日志
All of the World’s Money and Markets 图解全球资金都流向
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$1 Quadrillion = $1000 Trillions = $1 Million Billions or $1 Billion Millions
One of the biggest risks to the world's financial health is the $1.2 quadrillion derivatives market. It's complex, it's unregulated, and it ought to be of concern to world leaders that its notional value is 20 times the size of the world economy. But traders rule the roost -- and as much as risk managers and regulators might want to limit that risk, they lack the power or knowledge to do so.
A quadrillion is a big number: 1,000 times a trillion. Yet according to one of the world's leading derivatives experts, Paul Wilmott, who holds a doctorate in applied mathematics from Oxford University (and whose speaking voice sounds eerily like John Lennon's), $1.2 quadrillion is the so-called notional value of the worldwide derivatives market. To put that in perspective, the world's annual gross domestic product is between $50 trillion and $60 trillion.
To understand the concept of "notional value," it's useful to have an example. Let's say you borrow $1 million to buy an apartment and the interest rate on that loan gets reset every six months. Meanwhile, you turn around and rent that apartment out at a monthly fixed rate. If all your expenses including interest are less than the rent, you make money. But if the interest and expenses get bigger than the rent, you lose.
You might be able to hedge this risk of a spike in interest rates by swapping that variable rate of interest for a fixed one. To do that you'd need to find a counterparty who has an asset with a fixed rate of return who believed that interest rates were going to fall and was willing to swap his fixed rate for your variable one.
The actual cash amount of the interest rates swaps might be 1% of the $1 million debt, while that $1 million is the "notional" amount. Applying that same 1% to the $1.2 quadrillion derivatives market would leave a cash amount of the derivatives market of $12 trillion -- far smaller, but still 20% of the world economy.
Getting a Handle on Derivatives Risk
How big is the risk to the world economy from these derivatives? According to Wilmott, it's impossible to know unless you understand the details of the derivatives contracts. But since they're unregulated and likely to remain so, it is hard to gauge the risk.
But Wilmott gives an example of an over-the-counter "customized" derivative that could be very risky indeed, and could also put its practitioners in a position of what he called "moral hazard." Suppose Bank 1 (B1) and Bank 2 (B2) decide to hedge against the risk that Bank 3 (B3) and Bank 4 (B4) might fail to repay their debt to B1 and B2. To guard against that, B1 and B2 might hedge the risk through derivatives.
In so doing, B1 and B2 might buy a credit default swap (CDS) on B3 and B4 debt. The CDS would pay B1 and B2 if B3 and B4 failed to repay their loan. B1 and B2 might also bet on the decline in shares of B3 and B4 through a short sale.
At that point, any action that B1 and B2 might take to boost the odds that B3 and B4 might default would increase the value of their derivatives. That possibility might tempt B1 and B2 to take actions that would boost the odds of failure for B3 and B4. As I wrote back in September 2008 on DailyFinance's sister site, BloggingStocks, this kind of behavior -- in which hedge funds pulled their money out of banks whose stock they were shorting -- may have contributed to the failures of Bear Stearns and Lehman Brothers.
It's also the sort of conduct that makes it extremely difficult to estimate the risk of the derivatives market.
How Positive Feedback Loops Crash Markets
Another kind of market conduct that makes markets volatile is what Wilmott calls positive and negative feedback loops. These relatively bland-sounding terms mask some really scary behavior for investors who are not clued into it. Wilmott argues that a positive feedback loop contributed to the 22.6% crash in the Dow back in October 1987.
In the 1980s, a firm run by some former academics came up with the idea of portfolio insurance.
Their idea was that if investors are worried about their assets losing value, they can buy puts -- the option to sell their investments at pre-determined prices. They can sell everything -- which would be embarrassing if the market then started to rise -- or they could sell a fixed proportion of their portfolio depending on the percentage decline in a particular stock market index.
This latter idea is portfolio insurance. If the Dow, for example, fell 3%; it might suggest that investors should sell 20% of their portfolio. And if the Dow fell 20%, it would indicate that investors should sell 100% of their portfolio.
That positive feedback loop -- in which a stock price decline leads to more selling -- boosts market volatility. Portfolio insurance causes more investors to sell as the market declines by, say 3%, which causes an even deeper plunge in the value of investors' holdings. And that deeper decline leads to more selling. Before you know it, many investors are selling everything.
The portfolio insurance firm started off with $5 billion, but as its reputation spread, it ended up managing $50 billion. In 1987, that was a lot of money. So when that positive feedback loop got going, it took the Dow down 22.6% in a day.
The big problem back then was the absence of a sufficient number of traders using a negative feedback loop strategy. With a negative feedback loop, a trader would sell stocks as they rose and buy them as they declined. With a negative feedback loop strategy, volatility would be far lower.
Unfortunately, data on how much money has been going into negative and positive feedback loop strategies is not available. Therefore, it's hard to know how the positive feedback loops have gained such a hold on the market.
But it is not hard to imagine that if a particular investor made huge amounts of money following a positive feedback loop strategy, other investors would hear about it and copy it. Moreover, the way traders get compensated suggests that it's better for them to take more and more risk to replicate what their peers are doing.
Traders Make More Money By Following the Pack
There is a clear economic incentive for traders to follow what their peers are doing. According to Wilmott, to understand why, it helps to imagine a simplified example of a trading floor. Picture yourself as a new college graduate joining a bank's trading floor with 100 traders. Those 100 traders each trade $10 million: They "win" if a coin toss lands on heads and "lose" if it lands on tails. But now imagine you've come up with a magic coin that has a 75% chance of landing on heads -- you can make a better bet than the other 100 traders with their 50-50 coin.
You might think that the best strategy for you would be to bet your $10 million on that magic coin. But you'd be wrong. According to Wilmott, if the magic coin lands on a head but the other 100 traders flip tails, the bank loses $1 billion while you get a relatively paltry $10 million.
The best possible outcome for you is a 37.5% chance that everyone makes money (the 75% chance of you tossing heads multiplied by the 50% chance of the other traders getting a head). If instead, you use the same coin as everyone else on the floor, the probability of everyone getting a bonus rises to 50%.
When Traders Say 'Jump,' Risk Managers Ask 'How High?'
Traders are a huge source of profit on Wall Street these days and they have an incentive to bet together and to bet big. According to Wilmott, traders get a bonus based on the one-year profits of those on their trading floor. If the trading floor makes big money, all the traders get a big bonus. And if it loses money, they get no bonus -- but at least they don't have to repay their capital providers for the losses.
Given that bonus structure, a trader is always better off risking $1 billion than $1 million. So if the trader, who is the king of the hill at the bank, asks a lowly risk manager to analyze how much risk the trader is taking, that risk manager is on the spot. If the risk manager comes back with a risk level that limits how big a bet the trader can take, the trader will demand that the risk manager recalculate the risk level lower so the trader can take the bigger bet.
Traders also manipulate their bonuses by assuming the existence of trading profits before they are actually realized. This happens when traders get involved with derivatives that will not unwind for 20 years.
Although the profits or losses on that trade have not been realized at the end of the first year, the bank will make an assumption about whether that trade made or lost money each year. Given the power traders wield, they can make the number come out positive so they can receive a hefty bonus -- even though it is too early to tell what the real outcome of the trade will be.
How Trader Incentives Caused the CDO Bubble
Wilmott imagines that this greater incentive to follow the pack is what happened when many traders were piling into collateralized debt obligations. In Wilmott's view, CDO risk managers who had analyzed a future scenario in which housing prices fell and interest rates rose would have concluded that the CDOs would become worthless under that scenario. He imagines that when notified of that possible outcome, CDO traders would have demanded that the risk managers shred that nasty scenario so they could keep trading more CDOs.
Incidentally, the traders who profited by going against the CDO crowd were lone wolves whose compensation did not depend on following the trading floor pack. This reinforces the idea that big bank compensation policies drive dangerous behavior that boosts market volatility.
What You Don't Understand, You Can't Properly Regulate
Wilmott believes that derivatives represent a risk of unknown proportions. But unless there is a change to trader compensation policies -- one which would force traders to put their compensation at risk for the life of the derivative -- then this risk could remain difficult to manage.
Unfortunately, he thinks that regulators aren't in a good position to assess the risks of derivatives because they don't understand them. Wilmott offers training in risk management. While traders and risk managers at banks and hedge funds have taken his course, regulators so far have not.
And if regulators don't understand the risks in derivatives, chances are great that Congress does not understand them either.
全球资金都流向了哪里?外媒做了一张可视化图
编译自Zerohedge，读者们通常会谈论一些话题，比如苹果公司的规模非常大、沃伦·巴菲特的财富无法估算，全球累计债务数额非常庞大。但实际上，它们的规模并没有听起来的那么大。
正因如此，可视化图表能够让投资者更好地了解全球金钱和市场，这也正是Visual Capitalists分析师Jeff Desjardins想要表达的。
全球金钱总值有多少呢？
制作这张信息图表的初衷，是为了展示以不同形式存在的金钱的总价值有多少。例如，它可以突出实际现金数额和以储蓄和支票存款形式等存在的金钱之间的比例关系。
有趣的是，到底什么是金钱，也取决于你问的是谁。
各大央行发行的抽象货币是钱吗？黄金、比特币和其他硬资产也是钱吗？
金钱有新意
然而，自从2015年首次发表这张信息图表以来，投资者对“全球金钱和市场”有了一个全新的认识：简化复杂的货币、资产和其他金融票据的一种方式，使得全球投资者能够真正读懂和理解“金钱和市场”的走势。
可视化数据中呈现出的数字范围从地上白银市场（约合170亿美元）覆盖到各种衍生产品的名义价值（约合1200万亿美元）。在两个极端数值之间，还有其他一些熟悉的数字指标。例如，加州的GDP总额、股票价值、房地产市场价值和不同货币的供应指标。
那么，这张信息图表能体现市场的最终动态吗？不，它只是让投资者享受到视觉上的愉悦。但是，它能够启发投资者对全球不同资产产生一种全新的理解方式。
资料图
白银市场
按现货价格17美元/盎司计算，地上白银市场的价值约为170美元，白银总量预计约有10亿盎司。
数字货币
数字货币是全球增长最快的资产类型。但是，与其他全球市场相比，即使是比特币的市值也显得微不足道。
全球最大的企业
苹果作为全球最大的上市公司，其市值达8070亿美元。
全球最富的人
据统计，全球最富的人的总体市值高达1.9万亿美元。
加州
加州作为美国人口第一州，也是全美经济强州，其GDP总额达2.9万亿美元，超过许多国家的经济总额。
美联储资产负债表
由于量化宽松的财政政策颇受争议，2008-2014年间，美联储资产负债表的规模已经从1万亿美元扩张至4.5万亿美元。
硬币和纸币
全球硬币和纸币的总价值约为7.6万亿美元。
世界黄金
据世界黄金协会估计，全球地上黄金储备总量为187,200吨。以每盎司1275美元的价格计算，世界黄金总价值约为7.7万亿美元。
全球股票市场
据计算，全球股票市场的价值为73万亿美元。
狭义货币
包括硬币、纸币和支票存款在内的全球可变现货币的总价值约为36.8万亿美元。
广义货币
包括硬币、纸币、存款账户、储蓄和支票存款在内的广义货币的总价值约为90.4万亿美元。
全球债务
包括政府、企业和家庭债务在内的全球债务总值为215万亿美元，占全球GDP总量的325%。
仅过去十年内，全球新增债务总值为70万亿美元。
目前，全球债务正处于创纪录高位，这在一定程度上要归功于中国信贷规模的疯狂扩张。
全球房地产市场
全球已开发的房地产市值达217万亿美元，
这其中，包括住宅、写字楼、零售、酒店、工业用地、农业用地和其他商业用途的房产市场。
北美地区的住宅资产价值占全球总价值的21%，但是北美人口数量在总人口数中的占比只有5%。
欧洲地区的住宅资产价值占全球总价值的24%，但当地人口数量只有全球总人口数量的11%。
衍生品市场
保守估计，全球衍生品市场的名义规模为544亿万美元。
银行通常会利用自身优势获得衍生品市场寸头。商品期货等衍生品的交易通常在受政府监管的交易所进行，比较有名的就是芝加哥(专题)商品交易所(CME)。
但是，大多数衍生品的交易都在交易所之外的私人公司之间进行。这种交易模式被称之为“场外交易”。
债务抵押债券和信用违约掉期产品也是两种金融衍生产品。这两款产品因其在2008年全球金融危机中扮演的角色而不被市场接受。
全球衍生品合约价值预计最高达到1200万亿美元。但事实上，投资者根本不知道它的具体规模。
金融专家对衍生品的看法
许多金融专业人士将衍生品交易视为“零和交易”。换言之，衍生品交易总是有赢有输。
但是，一些专家也警告投资者，庞大的衍生品市场规模或将对全球市场带来严重的风险隐患和不良后果。
衡量金融衍生品规模办法，不仅仅是计算其名义价值，还可以通过计算其总市场价值来衡量。保守估计，金融衍生品的总市场价值为20.7万亿美元。
尽管衍生品总市场价值非常大，但是，它能更准确地反应衍生品市场的整体风险。
