and modeling are treated as the heart of the firm's advantage -- not an expense. ``If you needed a lot of computer power, the decision was based on whether you needed it, not the budget,'' says Peter Weinberger, former chief technology officer at Renaissance and now a software engineer at Google Inc.

Decisions are made quickly and feedback is constant. ``One of the things about Renaissance is that there's a feeling of urgency,'' says Frey, who left to teach applied mathematics and statistics at Stony Brook in 2004.

``We always believed that there was a wolf at the door, that somebody would get there before we did.''

`Walk In'

From Simons on down, the company encourages openness, whether it's about market signals that show where a security might be headed or about technology or trading. Frey says he doesn't recall Simons ever raising his voice at an employee. Simons says new hires are encouraged to troll computer files detailing Renaissance's past strategies, successful or not. ``If Simons's door was open, you could walk in,'' Weinberger says. That would go for everyone from secretaries on up.

For his part, Simons says he's proud of Renaissance's low personnel turnover. The firm is owned by 80-85 employees. From managing directors to cleaning staff, everyone receives a percentage of the profits, Simons says. It's compensation for what he expects them to contribute over the long term.

The notion of paying someone based on a single year's performance makes no sense in an environment where some projects take years to complete, Simons says. ``We want everyone to want everyone else to do well,'' he says.

Issue of Succession

In his New York office, Simons pauses for a full eight seconds when asked who will run Renaissance after he retires -- a simple question given that the firm has just two executive vice presidents.

``Most likely someone inside the company,'' he finally says.

Does his likely successor have any idea he or she will be taking over?

``I suppose who would succeed me has a pretty good idea it would be he,'' he says.

Will it be a surprise?

``I don't think so -- but I can't guarantee it,'' Simons says.

Simons is busy as he rounds out his seventh decade: the new RIEF and RIFF hedge funds, Math for America and the Simons Foundation's support for autism research.

He's even returned to geometry, working with a friend, Stony Brook professor Dennis Sullivan, to solve a problem involving multidimensional spaces that's long bedeviled him. In January, they published a paper proving the theorem.

When pressed about retirement, Simons responds with a trademark mathematical paradox.

``I've always intended to retire in the next two years,'' he says, laughing. ``I've been saying that for a long time. The two years is a constant.''

In the end, whether Simons is building charities, plotting strategies or contemplating his own legacy, it always comes back to the math.

美国“金融重建计划”能否顺利推行?

18日晚间,美国财政部长保尔森与美联储主席柏南克在与美国国会两院的领袖会面后提出,美国政府将力争通过一项"全面性"金融重建计划,以避免华尔街金融危机持续恶化。在房利美、房地美和美国国际集团(AIG)先后被接管之后,市场对美国政府推出更强有力的救市计划的期望正在上升。然而,这项金融重建计划能否顺利推行呢?或许,就连保尔森和柏南克的心里也没底。
  
金融重建计划得以推行,要先过国会这一关,虽然保尔森、柏南克可能已经与国会的领袖私下达成了默契,但是,要想多数国会议员都买账却难度不小。此前,为解决金融市场动荡,美国政府已对金融市场进行了罕见的大规模干预,先后宣布接管"两房"以及提供AIG850亿美元的资金。但是,对于美国政府的上述做法,市场上并非全部叫好之声。反对者认为,这样冒险的行为是把过多的风险转嫁给美国政府,却不能根本上解决金融市场面临的困境。分析人士预测,这项计划在国会获得通过的难度不小。
  
即便国会最终放行,但是,据推测这项救市计划可能至少花掉5000亿美元,无论这项计划打算采取何种具体形式来解困当前的经济危机,如此巨量的救市资金的筹措也是一个大问题。救市资金从哪里来?
  
要知道,到本财政年度9月30日为止,美国政府财政赤字预计将达4000亿美元,为美国历史上第二高赤字,是去年1615亿美元赤字的一倍多。此外,美国政府还预计,在10月1日开始的新财政年度中,财政赤字将刷新纪录,达到4820亿美元。这种情况下,无论是动用自己的家底,还是向外举债,对于美国政府来说,这都需要很大的勇气。雷曼兄弟进入破产程序,美国政府拒绝拯救行动,这说明美国政府并不拥有无止境的救市资源。
  
眼下,高盛、摩根斯丹利的未来仍是一个未决的问题。它们迄今得以生存,并不是因为它们与贝尔斯登、雷曼和美林之间存在根本差异,这一点,美国政府与国会应该心知肚明,考验它们力挽狂澜的本事或许还在后面呢!

对冲基金经理西蒙斯的奇迹

詹姆斯·西蒙斯是世界级的数学家,也是最伟大的对冲基金经理之一。2005年,西蒙斯成为全球收入最高的对冲基金经理,净赚15亿美元,差不多是索罗斯的两倍。从1988年开始,他所掌管的大奖章基金年均回报率高达34%,15年来资产从未减少过。去年西蒙斯以40亿美元跻身《福布斯》400富人榜第64位
  
数学家最赚钱
詹姆斯·西蒙斯是世界级的数学家,也是最伟大的对冲基金经理之一。2005年,西蒙斯成为全球收入最高的对冲基金经理,净赚15亿美元,差不多是索罗斯的两倍。从1988年开始,他所掌管的大奖章基金年均回报率高达34%,15年来资产从未减少过.
  
詹姆斯·西蒙斯(James Simons)几乎从不雇用华尔街的分析师,他的“文艺复兴科技公司”(Renaissance Technologies Corp.)里坐满了数学和自然科学的博士。用数学模型捕捉市场机会,由电脑作出交易决策,是这位超级投资者成功的秘诀。
  
   “人们一直都在问我,你赚钱的秘密是什么?”西蒙斯似乎已经习惯了那些渴望的眼神。事实上,那应该是每个人都想要了解的秘密。
  
   68岁的西蒙斯满头银发,喜欢穿颜色雅致的衬衫,光脚随意地蹬一双loafers牌休闲鞋。虽然已经成为《机构投资者》杂志年度最赚钱的基金经理,但还是有很多人不知道他到底是谁。西蒙斯曾经和华裔科学家陈省身共同创立了著名的Chern-Simons定律,也曾经获得过全美数学界的最高荣誉。在充满了传奇色彩的华尔街,西蒙斯和他的“文艺复兴科技公司”是一个彻底的异类。
  
   自从西蒙斯放弃了在数学界如日中天的事业转而开办投资管理公司后,20多年间,已经创造了很多难以企及的记录,无论从总利润还是净利润计算,他都是地球上最伟大的对冲基金经理之一。
  
   以下是一些和西蒙斯有关的数字:1988年以来,西蒙斯掌管的的大奖章(Medallion)对冲基金年均回报率高达34%,这个数字较索罗斯等投资大师同期的年均回报率要高出10个百分点,较同期标准普尔500指数的年均回报率则高出20多个百分点;从2002年底至2005年底,规模为50亿美元的大奖章基金已经为投资者支付了60多亿美元的回报。
  
   这个回报率是在扣除了5%的资产管理费和44%的投资收益分成以后得出的,并且已经经过了审计。值得一提的是,西蒙斯收取的这两项费用应该是对冲基金界最高的,相当于平均收费标准的两倍以上。
  
模型先生
针对不同市场设计数量化的投资管理模型,并以电脑运算为主导,在全球各种市场上进行短线交易,是西蒙斯的成功秘诀。不过西蒙斯对交易细节一直守口如瓶,除了公司的200多名员工之外,没有人能够得到他们操作的任何线索。
  
对于数量分析型对冲基金而言,交易行为更多是基于电脑对价格走势的分析,而非人的主观判断。文艺复兴公司主要由3个群体组成,即电脑和系统专家、研究人员以及交易人员。
  
   西蒙斯亲自设计了最初的数学模型,他同时雇用了超过70位拥有数学、物理学或统计学博士头衔的人。西蒙斯每周都要和研究团队见一次面,和他们共同探讨交易细节以及如何使交易策略更加完善。
  
   作为一位数学家,西蒙斯知道靠幸运成功只有二分之一的概率,要战胜市场必须以周密而准确的计算为基础。大奖章基金的数学模型主要通过对历史数据的统计,找出金融产品价格、宏观经济、市场指标、技术指标等各种指标间变化的数学关系,发现市场目前存在的微小获利机会,并通过杠杆比率进行快速而大规模的交易获利。目前市场上也有一些基金采取了相同的策略,不过和西蒙斯的成就相比,往往显得黯然失色。
  
   “文艺复兴科技公司”的旗舰产品—“大奖章基金”成立于1988年3月。到1993年,基金规模达到2.7亿美元时,开始停止接受新资金。现在大奖章基金的投资组合包含了全球上千种股市以及其他市场的投资标的,模型对国债、期货、货币、股票等主要投资标的的价格进行不间断的监控,并作出买入或卖出的指令。
  
   当指令下达后,20名交易员会通过数千次快速的日内短线交易来捕捉稍纵即逝的机会,交易量之大甚至有时能占到整个纳斯达克市场交易量的10%。不过,当市场处于极端波动等特殊时刻,交易会切换到手工状态。
  
   和流行的“买入并长期持有”的投资理念截然相反,西蒙斯认为市场的异常状态通常都是微小而且短暂的。“我们随时都在买入卖出和卖出买入,我们依靠活跃赚钱。”西蒙斯说。
  
   西蒙斯透露,公司对交易品种的选择有三个标准—即公开交易品种,流动性高,同时符合模型设置的某些要求。他表示,“我是模型先生,不想进行基本面分析,模型的优势之一是可以降低风险。而依靠个人判断选股,你可能一夜暴富,也可能在第二天又输得精光。”
  
   西蒙斯的所作所为似乎正在超越有效市场假说:有效市场假说认为市场价格波动是随机的,交易者不可能持续从市场中获利。而西蒙斯则强调,“有些交易模式并非随机,而是有迹可循、具有预测效果的。
  
   如同巴菲特曾经指出“市场在多数情况下是有效的,但不是绝对的”一样,西蒙斯也认为,虽然整体而言,市场是有效的,但仍存在短暂的或局部的市场无效性,可以提供交易机会。
  
   在接受《纽约时报》采访时,西蒙斯提到了他曾经观察过的一个核子加速器试验。“当两个高速运行的原子剧烈碰撞后,会迸射出数量巨大的粒子,”他说,“科学家的工作就是分析碰撞所带来的变化。”
  
   “我注视着电脑屏幕上粒子碰撞后形成的轨迹图,它们看似杂乱无章,实际上却存在着内在的规律。”西蒙斯说,“这让我自然而然地联想到了证券市场,那些很小的交易,哪怕是只有100股的交易,都会对这个庞大的市场产生影响,而每天都会有成千上万这样的交易发生。”西蒙斯认为,自己所做的,就是分析当交易这只蝴蝶的翅膀轻颤之后,市场会作出怎样复杂的.
  
   “这个课题对于世界而言也许并不重要,不过研究市场运转的动力非常有趣。这是一个非常严肃的问题。”西蒙斯笑起来的时候简直就像一个顽童,而他就像是一位精通数学的书生,通过复杂的赔率和概率计算,最终打败了赌场。
  
黑箱操作
对冲基金行业一直拥有“黑箱作业”式的投资模式,可以不必向投资者披露其交易细节。而在一流的对冲基金经理之中,西蒙斯先生的那只箱子据说是“最黑的”。
  
   就连优秀的数量型对冲基金经理也无法弄清西蒙斯的模型究竟动用了哪些指标。“我们信任他,相信他能够在股市的惊涛骇浪中游刃有余,因此也就不再去想电脑都会干些什么之类的问题。”一位大奖章基金的长期投资者说。
  
   不过,每当有人暗示西蒙斯的基金缺乏透明度时,他总是会无可奈何地耸耸肩,“其实所有人都有一个黑箱,我们把他称为大脑。”
  
   在纽约,有一句名言是:你必须非主流才能入流(You have to be out to be in),西蒙斯的经历似乎刚好是这句话的注解。在华尔街,他的所做所为总是让人感到好奇。
  
   西蒙斯的“文艺复兴科技公司”总部位于纽约长岛,那座木头和玻璃结构的一层建筑从外表看上去更像是一个普通的脑库,或者是数学研究所。和很多基金公司不同的是,文艺复兴公司的心脏地带并不是夜以继日不停交易的交易室,而是一间有100个座位的礼堂。每隔半个月,公司员工都会在那里听一场科学演讲。“有趣而且实用的统计学演讲,对你的思想一定会有所启发。”一位喜欢这种学习方式的员工说。
  
   令人惊讶的还不止这些。西蒙斯一点也不喜欢华尔街的投资家们。事实上,如果你想去“文艺复兴科技公司”工作的话,华尔街经验反而是个瑕疵。在公司的200多名员工中,将近二分之一都是数学、物理学、统计学等领域顶尖的科学家,所有雇员中只有两位是金融学博士,而且公司从不雇用商学院毕业生,也不雇用华尔街人士,这在美国的投资公司中堪称绝无仅有。
  
   “我们不雇用数理逻辑不好的学生,”曾经在哈佛大学任教的西蒙斯说。“文艺复兴科技公司”拥有一流的科学家,其中包括贝尔试验室的著名科学家Peter Weinberger和弗吉尼亚大学教授Robert Lourie。他还从IBM公司招募了部分熟悉语音识别系统的员工。“交易员和语音识别的工作人员有相似之处,他们总是在猜测下一刻会发生什么。
  
   人员流动几乎是不存在的。每6个月,公司员工会根据业绩收到相应的现金红利。据说半年内的业绩基准是12%,很多时候这个指标可以轻松达到,不少员工还拥有公司的股权。西蒙斯很重视公司的气氛,据说他经常会和员工及其家属们分享周末,早在2000年,他们就曾一起飞去百慕大度假。与此同时,每一位员工都发誓要保守公司秘密。
  
   近年来,西蒙斯接受最多的质疑都与“美国长期资本管理公司”(LTCM)有关。LTCM在上世纪90年代中期曾经辉煌一时,公司拥有两位诺贝尔经济学奖得主,他们利用计算机处理大量历史数据,通过精密计算得到两个不同金融工具间的正常历史价格差,然后结合市场信息分析它们之间的最新价格差。如果两者出现偏差,电脑立即发出指令大举入市;经过市场一段时间调节,放大的偏差会自动恢复到正常轨迹上,此时电脑指令平仓离场,获取偏差的差值。又通过对冲机制规避风险,使市场风险最小。但由于其模型假设前提和计算结果都是在历史统计数据基础上得出的,一旦出现与计算结果相反的走势,则对冲就变成了一种高风险的交易策略。
  
   而在极大的杠杆借贷下,这种风险被进一步放大。最辉煌时,LTCM利用从投资者筹得的22亿美元资本作抵押,买入价值1250亿美元证券,然后再以证券作为抵押,进行总值12500亿美元的其他金融交易,杠杆比率高达568倍。短短4年中,LTCM曾经获得了285%的收益率,然而,在过度操纵之下,又在仅两个月之内输掉了45亿美元,走向了万劫不复之地。
  
   “我们的方式和LTCM完全不同,”西蒙斯强调。“文艺复兴科技公司”没有、也不需要那么高的杠杆比例,公司在操作时从来没有任何先入为主的概念,而是只寻找那些可以复制的微小的获利瞬间。“我们绝不以‘市场恢复正常’作为赌注投入资金,有一天市场终于会正常的,但谁知道是哪一天?”
  
   一位著名的数量型基金管理人表示,西蒙斯的方法和LTCM最重要的区别是不涉及对冲,而多是进行短线方向性预测,依靠同时交易很多品种、在短期作出大量的交易来获利。如果一笔交易亏损,由于会在很短的时间内平仓,因此损失不会很大;而数千次交易之后,只要盈利交易多于亏损交易,总体交易结果就是盈利的。
  
数学大师
西蒙斯很少在金融论坛上发表演讲,他喜欢的是数学会议。他在一个几何学研讨会上庆祝自己的60岁生日,为数学界和患有孤独症的儿童捐钱。在发表演讲时,更常常强调是数学使他走上了投资的成功之路。
  
   西蒙斯在数学方面有着天生的敏感和直觉。这个制鞋厂老板的儿子3岁就立志成为数学家。高中毕业后,他顺利地进入了麻省理工学院。大学毕业仅三年,就拿到了加州大学伯克利分校的博士学位,24岁就出任哈佛大学数学系教授。
  
   70年代末,他创立私人投资基金之初,也采用基本面分析方法。80年代后期,西蒙斯彻底转型为“模型先生”,并为大奖章基金接近500位投资人创造出了令人惊叹的业绩。
  
   2005年,西蒙斯宣布要成立一只规模可能高达1000亿美元的新基金,在华尔街轰动一时。要知道,这个数字几乎相当于全球对冲基金管理资产总额的十分之一。
  
   谈到新基金时,西蒙斯更加谨慎。他表示,和大奖章基金主要针对富有阶层不同,新基金的最低投资额为2000万美元,主要面向机构投资者,将通过下调收费来吸引投资。
  
   此外,新基金将偏重于投资美国股市,持有头寸超过一年—相对于大奖章的快速交易而言,新基金似乎开始坚持“买入并持有”的理念。
  
  “对大奖章非常有效的模型和方法并不一定适用于新基金。”西蒙斯说。
  
   尽管怀疑的声音很多,到2006年2月中旬,西蒙斯还是筹集到了40亿美金,同时向投资者承诺,一旦在任何时点基金运作出现疲弱的迹象,就将停止吸收新资金,届时新基金将不再继续增加到千亿美金的上限。