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

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1、S6Bus 皿回fi?喘UE。A-=qd-jpoBPBUBu-0-IUUJMoPULiJponABMON)u.pnpuovsc三.In。7ul：PBJ03-5A-q-57三3?-t-ul-0-0-zsAsdl-U-SUo-JP-SUoUAp-nb-PUBS-JBlB-JdOJddBl:PGJPtRqPUBs2:Pjqo.lOLU0+jl-0-0-JoO-Ojt-0dEIIlASalPBOJddqAUssUIInvestmentApproachDescriptionkNorwayModel(sovereignwealthfund)Traditionalstylecharacterizedby60

2、%40%equity/fixed-incomeallocation,fewalternatives,largelypassiveinvestments,tighttrackingerrorlimits,andbenchmarkasastartingposition.kEndowmentModel(universityendowment,也有SWF,DB)Characterizedbyhighalternativesexposure,activemanagementandoutsourcing.Pros:Highvalue-addedpotential.Cons:Expensiveanddiff

3、iculttoimplementformostsovereignwealthfundsbecauseoftheirlargeassetsizes.Highfees/costs13-95InvestmentApproachDescriptionCanadaModel(pensionplan,也有SWF)Characterizedbyhighalternativesexposure,activemanagement,andinternallymanagedassets.Pros:Highvalue-addedpotentialanddevelopmentofinternalcapabilities

4、.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(exceptionsbeingbankandinsurancecompanypor

5、tfolios).Pros:Explicitrecognitionofliabilitiesaspartoftheinvestmentprocess.Cons:Certainrisks(e.g.,longevityrisk,inflationrisk)maynotbehedged.1.PensionFundsPensionfundsarelong-termsavingandinvestmentplansdesignedtoaccumulatesufficientassetstoprovideforthefinancialneedsofretirees.Therearetwomaintypeso

6、fpensionplans:Definedbenefit,inwhichaplansponsorcommitstopayingaspecifiedretirementbenefitDefinedcontribution,inwhichcontributionsaredefinedbuttheultimateretirementbenefitisnotspecifiedorguaranteedbytheplansponsor.Globally,therearemanyvariationsandnuancesofthesetwobroadcategoriesofpensionplans.Types

7、ofPensionPlansAComparisonofDB&DCPensionPlanCharacteristicsDefinedBenefitPensionPlanDefinedContributionPensionPlanBenefitBenefitpayoutsaredefinedbyacontractbetweentheBenefitpayoutsaredeterminedbypaymentsemployeeandthepensionplan.theperformanceOfinvestmentsselectedbytheparticipant.ContributionsTheempl

8、oyeristheprimarycontributor,thoughtheemployeemaycontributeasTheemployeeistypicallytheprimarycontributoralthoughtheemployermaycontributeaswellormayhavealegalobligationtocontributeaWell.percentageoftheemployeessalary.InvestmentThepensionfunddetermineshowmuchtosaveandwhattoinvestintomeettheplanobjectiv

9、es.Theemployeedetermineshowmuchtosaveandwhattoinvestintomeetdecisionmakinghis/herobjectives(fromtheavailablemenuofinvestmentvehiclesselectedbytheplansponsor).TypesofPensionPlansCharacteristicsDefinedBenefitPensionPlanDefinedContributionPensionPlanInvestmentriskTheemployerbearstheriskthattheliabiliti

10、esarenotmetandmayberequiredtomakeadditionalcontributionstomeetanyshortfall.Theemployeebearstheriskofnotmeetinghis/herobjectivesforthisaccountintermsoffundingretirement.Mortalityriskispooled.Ifabeneficiarypassesawayearly,he/shetypicallyleavesaMortality/portionofunpaidbenefitsinLongevityriskthepooloff

11、settingadditionalbenefitpaymentsrequiredbybeneficiariesthatlivelongerthanexpected.Theemployeebearstheriskofnotmeetinghis/herobjectivesforthisaccountintermsoffundingretirement.Theemployeebearslongevityrisk.DB:StakeholdersPlansponsors(employers)mustmakecontributionstoplanassets.Poorinvestmentperforman

12、cewillresultinsponsorshavingtomakeextracontributionstoanunderfundedplan(i.e.,whenassetsarelowerthanliabilities).APlanbeneficiaries(employeesandretirees)facetheultimateriskthatanemployerdefaultsoncontributionstoplanassets.ATheinvestmentstaff,theinvestmentcommittee,and/ortheboardaredirectlyimpactedbyt

13、hesuccessorfailureoftheplan.AGovernmentsarestakeholdersinthattheyprovidetaxincentivesforemployeestosaveforretirementandtaxpayerswillultimatelyeecosts;OfPFoVidingwelfareforthosethathavefailedtoadequatelysaveforretirement.AShareholdersinthecorporateemployerarestakeholderssinceanunderfundedplanwillcaus

14、eabalancesheetliabilityandlowerincomeforthecompany.Itwillalsoleadtohigherfinancialrisk,whichwilllikelyincreaseSharePriCeVolatiIity.18-95DB:LiabilitiesandInvestmentHorizonTheliabilitiesofaDBpensionplanarethepresentvalueofthefuturepaymentsitwillmaketobeneficiariesuponretirementdisability,ordeath.Inest

15、imatingfuturebenefits,theplansponsormustmakeseveralkeyassumptions,suchasthegrowthrateofsalaries,expectedvesting,andmortalityanddisabilityassumptions.Vestingmeansthatemployeesonlybecomeeligibletoreceiveapensionaftermeetingcertaincriteria,typicallyaminimumnumberofyearsofservice.Acommonpensionindustrym

16、etricusedtogaugeassetsufficiencyisthefundedratio,alsoknownasthevestedbenefitindex(VBI)insomecountries.Thefundedratioisdefinedas: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ftgL;WhenConsidertheriskrelativetotheplansponsor,swillingnessandabilitytoraisecontributionrates,gA=gL+riskpremiumDB:LiquidityNeedsPensionplans

17、mustmaintainenoughliquiditytopaytheirliabilitiesastheycomedue.Liquidityneedsaregenerallyhigherwhen:Theproportionofretiredlivesintheplanishigher,sinceretiredlivesarereceivingbenefitpayments.Frozenplanswillhavehigherliquidityneedsthannonfrozenplansduetobenefitsexceedingcontributions.Theworkforceofthee

18、mployerisolder,sincethetimetopaybenefitswillbeshorter.Theplanhashigherfundedstatus,sincethiswilllikelyleadtolowersponsorcontributionsandmorebenefitpaymentswillneedtobemetfromexistingplanassets.Theplanparticipantshavetheabilitytoswitchorwithdrawfromtheplan,aneventthatusuallytriggerspaymentstoparticip

19、ants.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