论主权财富基金、货币政策与金融稳定

由于主权财富基金管理者大量的外汇资产,主权财富基金的投资规模和投资行为对投资国和被投资国的货币政策、财政政策、国际收支平衡以及金融市场的稳定性都将产生很大的影响。IMF认为主权财富基金已经成为跨境资本流动和配置的主要角色之一,尤其是在次贷危机爆发后,各国的主权财富基金纷纷对金融机构等进行注资,对于缓解流动性短缺和稳定金融市场起到了十分重要的作用。     

主权财富基金凸显世界变化及需求

代表国家进行投资的主权财富基金（SWF）正吸引着越来越多的目光，这是全球经济发生变化的又一迹象，而且与金砖四国的崛起和它们的金融财富积累有关。虽然主权财富基金并不是新生事物，但它们的数目、规模和活动的多样性还是吸引了金融市场参与者和西方决策者们的注意。而随着主权财富基金投资策略的复杂化，     

浅析主权财富基金对金融市场稳定性的影响

主权财富基金有助于财政稳定、有利于稳定汇率水平,具有资金来源稳定性和长期性的特点。它对金融资产价格的影响基本是正面的,不会加剧市场的投机行为和助长市场泡沫,还会纠正市场上对某些资产的错误定价或悲观情绪。虽然主权财富基金的资金来源性质及其多元化的资产配置决定了它们将会提升全球的风险收益组合,但这种改变更加合理地配置了全球资产并分散了风险,能够改善全球资本市场的效率和流动性,对资本市场尤其是股票市场的稳定性有着十分积极的作用。     

金融危机下主权财富基金投资的风险控制与策略

占有总额约2万亿美元的资产,主权财富基金是近年来最受瞩目的国际投资者.此次美国次贷危机引起全球金融市场剧烈波动,且已由虚拟经济向实体经济蔓延,而以长期投资为主的主权财富基金被认为在一定程度上可对全球动荡的经济起到稳定器的作用,因此,对金融危机下主权财富基金的投资策略的研究具有重大的意义.     

金融危机背景下我国外汇储备投资策略研究

对我国而言,过多的外汇储备会带来机会成本较高、价值缩水、国内通货膨胀等风险。应投资海外金融市场,改革外汇储备中金融资产与商品资产的结构,鼓励国内企业进行海外投资,建立并完善中国的主权财富基金。     

主权财富基金探析及中国主权财富基金展望

美国次贷危机爆发以来,主权财富基金发展迅猛,在国际金融领域的活跃表现引起国际社会的广泛关注。主权财富基金规模日益庞大,其资产投资策略对国际资本流动和资产价格产生了重要的影响,而主权投资基金特殊的国家背景,又使其投资动向引起美欧政府和各界的关注。当前,我国主权财富基金应借鉴国际先进经验,不断完善其运作机制,积极应对外部监管环境变化对我主权财富基金的挑战。     

主权基金重塑全球资本市场

阿布扎比投资局、淡马锡、中投公司等主权财富基金的频频出手，开启了展示国家级财技的新时代。在全球主权基金的投资组合中，美元资产目前仍占65％的比重，但随着美元走弱，其投资正日趋多元化，开始广泛涉足股票、外国房地产、私人股权、商品期货等领域，以追求长期投资回报。由于主权基金“树大招风”，直接针对它们的投机行为必然蓬勃发展，其有意投资的资产价格必然大幅上涨，从而增加其投资成本。那种认为主权基金可以像对冲基金交易员那样根据汇率的变动而变动不同头寸的设想是不现实的，这只会增加全球金融市场的波动性。虽然成功的主权基金部致力于仿效私人投资公司，讲究组织上的精简与决策的效率，并尽量扩大信息披露的力度、外聘专业的基金经理以增加透明度，然而，官方血统仍使其存在更为复杂的公司治理问题。特殊的背景也使其在投资上容易受到东道国的干预，而难以实现投资风险与回报的最佳匹配。     

我国主权财富基金投资运营研究

本文主要介绍了我国主权财富基金的来源，目前的规模，及其在投资运作方面的现状，进一步阐释了主权财富基金在投资运作上存在的问题与不足。并以中国投资有限责任公司为例，阐明了在肩负国家宏观调控的目的下，如何既能将风险控制在一定的范围内，又能通过适当的在全球范围内的资产配置，使投资达到获得优良的长期投资回报的目的。     

挪威政府全球养老基金投资及风险管理研究

挪威主权财富基金的起源可以追溯到20世纪60年代,具有悠久的历史和庞大的规模。随着社会发展至今,越来越多国家开始重视主权财富基金的管理和发展,中国也不例外。中投成立于2007年9月,资产总值在2017年已排在世界第二位,仅次于挪威政府全球养老基金。本文通过全面分析挪威政府全球养老基金的投资策略及风险管理,以期能够对我国主权财富基金的进一步发展提供宝贵的经验。     

主权财富基金全球投资风险研究

近年来,主权财富基金的快速发展对国际金融市场产生了重大影响,其投资在增强国际金融市场稳定性、提升全球资本市场完整性、起到抵御金融危机作用的同时,也增大了世界经济金融失衡的可能性,并有可能导致经济剧烈波动,增加金融市场的不确定性和系统性风险.而在全球投资的过程中,主权财富基金更面临着政治风险、市场波动风险、法律保障风险、公司治理风险和监管缺位风险等诸多挑战.因此,对于中国主权财富基金而言,应坚持科学投资的原则,实行商业化、专业化和市场化的运作方式,不断完善公司治理结构与风险控制体系,并通过成立外部监管机构,加强监督和引导,从而最大化地防范各类风险的发生.     

主权财富基金开展对外投资所面临的外部环境分析

近几年主权财富基金的快速发展及其在投资领域的影响,引起了发达国家对主权财富基金的关注,以美国为代表的国家对主权基金的态度处于矛盾之中.既希望获得主权财富基金的资金.又担心由此而引发的国家安全等问题.在此种国际环境下,我国应该积极参与主权财富基金国际规则的制定.尽可能地维护我国的利益;加强与东道国和国际机构的关系,树立良好的国际形象;正视自身存在的问题.建立良好的公司治理结构,减少对外投资过程中的阻碍;开展与国外成熟主权财富基金公司或机构投资者的合作,以联合投资的形式开展业务,学习其管理主权财富基金的经验,并进行风险控制,最终实现投资的保值和增值.     

主权财富基金的总体投资趋势研究

从总体投资趋势看,近年来主权财富基金对外投资呈加速增长态势.其投资领域多元化,但对金融服务业和房地产业尤为重视,投资风格由低调沉稳趋向于风险激进;它们在国内外市场均有投资,但以国外市场为主,其中2001～2005年投资主要面向新兴市场,而2006～2008年则主要面向经济合作与发展组织发达国家,并因此引起西方国家的极大关注和质疑;受全球金融危机影响,主权财富基金一度出现大幅萎缩,部分主权资金退回国内市场,但最新交易表明,主权财富基金已再次开始把目光投向海外寻找战略性投资,以进一步实现其赢利目的.     

Sovereign Wealth Funds: Investment and Governance Practices

Sovereign wealth funds (SWFs) are large, growing, and concentrated investment vehicles, with a current estimated value of U.S. $3 trillion. The combination of low transparency and government ownership has raised questions about political agendas, national security, and transfers of technology. In this article the authors report on the current status of SWFs in terms of investments, regulation, governance, and transparency of activities. They also review some recent studies on SWF investments and their impact on financial markets.     

Sovereign Wealth Funds: The Norwegian Experience

Sovereign wealth funds have rapidly become significant international institutions. The performance of funds varies substantially across countries, but comprehensive and systematic analyses of funds have been hampered by the lack of transparency of most funds. The relative transparency of the Norway Fund allows us to do an econometric analysis of the Fund’s performance. The record resembles that of a mutual fund that has taken on greater risk over time. There is no evidence that the Fund has disrupted foreign financial markets more than mutual funds do. There remains a question as to whether the Fund and its Finance Ministry have been effective agents for the Norwegian citizens whose assets they are managing.     

基于VaR和两基金分离的投资组合模型

本文使用VaR来度量投资组合的市场风险,构造了一个在可接受期末财富约束条件下,使VaR达到最小的投资组合模型,同时,发现该模型发生了两基金分离现象,因此存在多风险资产情形下的投资组合模型可以退化成为单风险资产情形下的投资组合模型。最后,本文使用简化的单风险模型对我国上海股票市场进行了实证分析,探讨投资者如何在股票和银行借贷中进行最优资产分配。     

Performance of Ethical Mutual Funds in Spain: Sacrifice or Premium?

There is currently much debate in the economic literature about whether ethical investment involves a financial sacrifice or premium. One of the most common methods of testing this compares the financial performance of ethical investment funds with that of other funds not considered “socially responsible” or ethical. The majority of these research studies evaluate the performance of the ethical funds according to classic measures, whereby different financial markets, in different countries and for different periods of time serve as reference for evaluation. The ultimate conclusion of all of these studies is that there are no significant differences between the performance results of one type of funds and the other. In Spain, ethical investment funds are still an incipient sector of investment. To date, the Spanish market has not been included in any type of analysis of these characteristics. Therefore the main objective of this article is to compare the financial performance of ethical investment funds to that of other funds in the Spanish retail market. We propose the aggregate type of analysis as the Spanish ethical investment funds have experienced a weaker development in comparison to those of other developed countries. In the first step we suggest the financial performance to be compared by style analysis since the asset distribution of the Spanish Social Return Investment (SRI) funds differs from the European trend. In particular, we use the multifactor regression model with style benchmarks. We found that their financial performance is in all cases superior or similar to that achieved by the rest of the funds. In the second step, to achieve a more robust and homogeneous comparison, we used the bootstrap method, comparing ethical and non-ethical fund subsamples by homogeneous groups. No significant differences between these two types of funds have been found. Thus, if we assume the positive o neutral effect of ethical investment on investor utility in the retail Spanish market the financial and social performance (FSP) of ethical funds will be, in aggregate, superior to the FSP achieved by conventional funds. In conclusion, the financial performance of ethical mutual funds in Spain is no sacrifice.     

An Overview of the U.S. Regulated Fund Industry

The largest segment of the asset management business in the United States is registered investment companies (regulated funds). This article focuses on U.S. regulated investment companies—mutual funds, exchange-traded funds, closed-end funds, and unit investment trusts. These funds manage more than $17 trillion of assets, largely on behalf of U.S. investors. The industry has experienced strong growth over the past quarter century from asset appreciation and strong demand from households due to rising household wealth, the aging of the U.S. population, and the evolution of employer-based retirement systems. Price competition and supply-side product innovations and efficiencies have reduced the average price that investors pay for fund services.     

利率市场化与资产证券化兴起：来自美国经验的启示

资产证券化是20世纪最重要的金融产品创新之一,历经四十余年发展资产证券化产品日渐成熟．规模可与公司债市场匹敌。通过系统梳理美国资产证券化市场的发展脉络可以看出：资产证券化是美国支持房地产融资、解决贷款资金来源的盘活存量之道;利率市场化是资产证券化兴起的催化剂：信托法律关系的创新完善是美国资产证券化大规模发展的必要条件;投资银行持续创新产品设计使其更能为投资者接受。这为中国金融市场的发展提供了参考。     

加强高校科研经费管理执行力的研究

当前,我国高校在科研经费管理方面存在的问题主要是,项目预算编制不够科学合理,实际支出与预算出入较大,科研经费支出绩效不够重视,项目结存结余经费管理不够严格,国有资产管理薄弱等。随着高校科研经费来源渠道的多元化、复杂化,加强科研经费的管理,适应国家科技改革的创新发展以及财政部、科技部等相关政策的要求就显得更为重要。高校财务管理者应创新财务管理理念,充分发挥财务管理职能;完善制度建设,建立健全科研经费管理规章制度;建立科学合理的科研经费绩效考核机制;加强财务管理的信息化建设,实现科研经费管理高效性;加强资产管理,减少科研资产的浪费和流失,从而提高高校科研经费管理的执行力。     

On the failure of mutual fund industry regulation

Mutual funds grant retail investors access to professional asset management and facilitate exposure to financial markets. The academic literature and regulators have traditionally focused on issues such as portfolio diversification, performance, liquidity, and management fees in attempts to analyze and improve market efficiency. Scarce attention has been paid to market risk management. There is unanimity on this issue throughout the world. The lack of regulatory attention creates a gap, which is partially covered by mutual fund rating agents and asset management analysts. Those agents base their ratings on various rating methodologies — which engenders a wide array of difficulties, especially for retail investors. We employ proprietary data on historic mutual fund ratings in Israel and show that retail investors do not necessarily benefit from this diversity of opinions. Furthermore, we find that the voluntary implementation of quantitative risk measurement techniques by certain mutual funds tends to be associated with fewer outflows and greater inflows in these funds. Interestingly, the application of (backward-looking) value-at-risk analysis is associated with fewer outflows, while (forward-looking) stress-testing techniques are associated with greater inflows. Given the similarity of mutual fund industry environments across the globe, our results have worldwide applicability.