CFA三级基础段：机构IPS_Irene（打印版）.docx

FPortfolioManagementfor'卜InstitutionalJ1.Investors4匚s',()KKLImM"*aa内>Ld>TopicinCFALevelIIISessionContentStudySession1-2ETHICS&PROFESSIONALSTANDARDS&(2)StwdySession3StudySession4BEHAVIORALFINANCECAPITALMARKETEXPECTATIONSNEW1StudySession5StudySession6StudySession7-8ASSETALLOCATIONANDRELATEDDECISIONSINPORTFOUOMANAGEMENTDERIVATIVESANDCURRENCYMANAGEMENTNEWFIXED-INCOMEPORTFOUOMANAGEMENT(1)(2)StudySession9-10StudySession11StudySession12-13StudySession14StudySession15StudySession16EQUITYPORTFOUOMANAGEMENT&(2)ALTERNATIVEINVESTMENTSFORPORTFOLIOMANAGEMENTNEW1PRIVATEWEALTHMANAGEMENT(l)8t(2)NEW】PORTFOUOMANAGEMENTFORINSTITUTIONALINVESTORSNEWTRADING,PERFORMANCEEVALUATION,ANDMANAGERSELECTIONNEWCASESINPORTFOUOMANAGEMENTANDRISKMANAGEMENTINEWl2-95mnmFrameworkPortfolioManagementforInstitutionalInvestorsSiSdlbMttftBiiioaMairagbnsntR33PortfolioManagementforInstitutionalInvestorsCommoncharacteristicsofInstitutionalInvestors1.Pensionplan(DB&DC)2.Sovereignwealthfunds3.Universityendowments4.Privatefoundations5.Banks6.Insurers.InstitutionalInvestorsTypesofinstitutionalinvestorsintheLevel3curriculum:PensionplansSovereignWealthFundsUniversityEndowmentsandPrivateFoundationsBanksandInsurersNewOldSStakeholdersLLiquidityNeedsLiquidityNeedsLLiabilitiesandInvestmentHorizonTimeHorizonEExternalConstraintsUnique(R)Risk(onlyforDB&DC)Risk(onlyforDB&DC)IInvestmentObjectivesReturnAAssetAllocation4-95InstitutionalInvestors2008PensionPlan2009PensionPlan,Endowments&Foundation2010PensionPlan,LifeInsuranceCompany2011Endowments&Foundation2012PensionPlan2013PensionPlan,Endowments&Foundation2014PensionPlan,Endowments&Foundation2015PensionPlan,Endowments&Foundation2016Endowments&Foundation2017PensionPlan2018Endowments&FoundationPortfolioManagementforInstitutionalInvestorsScale(i.e.fassetsize):Theissueofscaleisrelevantforinstitutionalinvestorsbecauseitmayimpactinvestmentcapabilities,accesstostrategies,liquidity,tradingcosts,andotherkeyaspectsoftheinvestmentprocess.Institutionalinvestors*assetsundermanagementcanrangefromrelativelysmall(e.g.llessthanUS$25million)torelativelylarge(e.g.,morethanUS$10billion).Smallerinstitutionsmayfacechallengesthatunabletoaccesscertaininvestmentsthathaveahighminimuminvestmentsize.Smallinstitutionalinvestorsmayalsofacechallengesinhiringskilledinvestmentprofessionals.Theyaremorelikelytooutsourceinvestmentstoexternalassetmanagersandrelyoninvestmentconsultants.1.argerinstitutionalinvestorsexperiencescalebenefitsthatallowthemaccesstoawiderinvestmentuniverse,andtheycanreadilyhireinvestmentprofessionals.写W出新I*1l*InstitutionalInvestors:CommonCharacteristics1.ong-terminvestmenthorizon:Institutionalinvestorsgenerallyhavealong-terminvestmenthorizonthatisoftendeterminedbyaspecificliabilitystream,suchasthebenefitobligationofapensionplanrthespendingpolicyofanendowmentorotherobligations.Pensionfunds,sovereignwealthfunds,endowments,andfoundationsalltypicallyhavelonginvestmenthorizonsandrelativelylowliquidityneeds1.owliquidityneedsallowtheseinstitutionstoinvestinabroadrangeofalternativeassetclasses,includingprivateequity,privaterealestate,naturalresources,infrastructure,andhedgefunds.8-95Banksandinsurancecompanies,however,tendtobemuchmoreasset/Iiabilityfocusedwhileoperatingwithintightregulationsdesignedtoensureadequacyofcapital.与亚回断M_InstitutionalInvestors:CommonCharacteristicsGovernanceframework:Institutionalinvestorstypicallyimplementtheirinvestmentprogramsthroughaninvestmentofficethatoftenhasaclearlydefinedgovernancemodel.ThegovernancestructuregenerallyincludesaboardOfdirectorsandaninvestmentcommittee.Theboardand/orinvestmentcommitteeprovideakeyroleinestablishingtheorganization'sinvestmentpolicy,definingtheriskappetite,settingtheinvestmentstrategy,andmonitoringtheinvestmentperformance.Theboardmaycomprisecompanyrepresentativedirectors,employeerepresentativedirectors,andindependentdirectors.Independentdirectorsareusuallyselectedtoincreasetheboard,soverallinvestmentexpertise.Investmentcommitteescanbesub-committeesoftheboardwithdelegatedauthoritytooverseeinvestmentpolicy.InstitutionalInvestors:CommonCharacteristicsRegulatoryframeworks:Institutionalinvestorsmustcontendwithmultipleregulatoryframeworksthatfrequentlyvarybyjurisdictionandcomplexityandareoftenevolving.Regulationshavebeentightenedsincethe2007-2009globalfinancialcrisisinanattempttolowerleverage,increasecentralizedclearing,andimprovereportingtransparency.Principal-Agentissues:Asinstitutionalinvestorsmanageassetsonbehalfofothers,principal-agentissuesmustberecognizedandmanagedappropriately.Forinstitutions,thisconflictoccursinternallythroughtheappointmentoftheinvestmentcommitteeandinvestmentstaffandoccursexternallythroughtheuseofoutsourcedinvestmentmanagers.10-95MH目收国新NT1B*OverviewofIPSTheIPSestablishespoliciesandproceduresfortheeffectiveadministrationandmanagementoftheinstitutionalassets.Awell-craftedIPScanhelpminimizeprincipal-agentchallengesbyprovidingclearguidanceonday-todaymanagementoftheassets.TheIPSshouldinclude:Theinstitution'smissionandinvestmentobjectives(i.e.,returnandrisktolerance).Discussionoftheinvestmenthorizonandliabilities.Anyconstraintsaffectingtheassetallocation(legal,regulatory,tax,andaccounting).Assetallocationpolicywithrangesandassetclassbenchmarks.Rebalancingpolicy.ReportingrequirementsTheIPSshouldbereviewedannuallyorwhenmaterialchangesoccurininvestorcircumstancesand/orthemarketenvironment,astheIPSservesasthefoundationfortheinvestmentprogram.*InvestmentApproachesTheinvestmentportfolioofaninstitutionalinvestorisdesignedtomeetitsobjectivesandshouldreflecttheappropriateriskandliquidityconsiderationsaddressedintheIPS.Whileinstitutionalinvestorseachhaveuniqueliabilitycharacteristics,fourdifferentapproachesevolved,including:NorwayModel;EndowmentModel;CanadaModel;1.iabilityDrivenInvesting(LDI)Model.InvestmentApproachDescriptionNorwayModel(sovereignwealthfund)Traditionalstylecharacterizedby60%40%equity/fixed-incomeallocation,fewalternatives,largelypassiveinvestments,tighttrackingerrorlimits,andbenchmarkasastartingposition.Pros:Lowcost,transparent,suitableforlargescale,easyforboardtounderstand.Cons:Limitedvalue-addedpotential.EndowmentModel(universityendowment)SWF,DB)Characterizedbyhighalternativesexposure,activemanagementandoutsourcing.Pros:Highvalue-addedpotential.Cons:Expensiveanddifficulttoimplementformostsovereignwealthfundsbecauseoftheirlargeassetsizes.Highfees/costs13-95MB与业国新塔值InvestmentApproachDescriptionCanadaModel(pensionplanI)SWF)Characterizedbyhighalternativesexposure,activemanagement,andinternallymanagedassets.Pros:Highvalue-addedpotentialanddevelopmentofinternalcapabilities.Cons:Potentiallyexpensiveanddifficulttomanage.1.DIModel(banks&insurers11b11IDB111111)Characterizedbyfocusonhedgingliabilitiesandinterestrateriskincludingviaduration-matched,fixed-incomeexposure.Agrowthcomponentinthereturn-generatingportfolioisalsotypical(exceptionsbeingbankandinsurancecompanyportfolios).Pros:Explicitrecognitionofliabilitiesaspartoftheinvestmentprocess.Cons:Certainrisks(e.g.,longevityrisk,inflationrisk)maynotbehedged.*1.PensionFundsPensionfundsarelong-termsavingandinvestmentplansdesignedtoaccumulatesufficientassetstoprovideforthefinancialneedsofretirees.Therearetwomaintypesofpensionplans:Definedbenefit,inwhichaplansponsorcommitstopayingaspecifiedretirementbenefit.Definedcontribution,inwhichcontributionsaredefinedbuttheultimateretirementbenefitisnotspecifiedorguaranteedbytheplansponsor.Globally,therearemanyvariationsandnuancesofthesetwobroadcategoriesofpensionplans.TypesofPensionPlansComparisonofDB&DCPensionPlanCharacteristicsDefinedBenefitPensionPlanDefinedContributionPensionPlanBenefitpaymentsBenefitpayoutsaredefinedbyacontractbetweentheemployeeandthepensionplan.Benefitpayoutsaredeterminedbytheperformanceofinvestmentsselectedbytheparticipant.ContributionsTheemployeristheprimarycontributor,thoughtheemployeemaycontributeaswell.Theemployeeistypicallytheprimarycontributoralthoughtheemployermaycontributeaswellormayhavealegalobligationtocontributeapercentageoftheemployee'ssalary.InvestmentdecisionmakingThepensionfunddetermineshowmuchtosaveandwhattoinvestintomeettheplanobjectives.Theemployeedetermineshowmuchtosaveandwhattoinvestintomeethis/herobjectives(fromtheavailablemenuofinvestmentvehiclesselectedbytheplansponsor).写W出新I*1lTypesofPensionPlansCharacteristicsDefinedBenefitPensionPlanDefinedContributionPensionPlanInvestmentriskTheemployerbearstheriskthatteliabilitiesarenotmetandmayberequiredtomakeadditionalcontributionstomeetanyshortfall.Theemployeebearstheriskofnotmeetinghis/herobjectivesforthisaccountintermsoffundingretirementMortality/LongevityriskMortalityriskispooled.Ifabeneficiarypassesawayearly,he/shetypicallyleavesaportionofunpaidbenefitsinthepooloffsettingadditionalbenefitpaymentsrequiredbybeneficiariesthatlivelongerthanexpected.Theemployeebearstheriskofnotmeetinghis/herOtyectivesforthisaccountintermsoffundingretirementTheemployeebearslongevityrisk.与亚回断M_*DB:StakeholdersPlansponsors(employers)mustmakecontributionstoplanassets.PoorinvestmentperformancewillresultinsponsorshavingtomakeextraContributionstoanunderfundedplan(i.e.fwhenassetsareIowerthanliabilities).Planbeneficiaries(employeesandretirees)facetheultimateriskthatanemployerdefaultsoncontributionstoplanassets.Theinvestmentstaff,theinvestmentcommittee,and/ortheboardaredirectlyimpactedbythesuccessorfailureoftheplan.Governmentsarestakeholdersinthattheyprovidetaxincentivesforemployeestosaveforretirementandtaxpayerswillultimatelyfacethecostsofprovidingwelfareforthosethathavefailedtoadequatelysaveforretirement.Shareholdersinthecorporateemployerarestakeholderssinceanunderfundedplanwillcauseabalancesheetliabilityandlowerincomeforthecompany.Itwillalsoleadtohigherfinancialrisk,whichwilllikelyincreasesharepricevolatility.1895HMB与继侈撕maDB:LiabilitiesandInvestmentHorizonTheliabilitiesofaDBpensionplanarethepresentvalueofthefuturepaymentsitwillmaketobeneficiariesuponretirementdisability,ordeath.Inestimatingfuturebenefits,theplansponsormustmakeseveralkeyassumptions,suchasthegrowthrateofsalaries,expectedvesting,andmortalityanddisabilityassumptions.Vestingmeansthatemployeesonlybecomeeligibletoreceiveapensionaftermeetingcertaincriteria,typicallyaminimumnumberofyearsofservice.Acommonpensionindustrymetricusedtogaugeassetsufficiencyisthefundedratioralsoknownasthevestedbenefitindex(VBI)insomecountries.Thefundedratioisdefinedas:oitardednFuOitagilbofotifenebdenifeDfo/PVtsessanalpfoeulavric号也19-95B与业御新ISH_DB:LiabilitiesFactorImpactofIncreaseinFactorRationaleService/tenure(yearsworked)IncreasesliabilityBenefitsareusuallylinkeddirectlytoyearsofservicebytheemployee.SalaryIncreasesliabilityBenefitsareusuallylinkedtofinalsalary.LongevityIncreasesliabilityPlanparticipantsarepaidbenefitsforeveryyeartheyliveinretirement.Iftheylivelongerinretirementtheywillreceivemoreyearsofbenefits.AdditionalcontributionsIncreasesliabilityAdditional/matchingcontributionsusuallyincreasesthebenefitspromisedtoemployees.EmployeeturnoverLowerliabilityHigheremployeeturnovermeansfeweremployeesarelikelytoworkthenumberofyearsofservicerequiredforvestingofbenefits.ExpectedinvestmentreturnDiscountratePotentiallyLowerliability1.owerliabilityInsomecases,anincreaseinexpectedreturnsincreasesthediscountrateusedforliabilities,loweringliabilities.Ahigherdiscountratewillgivealowerpresentvalueofbenefits,hencealowerliability.HHM写业国新ISH*DB:InvestmentHorizonTheplansSPonSorMabilitytotoleratevolatilityofcontributionratesmayimpacttheinvestmenthorizon,andhencethepensionplan'sappetiteforsuchilliquidinvestmentsasprivateequityandventurecapital.Anotherimportantfactordeterminingtheinvestmenthorizonisthemixofactiveplanparticipants(i.e.,currentemployees)versusretirees.Thehighertheproportionofretireesrelativetotheproportionofactiveparticipants,themorematuretheplanhence,theloweritsrisktoleranceSomematureDBpensionplanshavebeenfrozenastheytypicallyexperiencenegativecashflowwherebenefitpaymentsexceedcontributions.Generally,themorematureapensionfund,theshorteritsinvestmenthorizon,whichdirectlyaffectsrisktoleranceandtheallocationbetweenfixed-incomeassetsandriskierassets.DB:RiskConsiderations但Mj1:DBplan.斤；二果1岬(5B升l婢口踏但蛛精梃购婢CategoryVariableExplanationPlanstatusPlanfundedstatus(surplusordeficit).HigherpensionsurplusorhigherfundedstatusimpliesgreaterrisktoleranceSponsorfinancialstatusandprofitabilityDebttototalassets;Currentandexpectedprofitability;Sizeofplancomparedtomarketcapitalizationofsponsorcompany.LowdebtratiosandhigherCUrrnfltandexpectedprofitabilityimplygreaterrisktolerance.1.argesponsorcompanysizerelativetopensionplansizeimpliesgreaterrisktolerance.写W出新1*11DB:RiskConsiderationsCategoryVariableExplanationSponsorandpensionfundcommonriskexposuresCorrelationofsponsoroperatingresultswithpensionassetreturns.TheIoWertheCorTelation,thegreaterrisktolerance,allelseequal.PlanfeaturesProvisionforearlyretirement;Provisionforlumpsumdistribution.Suchoptionstendtoreducethedurationofplanliabilities,implyinglowerrisktolerance,allelseequalWorkforcecharacteristicsAgeofworkforce;Activelivesrelativetoretiredlives.Theyoungertheworkforce,thegreatertheproportionofactivelives,thegreaterthedurationofplanliabilitiesandthegreatertherisktolerance.与亚回断M_DB:InvestmentObjectiveTheprimaryobjectiveforDBpensionplansistomeetpensionliabilitiesthroughacombinationofinvestmentreturnsandcontributions.Thesecondaryobjectivecouldbetominimizethepresentvalueofexpectedcashcontributions.ComputationIdeally,gg.lWhereg无Long-termrateofreturnonplanassetsgGactuarialdiscountrateUnderfunded,g/g;LWhenconsidertheriskrelativetotheplansponsor'swillingnessandabilitytoraisecontributionrates,gA=gL+riskpremiumDB:LiquidityNeedsPensionplansmustmaintainenoughliquiditytopaytheirliabilitiesastheycomedue.Liquidityneedsaregenerallyhigherwhen:Theproportionofretiredlivesintheplanishigher,sinceretiredlivesarereceivingbenefitpayments.Frozenplanswillhavehigherliquidityneedsthannonfrozenplansduetobenefitsexceedingcontributions.Theworkforceoftheemployerisolder,sincethetimetopaybenefitswillbeshorter.Theplanhashigherfundedstatus,sincethiswilllikelyleadtolowersponsorcontributionsandmorebenefitpaymentswillneedtobemetfromexistingplanassets.Theplanparticipantshavetheability