20141002 MIT的資產管理活動(1) Cedric
信璞上海
來源: http://blog.sina.com.cn/s/blog_a3453d220102v36i.html
MIT和耶魯的資產管理方式並不完全一樣。
耶魯大學成立了Investment office以管理耶魯大學的捐贈基金。MIT成立了Investment Management Company管理MIT的金融資產。
不同之處在於,Yale Investment Office專註於管理耶魯捐贈基金,有獨立於耶魯大學財務報告體系之外的報告體系; 而MIT Investment Management Company(MITIMCo)則管理著MIT的所有投資活動(捐贈基金的投資是主要部分),MITIMCo沒有自己的獨立報告體系,看上去像是MIT財務部下面的一個分支機構。
由於沒有自己獨立的報告體系,所以,我們對MIT的資產管理的研究的資料來源主要包括兩部分:
(1)MIT整個大學的財務報告,由MIT分管財務的副校長主持編寫,其財務報表附註中披露了MIT的投資活動的數據;
(2)MITIMCo的網站的“合作夥伴須知”(Investment Brochure)闡述了MITMCo的投資哲學和對潛在合作夥伴(資產管理人)的盡職調查程序。 (見:http://www.mitimco.org/wp-content/uploads/2014/07/MITIMCo-Brochure.pdf)
我計劃自己的模版也主要由上面兩部分內容組成。
第一部分內容已經整理完。比較遺憾的是,MIT的財務報告(附註)僅僅從會計的角度披露了資產管理的各項數字,而沒有像Yale Investment Office的報告那樣從投資的角度對資產管理數據進行分析和解釋。
MIT的資產管理活動主要數據如下:
|
FY2014 |
FY2013 |
FY2012 |
FY2011 |
Total Fair Value (in thousands of dollars) |
|
|
|
|
Cash and cash equivalents |
2,691,413 |
1,526,544 |
1,599,874 |
1,175,781 |
US Treasury |
779,831 |
629,760 |
462,111 |
588,650 |
US Government agency |
74,327 |
93,520 |
84,625 |
63,153 |
Domestic bonds** |
204,582 |
358,009 |
332,076 |
341,525 |
Foreign bonds** |
22,565 |
19,381 |
15,043 |
12,077 |
Common equity: |
|
|
|
|
Long domestic |
362,939 |
388,550 |
1,214,982 |
1,180,732 |
Long foreign |
429,060 |
135,099 |
296,744 |
326,005 |
Short domestic |
0 |
-3 |
-570,688 |
-358,405 |
Short foreign |
-5 |
-18 |
-76,711 |
-88,108 |
Equity:** |
|
|
|
|
Absolute return |
1,643,868 |
1,625,070 |
1,676,886 |
1,878,238 |
Domestic |
1,438,048 |
1,267,367 |
1,135,863 |
798,570 |
Foreign |
2,532,348 |
2,272,696 |
1,360,628 |
1,274,807 |
Private |
2,783,586 |
2,510,672 |
2,610,024 |
2,479,017 |
Real estate* |
2,643,899 |
2,311,507 |
1,964,901 |
1,691,704 |
Real assets** |
714,507 |
625,825 |
613,291 |
699,098 |
Split-interest agreements |
147,182 |
148,297 |
121,816 |
101,125 |
Other |
18,434 |
2,444 |
2,638 |
2,592 |
Derivatives |
-26,640 |
-2,620 |
3,763 |
69,970 |
Total investments, gross |
16,459,944 |
13,912,100 |
12,847,866 |
12,236,531 |
Liabilities associated with investments: |
|
|
|
|
Real estate*** |
-231,188 |
-82,000 |
0 |
0 |
Total investments, net |
16,228,756 |
13,830,100 |
12,847,866 |
12,236,531 |
主要 結論:
(1)普通股在MIT的資產配置中占比相當低;凈普通股資產(包括美國和非美國)占全部投資的比例從2011財年末的8.7%下降到2014財年末的4.8%。2014財年末,MIT持有的“外國股票”多頭4.3億美元,占全部投資2.6%
(2)2011財年末,現金和現金等價物占全部投資高達的9.6%,這一比例在2014財年末上升到16.4%;由於數據來自於MIT的大學財務報告,所以並沒有對這一高比例的解釋。我想到的可能個解釋來自於“合作夥伴須知”中的一句話“We prefer strategies in which managers are willing to hold cash if opportunities to buy assets at a compelling discount to intrinsic value are not available.”。
(3)2014財年,Alternative Assets(另類資產)占到全部投資的72.3%,該比例較為穩定。
Cedric備註:“Equity”項目下的“Domestic”“Foreign”等子項目均不是股票,而是非股票類別的股權。股票資產在“Common Equity”項目下。
另外,以下數據摘要可以讓我們對整個麻省理工學院有一個鳥瞰式的了解:
MIT數據摘要:(in thousands of dollars) |
2014 |
2013 |
2012 |
2010 |
2011 |
1.Financial Position |
|
|
|
|
|
Investments, at fair value |
$16,228,756 |
$13,830,100 |
$12,847,866 |
$12,236,531 |
$9,950,239 |
Land, buildings, and equipment, at cost less accumulated depreciation |
2,624,271 |
2,516,264 |
2,497,711 |
2,451,479 |
2,327,810 |
Borrowings |
2,918,901 |
2,428,215 |
2,460,002 |
2,467,825 |
1,728,526 |
Total assets |
20,358,797 |
17,719,840 |
16,738,758 |
16,052,231 |
13,415,618 |
Total liabilities |
4,043,305 |
3,586,966 |
3,939,414 |
3,664,500 |
3,091,313 |
Unrestricted net assets |
6,754,956 |
5,775,618 |
4,888,952 |
4,885,321 |
3,759,301 |
Temporarily restricted net assets |
6,718,225 |
5,644,291 |
5,297,554 |
5,044,519 |
4,463,066 |
Permanently restricted net assets |
2,842,311 |
2,712,965 |
2,612,838 |
2,457,891 |
2,101,938 |
Total net assets |
16,315,492 |
14,132,874 |
12,799,344 |
12,387,731 |
10,324,305 |
Total endowment funds before pledges |
12,425,131 |
10,857,976 |
10,149,564 |
9,712,628 |
8,317,321 |
|
|
|
|
|
|
2.Principal Sources of Revenues |
|
|
|
|
|
Tuition and similar revenues |
595,801 |
$568,957 |
527,702 |
493,777 |
468,570 |
Research revenues: |
|
|
|
|
|
Campus direct |
480,483 |
473,220 |
471,155 |
456,416 |
431,611 |
Campus indirect |
188,136 |
188,742 |
183,200 |
162,497 |
175,525 |
Lincoln Laboratory direct |
791,292 |
860,190 |
819,645 |
770,672 |
719,883 |
Lincoln Laboratory indirect |
37,367 |
30,783 |
25,263 |
34,111 |
24,449 |
SMART direct |
31,519 |
47,332 |
28,311 |
23,300 |
20,912 |
SMART indirect |
98 |
193 |
276 |
210 |
223 |
Gifts, bequests, and pledges |
452,655 |
325,018 |
433,424 |
522,409 |
246,580 |
Net gain (loss) on investments and other assets |
2,152,933 |
1,164,164 |
738,308 |
1,483,669 |
784,348 |
Investment income and distributions |
634,454 |
604,753 |
554,627 |
505,503 |
566,110 |
|
|
|
|
|
|
3.Principal Purposes of Expenditures |
|
|
|
|
|
Total operating expenditures |
2,918,517 |
$2,908,577 |
2,744,586 |
2,571,147 |
2,382,566 |
General and administrative |
713,103 |
681,505 |
604,320 |
523,676 |
461,186 |
Instruction and unsponsored research |
777,382 |
692,032 |
673,851 |
659,839 |
613,345 |
Direct cost of sponsored research current dollars |
1,283,189 |
1,397,857 |
1,335,638 |
1,265,776 |
1,192,041 |
Direct cost of sponsored research constant dollars (2010 = 100) |
1,184,699 |
1,309,538 |
1,272,076 |
1,240,859 |
1,192,041 |
|
|
|
|
|
|
4.Students |
|
|
|
|
|
Undergraduate: |
|
|
|
|
|
Full-time |
4,499 |
4,480 |
4,354 |
4,252 |
4,201 |
Part-time |
29 |
23 |
30 |
47 |
31 |
Undergraduate applications: |
|
|
|
|
|
Applicants |
18,989 |
18,109 |
17,909 |
16,632 |
15,663 |
Accepted |
1,548 |
1,620 |
1,742 |
1,676 |
1,676 |
Acceptance rate |
8% |
9% |
10% |
10% |
11% |
Enrolled |
1,115 |
1,135 |
1,126 |
1,067 |
1,072 |
Yield |
72% |
70% |
65% |
64% |
64% |
Freshman ranking in the top 10% of their class |
99% |
98% |
97% |
98% |
95% |
Average SAT scores (math and verbal) |
1,492 |
1,481 |
1,472 |
1,473 |
1,455 |
|
|
|
|
|
|
Graduate: |
|
|
|
|
|
Full-time |
6,639 |
6,537 |
6,342 |
6,108 |
6,022 |
Part-time |
134 |
149 |
168 |
159 |
130 |
Graduate applications: |
|
|
|
|
|
Applicants |
24,029 |
22,588 |
22,219 |
22,139 |
19,336 |
Accepted |
3,320 |
3,504 |
3,306 |
3,431 |
2,994 |
Acceptance rate |
14% |
16% |
15% |
15% |
15% |
Enrolled |
2,163 |
2,229 |
2,118 |
2,141 |
1,939 |
Yield |
65% |
64% |
64% |
62% |
65% |
|
|
|
|
|
|
5.Tuition (in dollars) |
|
|
|
|
|
Tuition and fees |
43,498 |
42,050 |
40,732 |
39,212 |
37,782 |
Average room and board |
12,744 |
12,188 |
11,775 |
11,234 |
11,360 |
|
|
|
|
|
|
6.Student Support (in thousands of dollars) |
|
|
|
|
|
Undergraduate tuition support |
$103,076 |
$101,831 |
$102,081 |
$92,060 |
$89,813 |
Graduate tuition support |
240,022 |
226,158 |
215,702 |
201,995 |
195,178 |
Fellowship stipends |
38,792 |
36,173 |
33,263 |
30,435 |
28,104 |
Student loans |
9,095 |
9,669 |
9,556 |
9,968 |
9,641 |
Student employment |
99,890 |
96,446 |
90,135 |
85,335 |
84,304 |
Total student support |
490,875 |
$470,277 |
$450,737 |
$419,793 |
$407,040 |
|
|
|
|
|
|
平均每個本科生獲得學費資助(單位:美元) |
22,764 |
22,614 |
23,285 |
21,414 |
21,222 |
平均每個研究生獲得學費資助(單位:美元) |
35,438 |
33,826 |
33,134 |
32,232 |
31,726 |
|
|
|
|
|
|
7.Faculty and Staff (including unpaid appointments) |
|
|
|
|
|
Faculty |
1,030 |
1,022 |
1,018 |
1,017 |
1,025 |
Staff and fellows |
13,787 |
13,416 |
13,109 |
12,662 |
12,577 |
完成 MIT的模版還需要半天時間把“合作夥伴須知”整理出來,MIT的“合作夥伴須知”類似於Yale的“投資政策”。