i**p
发帖数: 940 | 1 http://www.ft.com/intl/cms/s/0/d5733486-c42d-11e0-ad9a-00144fea
简而言之，大公司和asset manager手上有太多钱（4 trillion USD），他们只有不断
的买美国短期国债。这样把利率搞的很低。如果再考虑一些主权基金（更是没有好办法
投资），那就更容易理解了。
从这个意义上讲，股票是很便宜的。spy的yield都有每年1.8％。
Cash-rich investors choose crazy Treasury returns
By Gillian Tett
Why does money keep flooding into the short-term Treasuries market, or T-
bills? It is a fascinating question, given last week’s US rating downgrade
– and the fact that yields on three-month bills are now a mere 0.01 per
cent. There are plenty of explanations around: investors are searching for
safe havens; terrified about growth; worrying about deflation; chasing
momentum. Or all four.
But there is another factor investors should watch: what companies and asset
managers are doing with their spare “cash”.
Earlier this week, the International Monetary Fund quietly published a
ground-breaking paper on this issue, written by Zoltan Pozsar, a visiting
scholar and former central bank economist*. And while the analysis is
couched in dull, central bank language, the conclusions are utterly
fascinating, not just in relation to the current markets swings – but also
future systemic risks.
The issue at stake revolves around the “cash” which companies, asset
managers and securities lenders (such as custodial banks) hold on their
balance sheets. Two decades ago, these cash pools were modest, totalling
just $100bn across the globe, with individual companies typically holding
just $100m, or so. But in recent years, these pools have exploded in size,
as the asset management sector has consolidated and companies have
centralised their treasury functions. Institutional cash managers now
control between $2,000bn and $4,000bn globally, and Pozsar reckons on
average there is $75bn sitting at individual securities lenders, $20bn at
asset managers, and $15bn at large US companies.
That is startling. But what is more striking is where this “cash” has
ended up. Two decades ago, it typically was placed in bank accounts. But in
recent years, cash managers have started to avoid banks: in 2007, for
example, just 16-20 per cent of these funds were on deposit. Why? Pozsar
thinks the key factor was risk management, not yield. From 1990 up to the
crisis, US Federal Deposit Insurance Corporation only guaranteed the first $
100,000 of any account. And while cash managers have tried to use multiple
banks, their cash pools are so large that effective diversification is
impossible. Thus they have hunted for alternatives that seemed liquid and
safer than uninsured bank accounts, such as repurchase deals (backed by
collateral), money market funds (often implicitly backed by banks), or
highly rated short term securities (such as triple A rated asset backed
commercial paper or mortgage bonds.)
Pozsar argues that this has created a big distortion in the monetary
aggregates (ironically, cash is only counted as M2 “cash” in the Fed’s
accounts if it is held in a bank.) He also thinks this pattern was a little-
watched factor behind the boom in shadow banking before 2007. He is
undoubtedly correct.
But the really interesting issue is what is happening now. After the 2008
crisis, the FDIC raised the insured account limit to $250,000, and that has
prompted cash managers to raise the proportion of funds they place on
deposit to 33 per cent. However, surveys suggest they will not go further –
meaning that trillions of dollars still sit outside the banking system.
This creates some potentially big systemic risks: as Pozsar notes, the
amount of institutional cash held outside FDIC-insured bank accounts – and
thus outside government umbrellas – is now two thirds of the size of the
money which is protected by the FDIC (up from just 5 per cent in 1990). This
could provide the source of another panic if a crisis hits, since it is
unsure whether banks could really protect, say, money market funds.
But the “vacuum” also affects asset prices. Since 2008, large parts of the
shadow banking world have all but collapsed. Thus cash managers are now
frantically searching for new places to put their “cash”. Some has flooded
into money market funds (which buy government bonds) or the repo world (
often backed by bonds); some money has entered the T-bill market directly.
Either way, the net result is a shortage of T-bills, particularly since
banks and clearing houses are also gobbling up T-bills for regulatory
purposes.
Hence the low yields. From an investment perspective, these returns may seem
crazy; but they are still attractive to cash managers because T-bills are
liquid – and, most crucially, seem less risky than uninsured bank deposits.
Or, put another way, faced with a choice between betting on the safety of
the US government, or its banks, cash-rich large companies and asset
managers are choosing the former. It is an entirely rational choice. But it
is also a powerful reminder of how profoundly distorted the US financial
system remains. And that is not a comforting thought; least of all in a
rollercoaster week. | i*********n
发帖数: 610 | 2 搞对冲基金有前途吗？
downgrade
【在 i**p 的大作中提到】
: http://www.ft.com/intl/cms/s/0/d5733486-c42d-11e0-ad9a-00144fea
: 简而言之，大公司和asset manager手上有太多钱（4 trillion USD），他们只有不断
: 的买美国短期国债。这样把利率搞的很低。如果再考虑一些主权基金（更是没有好办法
: 投资），那就更容易理解了。
: 从这个意义上讲，股票是很便宜的。spy的yield都有每年1.8％。
: Cash-rich investors choose crazy Treasury returns
: By Gillian Tett
: Why does money keep flooding into the short-term Treasuries market, or T-
: bills? It is a fascinating question, given last week’s US rating downgrade
: – and the fact that yields on three-month bills are now a mere 0.01 per
| i**p
发帖数: 940 | 3 put your money in hf? or join a hf?
for the former, I don't think it is much better than index.
【在 i*********n 的大作中提到】
: 搞对冲基金有前途吗？
:
: downgrade
|
|
