CFA三级基础段培训项目：机构的投资组合管理投资者（标准版）.docx

S6Bus 皿回fi?喘<工。Study Session 1-2Study Session 3Study Session 4Study Session 5Study Session 6Study Session 7-8Study Session 9-10Study Session 11Study Session 12-13Study Session 14Study Session 15Study Session 16TopicinCFALevelIIIETHICS&PROFESSIONALSTANDARDS&(2)BEHAVIORALFINANCECAPITALMARKETEXPECTATIONSNEWASSETALLOCATIONANDRELATEDIDECISIONSINPORTFOLIOMANAGEMENTDERIVATIVESANDCURRENCYMANAGEMENTNEWFIXED-INCOMEPORTFOLIOMANAGEMENT(1)&(2)EQUITYPORTFOLIOMANAGEMENTQ)&(2)ALTERNATIVEINVESTMENTSFORPORTFOLIOMANAGEMENTNEWPRIVATEWEALTHMANAGEMENT(1)&(2)NEWPORTFOLIOMANAGEMENTFORINSTITUTIONALINVESTORSNETRADING,PERFORMANCEEVALABON,ANDMANAGERSELECTlqNNEWCASESINPORTFOLIOMANAGEMENTANDRISKMANAGEMENTNEWFrameworkPortfolio Management forInstitutional InvestorsASS14PortfolioManagementforInstitutionalInvestorsR33PortfolioManagementforInstitutionalInvestors/CommoncharacteristicsofInstitutionalInvestors1.Pensionplan(DB&DC)2.Sovereignwealthfunds3.Universityendowments4.Privatefoundations5.Banks6.InsurersTypesofinstitutionalinvestorsintheLevel3curriculum:PensionplansSovereignWealthFundsUniversityEndowmentsandPrivateFoundationsBanksandInsurersNewSStakeholders1.LiquidityNeeds1.LiabilitiesandInvestmentHorizonEExternal Constraints(R)Risk(onlyforDB&DC)IInvestmentObjectivesOldLiquidity NeedsTime HorizonUniqueRisk (only for DB & DC)ReturnAAssetAllocation2008PensionPlan2009PensionPlan,Endowments&Foundation2010PensionPlan,LifeInsuranceCompany2011Endowments&Foundation2012PensionPlan2013PensionPlan,Endowments&Foundation2014PensionPlan,Endowments&Foundation2015PensionPlan,Endowments&Foundation2016Endowments&Foundation2017PensionPlan2018Endowments&FoundationPortfolioManagementforInstitutionalInvestorsScale(i.e.,assetsize):Theissueofscaleisrelevantforinstitutionalinvestorsbecauseitmayimpactinvestmentcapabilities,accesstostrategies,liquidity,tradingcosts,andotherkeyaspectsoftheinvestmentprocess.Institutionalinvestors*assetsundermanagementcanrangefromrelativelysmall(e.g.flessthanUS$25million)torelativelylarge(e.g.,morethanUS$10billion).Smallerinstitutionsmayfacechallengesthatunabletoaccesscertaininvestmentsthathaveahighminimuminvestmentsize./Smallinstitutionalinvestorsmayalsofacechallengesinhiringskilledinvestmentprofessionals.Theyaremorelikelytooutsourceinvestmentstoexternalassetmanagersandrelyoninvestmentconsultants.Largerinstitutionalinvestorsexperiencescalebenefitsthatallowthemaccesstoawiderinvestmentuniverse,andtheycanreadilyhireinvestmentprofessionals.1.ong-terminvestmenthorizon:Institutionalinvestorsgenerallyhavealong-terminvestmenthorizonthatisoftendeterminedbyaspecificliabilitystream,suchasthebenefitobligationofapensionplan,thespendingpo11cyofanendowment,orotherobligations.Pensionfunds,sovereignwealthfunds,endowments,andfoundationsalltypicallyhavelonginvestmenthorizonsandrelativelylowliquidityneeds./Lc)WIiqUidityneedsallowtheseinstitutionstoinvestinabroadrangeOfalternativeassetclasses,includingprivateequity,privaterealestate,naturalresources,infrastructure,andhedgefunds.Banksandinsurancecompanies,however,tendtobemuchmoreasset/liabilityfocusedwhileoperatingwithintightregulationsdesignedtoensureadequacyofcapital.Governanceframework:Institutionalinvestorstypicallyimplementtheirinvestmentprogramsthroughaninvestmentofficethatoftenhasaclearlydefinedgovernancemodel.Thegovernancestructuregenerallyincludesaboardofdirectorsandaninvestmentcommittee.Theboardand/orinvestmentcommitteeprovideakeyroleinestablishingtheorganization'sinvestmentpolicy,definingtheriskappetite,settingtheinvestmentstrategy,andmonitoringtheinvestmentperformance.Theboardmaycomprisecompanyrepresentativedirectors,employeerepresentativedirectors,andindependentdirectors./Independentdirectorsareusuallyselectedtoincreasetheboard'soverallinvestmentexpertise.Investmentcommitteescanbesub-committeesoftheboardwithdelegatedauthoritytooverseeinvestmentpolicy.Regulatoryframeworks:Institutionalinvestorsmustcontendwithmultipleregulatoryframeworksthatfrequentlyvarybyjurisdictionandcomplexityandareoftenevolving.Regulationshavebeentightenedsincethe2007-2009globalfinancialcrisisinanattempttolowerleverage,increasecentralizedclearing,andimprovereportingtransparency.Principal-Agentissues:Asinstitutionalinvestorsmanageassetsonbehalfofothers,principal-agentissuesmustberecognizedandmanagedappropriately.Forinstitutions,thisconflictoccursinternallythroughtheappointmentoftheinvestmentcommitteeandinvestmentstaffandoccursexternallythroughtheuseofoutsourcedinvestmentmanagers.OverviewofIPSTheIPSestablishespoliciesandproceduresfortheeffectiveadministrationandmanagementoftheinstitutionalassets.Awell-craftedIPScanhelpFninimiZePrinCipal-agentChallengeSbyprovidingclearguidanceonday-to-daymanagementoftheassets.TheIPSshouldinclude:Theinstitution'smissionandinvestmentobjectives(i.e.,returnandrisktolerance).Discussionoftheinvestmenthorizonandliabilities.Anyconstraintsaffectingtheassetallocation(legal,regulatory,tax,andaccounting).Assetallocationpolicywithrangesandassetclassbenchmarks.Rebalancingpolicy.Reportingrequirements.TheIPSshouldbereviewedannuallyorwhenmaterialchangesoccurininvestorcircumstancesand/orthemarketenvironment,asthe4PSseves-as4he-f÷Fdat+o÷e4westmetS6，ZIpo&CT>UE。A-=qd-jpoBPBUBu-0-IUUJMoPULiJponABMON)u.pnpu>o>vsc三.In。7ul：PBJ03-5A-q-57三3>?-t-ul-0>-0-zsAsdl-U-SUo-JP-SUoUA±p-nb-PUB>S-JBlB-JdOJddBl:PGJPtRqPUBs2:Pjqo.lOLU0+jl-0>-0-JoO-Ojt-0dE>IIlASalPBOJddqAUss>UIInvestmentApproachDescriptionkNorwayModel(sovereignwealthfund)Traditionalstylecharacterizedby60%40%equity/fixed-incomeallocation,fewalternatives,largelypassiveinvestments,tighttrackingerrorlimits,andbenchmarkasastartingposition.kEndowmentModel(universityendowment,也有SWF,DB)Characterizedbyhighalternativesexposure,activemanagementandoutsourcing.Pros:Highvalue-addedpotential.Cons:Expensiveanddifficulttoimplementformostsovereignwealthfundsbecauseoftheirlargeassetsizes.Highfees/costs13-95InvestmentApproachDescriptionCanadaModel(pensionplan,也有SWF)Characterizedbyhighalternativesexposure,activemanagement,andinternallymanagedassets.Pros:Highvalue-addedpotentialanddevelopmentofinternalcapabilities.Cons:Potentiallyexpensiveanddifficulttomanage.1.DIModel(banks&insurers,也包括美国的DB和部分欧洲养老金)Characterizedbyfocusonhedgingliabilitiesandinterestrateriskincludingviaduration-matched,fixed-incomeexposure.Agrowthcomponentinthereturn-generatingportfolioisalsotypical(exceptionsbeingbankandinsurancecompanyportfolios).Pros:Explicitrecognitionofliabilitiesaspartoftheinvestmentprocess.Cons:Certainrisks(e.g.,longevityrisk,inflationrisk)maynotbehedged.1.PensionFundsPensionfundsarelong-termsavingandinvestmentplansdesignedtoaccumulatesufficientassetstoprovideforthefinancialneedsofretirees.Therearetwomaintypesofpensionplans:Definedbenefit,inwhichaplansponsorcommitstopayingaspecifiedretirementbenefitDefinedcontribution,inwhichcontributionsaredefinedbuttheultimateretirementbenefitisnotspecifiedorguaranteedbytheplansponsor.Globally,therearemanyvariationsandnuancesofthesetwobroadcategoriesofpensionplans.TypesofPensionPlansAComparisonofDB&DCPensionPlanCharacteristicsDefinedBenefitPensionPlanDefinedContributionPensionPlanBenefitBenefitpayoutsaredefinedbyacontractbetweentheBenefitpayoutsaredeterminedbypaymentsemployeeandthepensionplan.theperformanceOfinvestmentsselectedbytheparticipant.ContributionsTheemployeristheprimarycontributor,thoughtheemployeemaycontributeasTheemployeeistypicallytheprimarycontributoralthoughtheemployermaycontributeaswellormayhavealegalobligationtocontributeaWell.percentageoftheemployee'ssalary.InvestmentThepensionfunddetermineshowmuchtosaveandwhattoinvestintomeettheplanobjectives.Theemployeedetermineshowmuchtosaveandwhattoinvestintomeetdecisionmakinghis/herobjectives(fromtheavailablemenuofinvestmentvehiclesselectedbytheplansponsor).TypesofPensionPlansCharacteristicsDefinedBenefitPensionPlanDefinedContributionPensionPlanInvestmentriskTheemployerbearstheriskthattheliabilitiesarenotmetandmayberequiredtomakeadditionalcontributionstomeetanyshortfall.Theemployeebearstheriskofnotmeetinghis/herobjectivesforthisaccountintermsoffundingretirement.Mortalityriskispooled.Ifabeneficiarypassesawayearly,he/shetypicallyleavesaMortality/portionofunpaidbenefitsinLongevityriskthepooloffsettingadditionalbenefitpaymentsrequiredbybeneficiariesthatlivelongerthanexpected.Theemployeebearstheriskofnotmeetinghis/herobjectivesforthisaccountintermsoffundingretirement.Theemployeebearslongevityrisk.DB:Stakeholders>Plansponsors(employers)mustmakecontributionstoplanassets.Poorinvestmentperformancewillresultinsponsorshavingtomakeextracontributionstoanunderfundedplan(i.e.,whenassetsarelowerthanliabilities).APlanbeneficiaries(employeesandretirees)facetheultimateriskthatanemployerdefaultsoncontributionstoplanassets.ATheinvestmentstaff,theinvestmentcommittee,and/ortheboardaredirectlyimpactedbythesuccessorfailureoftheplan.AGovernmentsarestakeholdersinthattheyprovidetaxincentivesforemployeestosaveforretirementandtaxpayerswillultimatelyeecosts;OfPFoVidingwelfareforthosethathavefailedtoadequatelysaveforretirement.AShareholdersinthecorporateemployerarestakeholderssinceanunderfundedplanwillcauseabalancesheetliabilityandlowerincomeforthecompany.Itwillalsoleadtohigherfinancialrisk,whichwilllikelyincreaseSharePriCeVolatiIity.18-95DB:LiabilitiesandInvestmentHorizonTheliabilitiesofaDBpensionplanarethepresentvalueofthefuturepaymentsitwillmaketobeneficiariesuponretirementdisability,ordeath.Inestimatingfuturebenefits,theplansponsormustmakeseveralkeyassumptions,suchasthegrowthrateofsalaries,expectedvesting,andmortalityanddisabilityassumptions.Vestingmeansthatemployeesonlybecomeeligibletoreceiveapensionaftermeetingcertaincriteria,typicallyaminimumnumberofyearsofservice.Acommonpensionindustrymetricusedtogaugeassetsufficiencyisthefundedratio,alsoknownasthevestedbenefitindex(VBI)insomecountries.Thefundedratioisdefinedas:¾<"K竺痍瓷耍装<衽亮升跑望噂望毛毛翟能把/缴碧衽朋理割果耍手割毛ft<<三¾S¾衽黑追嘤不割装耍衽哥衽19-95DB:LiabilitiesFactorImpactofIncreaseinFactorService/tenure(yearsworked)IncreasesliabilitySalaryIncreasesliability1.ongevityAdditionalcontributionsIncreasesliabilityIncreasesliabilityEmployeeturnoverExpectedinvestmentreturnDiscountrate1.owerliabilityPotentially1.owerliability1.owerliabilityRationaleBenefitsareusuallylinkeddirectlytoyearsofservicebytheemployee.Benefitsareusuallylinkedtofinalsalary.Planparticipantsarepaidbenefitsforeveryyeartheyliveinretirement.Iftheylivelongerinretirement,theywillreceivemoreyearsofbenefits.AdditionaIZinatchingcontributionsusuallyincreasesthebenefitspromisedtoemployees.HigheremployeeturnovermeansfeweremployeesarelikelytoworkthenumberofyearsOfSerViCerequiredforVeStingOfbenefits.Insomecases,anincreaseinexpectedreturnsincreasesthediscountrateusedforliabilities,IoWerirgliabilities.Ahigherdiscountratewillgivealowerpresentvalueofbenefits,hencealowerliability.20-95DB:InvestmentHorizonTheplanssponsor'sabilitytotoleratevolatilityofcontributionratesmayimpacttheinvestmenthorizon,andhencethepensionplan,sappetiteforsuchilliquidinvestmentsasprivateequityandventurecapital.Anotherimportantfactordeterminingtheinvestmenthorizonisthemixofactiveplanparticipants(i.e.,currentemployees)versusretirees.Thehighertheproportionofretireesrelativetotheproportionofactiveparticipants,themorematuretheplanhence,theloweritsrisktolerance.SomematureDBpensionplanshavebeenfrozenastheytypicallyexperiencenegativecashflowwherebenefitpaymentsexceedcontributions.Generally,themorematureapensionfund,theshorteritsinvestmenthorizon,whichdirectlyaffectsrisktoleranceandtheallocationbetweenfixed-incomeassetsandriskierassets.风险目标：DBPIan的风险容忍度主要取决于计划的盈亏状态，发起人的财务状况和盈利能力，发起人和退休金计划基金的风险暴露共性，计划本身特征和劳动力特征等，详见下表：PlanstatusPlanfundedstatus(surplusordeficit).SponsorfinancialstatusandprofitabilityDebttototalassets;Currentandexpectedprofitability;Sizeofplancomparedtomarketcapitalizationofsponsorcompany.HigherPenSionSUrPlUSOrhigherfundedstatusimpliesgreaterrisktolerance1.oWdebtratiosandhigherCUFfenandexpectedPFefitabUtty-impIygreaterrisktolerance.1.argesponsorcompanysizerelativetopensionplansizeimpliesgreaterrisktolerance.Sponsor and pension fund common risk exposuresCorrelationofsponsorThCIOWCrthecQ¾elatiHn,theoperatingresultswithgreaterrisktolerance,allelseequal,pensionassetreturns.Provisionforeadyretirement;PlanfeaturesProvisionforumpSUmdistribution.Suchoptionstendtoreducethedurationofplanliabilities,implying4GweF44sk4oleFaRce,allelseequalWorkforce characteristicsAge of workforce;Active lives relative to retired lives.eeungeFev0Fkferceregf=eateFe-pF0pertifvef-activeUVeSr4hegieateMhedWati0v0fplan-Mabiles-anclthegreatertherisktolerance.DB:InvestmentObjectiveTheprimaryobjectiveforDBpensionplansistomeetpensionliabilitiesthroughacombinationofinvestmentreturnsandcontributions.Thesecondaryobjectivecouldbetominimizethepresentvalueofexpectedcashcontributions.ComputationIdeally,gA=gL./WheregA=Long-termrateofreturnonplanassetsgL=actuarialdiscountrateUnderfunded,gA>gL;WhenConsidertheriskrelativetotheplansponsor,swillingnessandabilitytoraisecontributionrates,gA=gL+riskpremiumDB:LiquidityNeedsPensionplansmustmaintainenoughliquiditytopaytheirliabilitiesastheycomedue.Liquidityneedsaregenerallyhigherwhen:Theproportionofretiredlivesintheplanishigher,sinceretiredlivesarereceivingbenefitpayments.Frozenplanswillhavehigherliquidityneedsthannonfrozenplansduetobenefitsexceedingcontributions.Theworkforceoftheemployerisolder,sincethetimetopaybenefitswillbeshorter.Theplanhashigherfundedstatus,sincethiswilllikelyleadtolowersponsorcontributionsandmorebenefitpaymentswillneedtobemetfromexistingplanassets.Theplanparticipantshavetheabilitytoswitchorwithdrawfromtheplan,aneventthatusuallytriggerspaymentstoparticipants.DC:StakeholdersPlan sponsors (employers): not facing the investment risk or IongeVity risk of the assets, retain important fiduciary responsibilities. These include ContFibUting to the plan, C)Veseeing the investment of Pgn assets, andOffering SUitable investment OPtionS to Plan participants.contributionsandinvestmentreturnsnotmeetingretirementneeds.TheyalsofacethelongevityriskoflivingIongerthanexpe