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1、基金管理公司和基金的管理金岩石1900 1924 1928 1929 1940 1953 1960 1968 1970Mutual Fund“Go-Go Years“Star portfoliomanagers promoted to the publicFirst significant investment in funds by publicFirst no-loadFund introducedby Scudder,Stevens & ClarkNYSE beginsThe Monthly Investment PlanIntroducesdollar-costaveragingMar

2、ket CrashLeads to GreatDepressionFirst mutual funds Introduced in the United StatesMassachusetts Investors TrustState Street Investment TrustFirst balanced fund introducedIndustrial & Power Securities(Created by Walter L. Morgan)Renamed in 1935 as The Wellington FundInvestmentCompany Act of 1940 def

3、ines three types of investmentcompanies:Face Amountcertificate CompanyUnit Investment TrustManagement CompanyMutual fund time line:1924-1970 (Figure3-1) 共同基金开展历程1924-1970197019721973.19741975197619791980Two-year severebear market,lasts to end of 1974Dow loses nearly 50% of its valueInvestors fleesto

4、cks and funds.Securities ActAmendmentsof 1975Deregulationof fixed commissionsTax-exemptmoney marketfundsintroduced12b-1 feesapproved by the SECFirst index fund introducedVanguard IndexTrust-tracksS&P 500Fidelity launchesfirst moneymarket mutualfund withcheck writingprivileges.First Moneymarket mutua

5、lfund createdMutual fund time line:1970-1980. ( Figure 3-2)共同基金开展历程1970-1980 19801981198219831987198819901992.199519982000Tax Act of 1981 createsIndividualRetirementAccounts(IRAs)Mutual fundsmarketed to IRA holders,transformingthem fromsavers toinvestorsThe longest bull market inhistory beginsBanks

6、offer money marketchecking accounts tocompete withmoney marketmutual fundsOctober 19thMarket CrashDramatic increasein the number ofmutual funds and cash inflowNumber of funds exceed the number of stocks listed inexchangesAmericans investmore in mutualfunds than in theirhomesSEC approves the use of a

7、 twosummaryprospectusthat mutualfunds can use to sell sharesDual pricingintroducedby MerrillLynchDifferentclasses of shares (A&B)in the same fundCharles Schwab launches OneSource, its mutual funds supermarket, whichenables investors tobuy the no-load fundsof many different companies and receiveone c

8、onsolidated statementMagellan fundexpected to exceed $100 billion in totalnet assets-largerthan all stock funds in 1984, and larger thanthe entire industryin 1979Mutual fund time line:1980-today (Figure 3-3)共同基金开展历程1980-2000Return1000304050102020406080RiskMoney MarketIncomeGrowth and IncomeGrowthNew

9、 Concept GrowthSector and Regional GrowthMutual Fund Families共同基金家族SPONSORPortfolio ManagerInvestment AdviserInvestment ManagerFund ManagerManagement CompanyMILLENNIUM GROWTH FUNDBoard of DirectorsSub-adviserMay be a division of the sponsor or an outside firmCreates the fund and registers it with th

10、e SECFiles required reports with the SECHiresAdvises and directsinvestment activitiesCUSTODIAN BANKInvestment PortfolioStocksBondsCashMay advise and directinvestment activitiesHas expertise in other types of investments (e.g., foreign securities) or has a different investment styleOversees the funds

11、 managementActs as watchdog for shareholder interestsApproves annual contractfor investment adviserSafeguards the funds assetsActs as a paying agent and/or transfer agentCalculates the funds NAV dailyStructure of a typical mutual fund and the basic responsibilities of the various parties. 共同基金的组织构造以

12、及相关当事人的职责197219731974197519761977197819791980198119821983198419851986198719881989199019911992199319941995199619971998YearEquallyWeighted EquityAllocationGreaterEquityDiversificationModerateEquityDiversificationLimitedEquityDiversificationS&P 500Performance Statistics 共同基金业绩和史普500的比较26.757.65-7.6319.

13、0915.8111.2620.7023.5723.08-5.7413.4323.509.0329.5027.4012.5721.7122.35-3.1618.153.7112.564.4621.1524.6510.40-1.0825.53-3.20-15.7926.8717.658.5518.7919.9725.79-4.0313.5023.858.8134.2631.9411.8621.1521.94-7.3121.392.6915.824.1923.3621.7115.469.3024.98-8.25-19.9131.2717.985.4217.0917.8427.59-3.7914.05

14、23.628.0536.4732.8211.4520.7623.18-8.272.3.112.3716.393.8325.9320.2119.1116.2922.67-10.78-22.4733.5720.250.6213.0718.0629.44-4.1916.8623.217.3834.8527.399.0619.2426.33-6.3725.984.3913.982.8730.3121.2924.5721.0118.98-14.66-26.4737.2023.84-7.186.5618.4432.42-4.9121.4122.516.2732.1618.475.2316.8131.49-

15、3.1730.557.679.991.3137.4323.0733.3628.58Simple average return 14.25 14.59 14.80 14.91 15.09Standard deviation 10.55 12.28 13.62 14.4016.69Compound annual return 13.77 13.92 13.96 13.9613.82Future Value of $1 $32.53 $33.74 $34.05 $34.07 $32.92Sharpe ratio 0.66 0.60 0.55 0.53 0.48InvestorsAdministrat

16、orInvestment ManagerFund, LimitedPartnershipCustodian20% Incentive1% ManagementOffshoreServices FeeFeeAssetsSharesServicesOFFSHORE FUND离岸避险基金的组织和管理构造InvestorsManagementCompanyGeneral Partner(Portfolio Manager)Fund, LimitedPartnershipCustodian20%IncentiveServices1% FeeFeeAssetsLimitedPartnerInterests

17、CarriedInterestsDOMESTIC FUND境内基金的组织和管理构造InvestorInvestorHedge FundHedge FundHedge FundFund of FundsFUND OF FUNDS基金中的基金1991Manager George SorosJulian RobertsonPaul Tudor JonesBruce KovnerMichael SteinhardtJohn HenryPhilip HempelmanStanley DruckenmillerGeorge WeissLouis BaconLeon LevyJack NashMalcolm

18、 WienerMartin ZweigDouglas FlorenJoseph DiMennaLarry HitePeter MatthewsMark StromeMark DicksteinGlenn DushayJohn LattanzioJoseph McNayMonroe TroutPatrick DuffJohn GriffinStephen MandelMichael DelmanJ.O. Patterson MinimumRank Earnings($M) Company1234561213141720212324354047485258606163646887899296981

19、17656060555030302520202020201412101087 to 9777775 to 65 to 65 to 655Soros Fund ManagementTiger ManagementTudor Investment CorpCaxton Corp.Steinhardt PartnersJohn W. Henry & Co.Ardsley Advisory PartnersSoros Fund ManagementGeorge Weiss AssociatesMoore Capital ManagementOdyssey PartnersOdyssey Partner

20、sMillburnZweig-DiMenna AssociatesArdsley Advisory PartnersZweig-DiMenna AssociatesMint Investment ManagementMint Investment ManagementKayne AndersonDickstein PartnersArdsley Advisory PartnersWest Highland CapitalSteihardt PartnersEssex Investment Mgt.Trout TradingTiger ManagementTiger ManagementTige

21、r ManagementMint Investment ManagementFalcom PartnersHedge Fund Managers among Financial Worlds Top 100 Wall Street Earners世界前100名金融业最高收入者中的避险基金经理1991年Hedge Fund Managers among Financial Worlds Top 100 Wall Street Earners世界前100名金融业最高收入者中的避险基金经理1998年 MinimumRank Earnings($M) Company1998ManagerSteve C

22、ohenJoseph DimennaJeffrey VinikLouis BaconLarry BowmanMartin ZweigPaul Tudor JonesBruck KovnerRobert RaiffBrenda EarlKenneth LipperLee AinslieRichard PerryJames PallottaMark KingdonRaj RajaratnamMorris Mark5711131921232728323336424850545920015012010370706050504545403430282520SAC Capital ManagementZw

23、eig-DiMenna AssociatesVinik Asset ManagementMoore Capital ManagementBowman CapitalZweig-DiMenna AssociatesTudor Investment Corp.Caxton Corp.Centurion Investment GroupZweig-DiMenna AssociatesLipper & Co.Maverick CapitalPerry CorpTudor Investment Corp.Kingdon Capital ManagementGalleon GroupMark Asset

24、ManagementNet Performance(%)Tiger Management19801981198219831984198519861987198819891990199119921993199419951996199719981999200056.3019.4042.4046.7020.2051.40016.20-1.4021.6049.9020.5045.6026.9064.40-9.3016.0038.0070.00-4.00-19.00-14.00Compound averageannual return 24.84*Through first quarter. Net P

25、erformance(%) Quantum Fund NV19691970197119721973197419751976197719781979198019811982198319841985198619871988198919901991199219931994199519961997199819992000*29.4017.5020.3042.208.4017.5027.6061.9031.2055.1059.10102.6022.9056.9024.909.40122.2042.1014.1010.1031.6029.6053.4068.6063.203.9039.001.5017.1

26、012.4035-15.50Compound average annual return 32.12基金业绩：老虎基金和量子基金HEDGE FUND STRATEGY ASSETS/YEAR-END 1997避险基金的管理方法及资产分布19971.2. 3.456789101112131.2.3.4.5.6.7.8. 9. 10.11.12.13.0%24681012141630%2520151050Annualized Standard Deviation(%) RiskAnnualized Geometric Average(%)ReturnSector(total)*Equity Hed

27、ge*Macro *EquityNonhedge*Emerging Markets (totalDistressed * Event-DrivenS&P500 * T-Bills* ConvertibleArbitrage Equity Market-Neutral*Fixed-income Arbitrage* Merger ArbitrageHEDGE FUND SRATEGIES避险基金的战略及其风险和收益$1 Billion +5%$100M-$999M14%$50M-$99M9%$50M72%Turning Point-Between $40 Million and $80 Million (I)Asset Size Distribution业绩和资产规模：转机点在4000万-8000万美圆ITurning Point-Between $40 Million and $80 Million (II) Performance versus Assets业绩和资产规模：转机点在4000万-8000万美圆II70 60 50 40 30 20 10 0Performance