1. YANG Yu School of Economics and Management Ningbo University of Technology GLOBAL INVESTMENTS Sixth Edition Sixth Edition

2. Course Arrangements  Total Credit Hours ： 48 （ 3*16 周）  课程性质：核心必修课  考核方式：考试  授课方式：双语  分数构成：平时分数 40% （作业 + 课堂表现 Attendance ） + 期末考试 60% 1 - 2

3. Course Framework Chapters 1 – 3 ： Set out the foundation of exchange rates. 外汇汇率基础知识. Chapters 4 – 7 ： Explore the various assets available for international investing. 全球投资中与国际资产相关的内容. Chapters 8 -9: Develop the techniques and perspective of global investment and portfolio management. 国际投资组合管理方法与相关问题. 1 - 3

4. Discussion ： What is ‘investment’ ？ 1 - 4

6. 红杉资本 Sequoia Capital 红杉资本于 1972 年在美国硅谷成立。在成立之后的 30 多年之中，红杉 作为第一家机构投资人投资了如 Apple, Google, Cisco, Oracle, Yahoo, Linkedin 等众多创新型的领导潮流的公司。在中国，红杉资本中国团 队目前管理约 20 亿美元的海外基金和近 40 亿人民币的国内基金，用于 投资中国的高成长企业。 红杉中国的投资组合包括新浪网、阿里巴巴集团、酒仙网、万学教育、 京东商城、文思创新、唯品会、聚美优品、豆瓣网、诺亚财富、高德 软件、乐蜂网、奇虎 360 、乾照光电、焦点科技、大众点评网、中国 利农集团、乡村基餐饮、斯凯网络、博纳影视、开封药业、秦川机床、 快乐购，蒙草抗旱、匹克运动等。 创始人：唐 · 瓦伦丁（ Don Valentine ） —— 硅谷风险投资之父、 Sequoia Capital 的创始人，风险投资四大巨头（阿瑟 · 洛克、约翰 · 杜尔和维诺 德 · 科斯拉）之一。瓦伦丁因此也享有 “ 硅谷风险投资之父 ” 的美誉。他 1972 年创办的红杉资金 (Sequoia) 风险投资公司投资了超过 350 家新科技 公司。

20. 软件银行集团（日语：ソフトバンク株式会社），在 1981 年由孙正义在日本创立并于 1994 年在日本上市，是一 家综合性的风险投资公司，主要致力 IT 产业的投资，包括 网络和电信。软银在全球投资过的公司已超过 600 家，在 全球主要的 300 多家 IT 公司拥有多数股份。 软银于 2007 年 5 月 8 日发布公告称，阿里巴巴集团董事 局主席、时任 CEO 马云将成为软银集团董事会成员。马云 此次将受邀成为软银集团的第 10 位董事，参与软银的重大 事件决策。软银和阿里巴巴的渊源深厚，软银最早投资了 中国最大的电子商务公司阿里巴巴。 2004 年 2 月，阿里巴 巴再次从软银基金获得 6000 万美元的资金。而后，软银又 一手导演阿里巴巴收购雅虎中国。 孙正义，出生在日本的朝鲜半岛华人后裔男子，软银 的创始人、总裁及首席执行官。《福布斯》杂志称他为 “ 日 本最热门企业家 ” 。在过去的几年中，他一直在 “ 全球十大 精英 ” 之列。他在不到二十年的时间内，创立了一个无人相 媲美的网络产业帝国。这个帝国并非是受其统治的帝国， 而是一个由他支持扶助的高科技产业帝国，他不是在自己 独自享受，而是为使更多的人掌握高科技信息，贡献出他 的智慧与才能。

21. Discussion ： What is ‘investment’ ？ 1 - 4

22. Discussion ： What is ‘investment’ ？ 1 - 4 所得回报应该能补偿： （ 1 ）投资资金被占用的时间； （ 2 ）预期的通货膨胀率； （ 3 ）未来收益的不确定性。 （ CFA 定义）

23. Discussion ： What is ‘investment’ ？ 1 - 4 以投资经营权有无为依据： 1. 国际直接投资： 在其他国家成立新企业，兼并收购现有企业，增加资本扩展原有 企业。 2. 国际间接投资： 发生在国际资本市场中的投资活动，包括信贷或者证券投资。

24. Preface-The Current Perspective I.The benefits of international diversification have increasingly been recognized. II.The deregulation and internationalization of financial markets throughout the world. III.The global integration of financial markets has led to reduced costs, easier access to information, and the development of worldwide expertise by major financial institutions. IV.Computerized quotation and trading systems that allow global round-the-clock trading have been developed. V.The general acceptance of a common set of standards and ethical principles by investment professionals. 1 - 24

25. Chapter 1 Currency Exchange Rates 1 - 25

26. Chapter One - Outline In this chapter we cover: currency exchange rate quotations (direct and indirect; spot and forward) cross-rate calculations nature of bid-ask quotes and spreads calculation of forward premiums/discounts on exchange rates. covered interest rate parity covered interest arbitrage 1 - 26

27. Speculation VS Investment 1 - 27

28. Speculation VS Investment 1 - 28 Speculation : in China--derogatory term in Western countries--neutral word Investment : In reality, investment and speculation is hard to tell apart.

29. Currency Abbreviations 货币缩写 Abbreviations are used to refer to the various currencies. These abbreviations could be commonly used symbols or “official” three-letter codes. Financial newspapers such as the Financial Times generally use symbols, while traders use three-letter codes. Symbols include $ (U.S. dollar), ¥ ( Japanese yen), € (euro), £ (British pound), A$ (Australian dollar), and SFr (Swiss franc). Three-letter codes for the same currencies are USD, JPY, EUR, GBP, AUD, and CHF. We will alternatively use in this book (as done in the real world) the various currency abbreviations that are commonly encountered. For example, the Japanese yen can be referred to as ¥, JPY, or yen. 1 - 29

30. Three-letter Code Currency 中文 Symbol USDUS dollar 美元 $ EUREuro 欧元 € GBPBritish pound 英镑 £ JPYYen 日元 ¥ CHFSwiss franc 瑞士法郎 SFr SEKSwedish krona 瑞典克朗 SKr NOKNorwegian krona 挪威克朗 NKr CADCanadian dollar 加拿大元 Can$ AUDAustralian dollar 澳大利亚元 A$ SGDSingapore dollar 新加坡元 S$ CNYChina yuan 人民币 ¥ THBThailand baht 泰铢 B KRWKorea won 韩元 W

31. 1 美元 =6.3492 人民币元 1 欧元 =7.9872 人民币元 1 英镑 =10.0766 人民币元 1 澳元 =6.547 人民币元 1 瑞郎 =6.5026 人民币元 1 日元 =0.08109 人民币元, 1 人民币元 =12.3321 日元 1 韩元 =0.005596 人民币元, 1 人民币元 =178.6969 韩元 1 港币 =0.8187 人民币元 1 新西兰元 =5.1546 人民币元 1 加元 =6.4277 人民币元 1 泰铢 =0.2029 人民币元, 1 人民币元 =4.9281 泰铢 1 人民币元 =4.9281 泰铢 1 台币 =0.2119 人民币元, 1 人民币元 =4.7196 台币 1 越南盾 =0.0003054 人民币元, 1 人民币元 =3274.3767 越南盾 1 - 31 Exchange Rate on 2 SEP. 2012

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35. Currency Exchange Rate Quotations 汇率标价 A currency exchange rate is the rate used to exchange two currencies. An exchange rate states the price of one currency in terms of units of another currency. Examples: $:€, €:$, ¥:$ 1 - 35

36. Quote Convention used in this text All quotes in this text will be presented as a:b = S a is the quoted currency b is the currency in which the price is expressed S is the price of the quoted currency a in units of currency b  For example, $: € = 0.8 means the U.S. dollar is quoted at 0.8 Euro (€) per dollar. Or the U.S. dollar is priced at 0.8 Euro. ‘0.8 € /$’.  Conversely, €: $=1.25 means the Euro is quoted at 1.25 U.S. dollar per Euro. Or the Euro is priced at 1.25 U.S. dollar. ‘1.25$/ €’.  Hence, we have : $: € = 0.8 €: $=1.25 1 - 36

37. Example ： $:£=0.63

38. Direct Exchange Quotations 直接标价法 A direct exchange rate is the domestic price of foreign currency. For example, an American investor seeing a direct quote €:$ = 1.34 knows she/he will pay $1.34 for one euro. To a European investor, the direct quote is $:€ = 0.75 which says that 1 dollar (foreign currency) is worth 0.75 euro. 1 - 38

39. Indirect Exchange Quotations 间接标价法 An indirect exchange rate is the amount of foreign currency that one unit of domestic currency will purchase. For an American investor, the indirect quote $:€ = 0.75says that 1 dollar will purchase 0.75euro. To a European investor, the indirect quote is €:$ = 1.34 which says that 1 euro is worth 1.34 dollar. 1 - 39

40. The Relationship between Direct and Indirect Quotations  DQ: how much it will cost to purchase amounts of foreign currency; 1 USD=6.35 CNY IQ: how much foreign currency we can get for an amount of domestic currency. 1 CNY=0.16 USD  Direct quotes and indirect quotes are reciprocals of each other. 直接标价和间接标价互为倒数 1 - 40

41.  Currency Movements and Exchange Rate Quotations 1 - 41 An appreciation of the foreign currency causes an increase in the direct quote. DQ and IQ have directional differences when it comes to price appreciation. 当遇到价格上升时，直接和间接标价的变动方向相反 The Relationship between Direct and Indirect Quotations

42. Example: Direct and Indirect Exchange Rates On July 1, the British pound (£) is quoted as £:$ = 1.80. Is this a direct or indirect quote from the viewpoint of an American and a British investor? A month later, the exchange rate moved to £:$ = 1.90. Which currencies appreciated or depreciated? 1 - 42

43. Answer: The pound is quoted in terms of dollars. This quote is a direct quote from the American viewpoint and an indirect quote from the British viewpoint. The pound is the quoted currency. Over a month, the pound’s price increased from $1.80 to $1.90, so the pound appreciated and the dollar depreciated. 1 - 43

44. Cross Rate Calculations 套算汇率 A cross rate is the exchange rate between two countries inferred from each country’s exchange rate with a third country. For example, bank A gives the following quotations: €:$ = 1.3364 $:¥ = 123.52 Calculate the euro in yen (€:¥) rate: (€:$)  ($:¥) = 1.3364  123.52 = 165.07 The resulting quotation is: €:¥ = 165.07. One euro is worth 165.07 yen. 1 - 44

46. Cross Rate Calculations – Example 2 For example, bank B gives the following quotations for the Korean won and the Brazilian real: $: won = 928.350 $: R$ = 1.9094 Calculate the R$:won rate: ($:won) ÷ ($:R$) = 928.35/1.9094 = 486.20 The resulting quotation is: R$:won = 486.20. One Brazilian Real is worth 486.50 won. 1 - 46

47. Foreign Exchange (Forex) Market 外汇市场 The international currency market has two main components: A worldwide Forex market between major banks and specialized currency dealers. This is a wholesale interbank market for large transactions. It is an OTC market, by telephone and electronic trading platforms, where trading takes place 24 hours a day, 5 days a week. It is the largest and most liquid financial market in the world. 银行间大宗交易的 “ 批发 ” 市场 A retail market where investors and corporations deal with local banks. “ 零售 ” 市场 1 - 47

48. Foreign Exchange (Forex) Market 外汇市场 London Foreign Exchange Market New York Foreign Exchange Market Tokyo Foreign Exchange Market Hong Kong foreign exchange market 1 - 48

49. Forex Market Conventions – 1 外汇市场标价惯例 No need to quote both a direct and indirect rate, e.g. both $:€ and €:$. 没有必要在市场中同时维持欧元兑美元和美元兑欧元的标价 History mostly dictates the exchange rate direction that is selected: 很大程度上而言，历史决定了人们现在所选择的汇率标价方向 There is a decreasing order of seniority with the British pound as the senior currency. The Forex convention is to trade British pounds in units of other currencies, so the quote showing on Forex trading screens is the foreign exchange value of one GBP, that is, GBP:EUR, GBP:USD, or GBP:JPY. 1 - 49

50. Forex Market Conventions – 2 Not all exchange rates are traded. 并不是所有的货币都有汇率交易 1 - 50 In a world with a large number of currencies, there are a very large number of cross exchange rates. For example, with 20 currencies, there are 380 bilateral exchange rates. The exchange rates between two minor currencies are not traded on the Forex market. Only the dollar exchange rate with each minor currency is quoted. Hence to achieve a transaction between two minor currencies, one needs to perform two transactions involving the dollar (such as between the South Korean won and Brazilian real – hence our previous example with cross-rates).

51. Forex Market Conventions – 3 Forex quotes always include a bid price and an ask price (or offer price), and there is no commission or fee added on a trade. 1 - 51 外汇标价通常包括一个买入价和一个卖出价， 一笔交易中也不存在佣金和手续费。 Spread: the difference between the bid price and the ask price. Example: A dealer provides the following quote for the $:¥ (value of the dollar in yen): $:¥ =120.17 – 120.19

52. Bid-Ask Quotes 买入 - 卖出标价  Bid price: the exchange rate at which the dealer is willing to buy the quoted currency in exchange for the second currency.  Ask (offer) price: the exchange rate at which the dealer is willing to sell the quoted currency in exchange for the second currency.  Midpoint price ： the average of the bid and ask price. = (ask + bid)/2 1 - 52

53. Bid-Ask Quotes - Example Consider the following currency quote in the United States: $:€ = 0.9838 – 0.9841 The bid price is $:€ 0.9838 The ask price is $:€ 0.9841 The midpoint price is $:€ 0.98395 1 - 53

54. Additional terminology A pip stands for “price interest point” and represents the smallest price fluctuation in the currency price. It is equivalent to the “tick” on stock markets. E.g. €:$ = 1.3015 – 1.3019. The spread equals 4 pips. 1 - 54

55. Two Principles for bid and ask rates 买入和卖出价利率准则 I.The a:b ask exchange rate is the reciprocal of the b:a bid exchange rate. a:b 的买入价是 b:a 的卖出价的倒数 I.The a:b bid exchange rate is the reciprocal of the b:a ask exchange rate. a:b 的卖出价是 b:a 的买入价的倒数 Example: the $:¥ quote of $:¥ = 150.51 – 152.52 is equivalent to a ¥:$ quote of: ¥:$ = 0.00655 – 0.00664 1 - 55

56. Arbitrage 套利 Arbitrage is the practice of taking advantage of a price difference between two or more markets: striking a combination of matching deals that capitalize upon the imbalance, the profit being the difference between the market prices. Arbitrage involves the simultaneous purchase of an undervalued asset or portfolio and sale of an overvalued but equivalent asset or portfolio, in order to obtain a risk free profit on the price differential. Arbitrage keeps exchange rates in line with each other and with risk free interest rates. For example, the $:€ rate must be the same, at a given instant, in Frankfurt, Paris and New York. 1 - 56

57. Arbitrage Conditions with Exchange Rates An arbitrage could be created if it were profitable to buy from one bank and sell to another bank. 只有当一家银行报出的卖出价低于另一家银行报出的买入价，这种套利机 会才可能发生。 When describing arbitrage, we are usually discussing a riskless transaction that does not require any invested capital. 1 - 57

58. Arbitrage Example Consider the following three banks each providing a $:¥ quote : Bank ABank BBank C 122.25-35122.40-45 122.25-45 Does an arbitrage opportunity exist? One could buy dollars from Bank A for 122.35 yen per dollar and simultaneously sell them to Bank B for 122.40 yen per dollar. 1 - 58

59. Forward Rates 远期标价 Spot rates are quoted for immediate currency transactions (although in practice delivery 交割 takes place 48 hours later). 即期汇率 Forward exchange rates (also referred to as forward rate) are contracted today but with delivery and settlement in the future. 远期汇率 1 - 59

60. Forward Premiums/Discounts 远期升水 / 远期贴水 Forward exchange rates are often quoted as a premium / discount, to the spot exchange rate. When a trader announces that a currency quotes at a premium, the premium should be added to the spot exchange rate to obtain the value of the forward exchange rate. If a currency quotes at a discount, the discount should be subtracted from the spot exchange rate to obtain value of the forward exchange rate. Condition: Direct Quote 直线标价法 1 - 60

61. Forward Premiums/Discounts Given an exchange rate of a:b, the annualized forward premium on the quoted currency a equals: 1 - 61

62. Forward Premiums/Discounts - Example If the 3 month forward exchange rate is €:$ = 1.23778 and the spot rate is €:$ = 1.2500, calculate the forward premium/discount. Solution: 1 - 62

63. Interest Rate Parity 利率平价 IRP 1 - 63 John Maynard Keynes 1883 － 1946

64. Interest Rate Parity 利率平价 IRP The interest rate parity relationship is that the forward discount (premium) equals the interest rate differential between the two currencies. For two currencies, A and B, with the exchange rate quoted as the number of units of B for one unit of A, 1 - 64 （ F-S ） / S = ( r b – r a ) / (1+ r a ) F (1+ r a ) = S (1+ r b ) F= S (1+ r b ) / (1+ r a )

65. Interest Rate Parity Example Spot rate = $: € =1.05 U.S. interest rate = 1.76 % Euro interest rate = 3.39 % What is the forward premium (discount)? 1 - 65

66. Interest Rate Parity Example Spot rate = $: € =1.058 Annual risk free interest rate (3-month maturity) U.S. = 1.76 % Euro = 3.39 % What is the three-month forward exchange rate? 1 - 66

67. Interest Rate Parity Example Spot rate = 0.8000 € per $ 1 year Forward rate = 0.8080 € per $ U.S. risk free rate = 10 % Euro risk free rate = 14 % Annualized forward premium= ？ Interest rate parity is violated. Euro is stronger, dollar weaker Borrow dollars ($), transfer at Spot rate in euros (€), invest in euros (€), buy € forward. 1 - 67

68. F1.1 Currency Speculation 外汇投机 1 - 68

69. Covered Interest Rate Arbitrage 有抛补利率套利 1 - 69