第3讲：对冲与对冲策略
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Lecture 3: Hedging and Hedging Strategies
12
Example
A firm with $100m debt vulnerable to the combination of a weak economy and weak dollar (a US exporting firm). Without hedging with
Lecture 3: Hedging and Hedging Strategies
10
减少预期税收支出
Non-linearity in tax system can create incentives to hedge. In particular, profits and losses are often treated differently. Electronics company exporting from Singapore into US, 40% income tax (assuming exchange rate does not affect quantity):
Lecture 3: Hedging and Hedging Strategies
5
对冲基金投资策略的特点
运用杠杆效应。典型的对冲基金往往利用银行信贷以较高 的财务杠杆在其原始基金的基础上以几倍、几十倍甚至是 成百上千倍地扩大投资规模，从而达到最大程度地获取投 资回报的目的； 大量卖空交易。当对冲基金经理认为某一证券价值被高估 ，市场价格远偏离其真实的价值，预计该证券难以支撑如 此高的市场价格，价格必将下跌，于是对冲基金的投资经 理事先缴纳保证金从经纪商或机构投资者那里借入一定数 量的该证券，并将其全部出售，待价格下跌后，又在低价 买入，将购回的证券归还给经纪商或机构投资者，并由此 赚取证券差价收益。 大量使用金融衍生工具。
Strong economy
Strong dollar $150m
Weak economy
$95m
Strong economy
$165m
Weak economy
$110m
Weak dollar
$200m
$125m
$185m
$110m
Lecture 3: Hedging and Hedging Strategies
13
充分利用财务杠杆利益
Distress costs arise when debt/equity ratio is high – when the firm is highly levered. Firms can increase their debt – carrying capacity by hedging so as to ensure that debt-equity ratio never becomes unacceptably low. Appropriate hedging therefore enables the firm to take on more debt without facing higher interest or other costs, while enjoying the benefit of tax savings.
Post-tax unhedged 60 Post-tax hedged 21
Байду номын сангаас
-20 21
20 21
Lecture 3: Hedging and Hedging Strategies
11
规避财务困境
Distress costs (e.g., costs of bankruptcy) can arise because of conflicts b/w a firm’s equity and debt-holders. If a firm cannot service debt, debt holders like to wind the firm up realizing its asset value. Equity holders gain little or nothing from this and therefore prefer to wait –they effectively hold a call option on the firm’s value. This conflict is aggravated because the firm’s suppliers may be unwilling to do business with the firm , and banks require high interest rate. Both shareholders and debt-holders therefore be concerned that the firm avoids distress- which it can be done by hedging.
1
第三讲: 对冲与对冲策略 (Hedging and Hedging Strategies)
Outline Why to Hedge为什么进行对冲? How to Hedge - Hedging Strategies 怎样对冲 - 对冲策略? What Can Go Wrong with Hedging – Hedging Disasters对冲失败的经典案例
Lecture 3: Hedging and Hedging Strategies
9
Inventory Collateralization存货担保
Manufacturing firms often carry large working stocks of raw materials. Thus, firms’ scale is limited by the amount of inventory they afford. Firms therefore often choose to borrow against inventory. Borrowing is facilitated if the inventory is hedged since banks take less risks in taking the inventory as collateral. Thus hedging can reduce the firms’ borrowing costs.
Lecture 3: Hedging and Hedging Strategies
6
为什么对冲：支持方观点
Companies should focus on the main business they are in and take steps to minimize risks arising from interest rates, exchange rates, and other market variables
Lecture 3: Hedging and Hedging Strategies
3
多头对冲与空头对冲(Long & Short Hedges) 多头对冲A long futures hedge is appropriate when you know you will purchase an asset in the future and want to lock in the price 空头对冲A short futures hedge is appropriate when you know you will sell an asset in the future & want to lock in the price
Lecture 3: Hedging and Hedging Strategies
2
第一部分:为什么进行对冲?
Hedge/Hedging: An agent undertakes a hedge when he takes a position in a derivatives market that fully or partially offsets price risks of his cash position. The primary principle in hedging is that the gains (losses) in one market (partially) offset the losses (gains) in the other market. Hedging can be good if executed properly. It can be bad and ugly by increasing risk, generating large losses－双刃剑.
Lecture 3: Hedging and Hedging Strategies
对冲基金
4
对冲基金Hedge Fund指在相关商品交易中，为降低市 场波动风险，通过在期货市场做一手与现货市场商品 种类相同但交易部位相反的合约来冲销现货市场交易 中所存的市场价格波动风险的交易方式，从价格联系 的差异中获得无风险利润。 MAR (Managed Accounts Reports) Hedge的定义是“采 取激励性的佣金(通常占5-25%)机制，并至少满足以 下各标准中的一个：基金投资于多种资产；只做多头 的基金一定利用杠杆效应；或基金在其投资组合内运 用各种套利技术”。 美国先锋对冲基金国际谘询公司(VAN)的定义是“采 取私人合伙公司或有限责任公司的形式，主要投资于 公开发行的证券或金融衍生工具”。
Lecture 3: Hedging and Hedging Strategies
反对方观点
An alterative to hedging using derivatives is to diversify the business. Shareholders are usually well diversified and can make their own hedging decisions It may increase risk to hedge when competitors do not Explaining a situation where there is a loss on the hedge and a gain on the underlying can be difficult Finding the positive from a zero sum game is not convincing
Pre- and post-tax profits, two equally likely scenarios ($m) Strong dollar (50%) Pre-tax unhedged Pre-tax hedged 100 35 Weak dollar (50%) -20 35 Average profits 40 35
Lecture 3: Hedging and Hedging Strategies
7
8
公司为什么有对冲交易? – 理论回顾
The CAPM and the M-M theorem imply there is no value in firms hedging solely to reduce risk – shareholders adjust their portfolios themselves to take on their desired riskreturn ratio and will not wish to pay management to do this. Hedging must therefore be justified as value-added activity. This can be taken as justifying discretionary hedging – but this supposes that managers can forecast better than shareholders, which is doubtful. Value-generating should be interpreted in terms of firms’ normal activity, like the following:
12
Example
A firm with $100m debt vulnerable to the combination of a weak economy and weak dollar (a US exporting firm). Without hedging with
Lecture 3: Hedging and Hedging Strategies
10
减少预期税收支出
Non-linearity in tax system can create incentives to hedge. In particular, profits and losses are often treated differently. Electronics company exporting from Singapore into US, 40% income tax (assuming exchange rate does not affect quantity):
Lecture 3: Hedging and Hedging Strategies
5
对冲基金投资策略的特点
运用杠杆效应。典型的对冲基金往往利用银行信贷以较高 的财务杠杆在其原始基金的基础上以几倍、几十倍甚至是 成百上千倍地扩大投资规模，从而达到最大程度地获取投 资回报的目的； 大量卖空交易。当对冲基金经理认为某一证券价值被高估 ，市场价格远偏离其真实的价值，预计该证券难以支撑如 此高的市场价格，价格必将下跌，于是对冲基金的投资经 理事先缴纳保证金从经纪商或机构投资者那里借入一定数 量的该证券，并将其全部出售，待价格下跌后，又在低价 买入，将购回的证券归还给经纪商或机构投资者，并由此 赚取证券差价收益。 大量使用金融衍生工具。
Strong economy
Strong dollar $150m
Weak economy
$95m
Strong economy
$165m
Weak economy
$110m
Weak dollar
$200m
$125m
$185m
$110m
Lecture 3: Hedging and Hedging Strategies
13
充分利用财务杠杆利益
Distress costs arise when debt/equity ratio is high – when the firm is highly levered. Firms can increase their debt – carrying capacity by hedging so as to ensure that debt-equity ratio never becomes unacceptably low. Appropriate hedging therefore enables the firm to take on more debt without facing higher interest or other costs, while enjoying the benefit of tax savings.
Post-tax unhedged 60 Post-tax hedged 21
Байду номын сангаас
-20 21
20 21
Lecture 3: Hedging and Hedging Strategies
11
规避财务困境
Distress costs (e.g., costs of bankruptcy) can arise because of conflicts b/w a firm’s equity and debt-holders. If a firm cannot service debt, debt holders like to wind the firm up realizing its asset value. Equity holders gain little or nothing from this and therefore prefer to wait –they effectively hold a call option on the firm’s value. This conflict is aggravated because the firm’s suppliers may be unwilling to do business with the firm , and banks require high interest rate. Both shareholders and debt-holders therefore be concerned that the firm avoids distress- which it can be done by hedging.
1
第三讲: 对冲与对冲策略 (Hedging and Hedging Strategies)
Outline Why to Hedge为什么进行对冲? How to Hedge - Hedging Strategies 怎样对冲 - 对冲策略? What Can Go Wrong with Hedging – Hedging Disasters对冲失败的经典案例
Lecture 3: Hedging and Hedging Strategies
9
Inventory Collateralization存货担保
Manufacturing firms often carry large working stocks of raw materials. Thus, firms’ scale is limited by the amount of inventory they afford. Firms therefore often choose to borrow against inventory. Borrowing is facilitated if the inventory is hedged since banks take less risks in taking the inventory as collateral. Thus hedging can reduce the firms’ borrowing costs.
Lecture 3: Hedging and Hedging Strategies
6
为什么对冲：支持方观点
Companies should focus on the main business they are in and take steps to minimize risks arising from interest rates, exchange rates, and other market variables
Lecture 3: Hedging and Hedging Strategies
3
多头对冲与空头对冲(Long & Short Hedges) 多头对冲A long futures hedge is appropriate when you know you will purchase an asset in the future and want to lock in the price 空头对冲A short futures hedge is appropriate when you know you will sell an asset in the future & want to lock in the price
Lecture 3: Hedging and Hedging Strategies
2
第一部分:为什么进行对冲?
Hedge/Hedging: An agent undertakes a hedge when he takes a position in a derivatives market that fully or partially offsets price risks of his cash position. The primary principle in hedging is that the gains (losses) in one market (partially) offset the losses (gains) in the other market. Hedging can be good if executed properly. It can be bad and ugly by increasing risk, generating large losses－双刃剑.
Lecture 3: Hedging and Hedging Strategies
对冲基金
4
对冲基金Hedge Fund指在相关商品交易中，为降低市 场波动风险，通过在期货市场做一手与现货市场商品 种类相同但交易部位相反的合约来冲销现货市场交易 中所存的市场价格波动风险的交易方式，从价格联系 的差异中获得无风险利润。 MAR (Managed Accounts Reports) Hedge的定义是“采 取激励性的佣金(通常占5-25%)机制，并至少满足以 下各标准中的一个：基金投资于多种资产；只做多头 的基金一定利用杠杆效应；或基金在其投资组合内运 用各种套利技术”。 美国先锋对冲基金国际谘询公司(VAN)的定义是“采 取私人合伙公司或有限责任公司的形式，主要投资于 公开发行的证券或金融衍生工具”。
Lecture 3: Hedging and Hedging Strategies
反对方观点
An alterative to hedging using derivatives is to diversify the business. Shareholders are usually well diversified and can make their own hedging decisions It may increase risk to hedge when competitors do not Explaining a situation where there is a loss on the hedge and a gain on the underlying can be difficult Finding the positive from a zero sum game is not convincing
Pre- and post-tax profits, two equally likely scenarios ($m) Strong dollar (50%) Pre-tax unhedged Pre-tax hedged 100 35 Weak dollar (50%) -20 35 Average profits 40 35
Lecture 3: Hedging and Hedging Strategies
7
8
公司为什么有对冲交易? – 理论回顾
The CAPM and the M-M theorem imply there is no value in firms hedging solely to reduce risk – shareholders adjust their portfolios themselves to take on their desired riskreturn ratio and will not wish to pay management to do this. Hedging must therefore be justified as value-added activity. This can be taken as justifying discretionary hedging – but this supposes that managers can forecast better than shareholders, which is doubtful. Value-generating should be interpreted in terms of firms’ normal activity, like the following: