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1、FPortfolioManagementfor卜InstitutionalJ1.Investors4匚s,()KKLImM*aa内LdTopicinCFALevelIIISessionContentStudySession1-2ETHICS&PROFESSIONALSTANDARDS&(2)StwdySession3StudySession4BEHAVIORALFINANCECAPITALMARKETEXPECTATIONSNEW1StudySession5StudySession6StudySession7-8ASSETALLOCATIONANDRELATEDDECISIONSINPORTF
2、OUOMANAGEMENTDERIVATIVESANDCURRENCYMANAGEMENTNEWFIXED-INCOMEPORTFOUOMANAGEMENT(1)(2)StudySession9-10StudySession11StudySession12-13StudySession14StudySession15StudySession16EQUITYPORTFOUOMANAGEMENT&(2)ALTERNATIVEINVESTMENTSFORPORTFOLIOMANAGEMENTNEW1PRIVATEWEALTHMANAGEMENT(l)8t(2)NEW】PORTFOUOMANAGEME
3、NTFORINSTITUTIONALINVESTORSNEWTRADING,PERFORMANCEEVALUATION,ANDMANAGERSELECTIONNEWCASESINPORTFOUOMANAGEMENTANDRISKMANAGEMENTINEWl2-95mnmFrameworkPortfolioManagementforInstitutionalInvestorsSiSdlbMttftBiiioaMairagbnsntR33PortfolioManagementforInstitutionalInvestorsCommoncharacteristicsofInstitutional
4、Investors1.Pensionplan(DB&DC)2.Sovereignwealthfunds3.Universityendowments4.Privatefoundations5.Banks6.Insurers.InstitutionalInvestorsTypesofinstitutionalinvestorsintheLevel3curriculum:PensionplansSovereignWealthFundsUniversityEndowmentsandPrivateFoundationsBanksandInsurersNewOldSStakeholdersLLiquidi
5、tyNeedsLiquidityNeedsLLiabilitiesandInvestmentHorizonTimeHorizonEExternalConstraintsUnique(R)Risk(onlyforDB&DC)Risk(onlyforDB&DC)IInvestmentObjectivesReturnAAssetAllocation4-95InstitutionalInvestors2008PensionPlan2009PensionPlan,Endowments&Foundation2010PensionPlan,LifeInsuranceCompany2011Endowments
6、&Foundation2012PensionPlan2013PensionPlan,Endowments&Foundation2014PensionPlan,Endowments&Foundation2015PensionPlan,Endowments&Foundation2016Endowments&Foundation2017PensionPlan2018Endowments&FoundationPortfolioManagementforInstitutionalInvestorsScale(i.e.fassetsize):Theissueofscaleisrelevantforinst
7、itutionalinvestorsbecauseitmayimpactinvestmentcapabilities,accesstostrategies,liquidity,tradingcosts,andotherkeyaspectsoftheinvestmentprocess.Institutionalinvestors*assetsundermanagementcanrangefromrelativelysmall(e.g.llessthanUS$25million)torelativelylarge(e.g.,morethanUS$10billion).Smallerinstitut
8、ionsmayfacechallengesthatunabletoaccesscertaininvestmentsthathaveahighminimuminvestmentsize.Smallinstitutionalinvestorsmayalsofacechallengesinhiringskilledinvestmentprofessionals.Theyaremorelikelytooutsourceinvestmentstoexternalassetmanagersandrelyoninvestmentconsultants.1.argerinstitutionalinvestor
9、sexperiencescalebenefitsthatallowthemaccesstoawiderinvestmentuniverse,andtheycanreadilyhireinvestmentprofessionals.写W出新I*1l*InstitutionalInvestors:CommonCharacteristics1.ong-terminvestmenthorizon:Institutionalinvestorsgenerallyhavealong-terminvestmenthorizonthatisoftendeterminedbyaspecificliabilitys
10、tream,suchasthebenefitobligationofapensionplanrthespendingpolicyofanendowmentorotherobligations.Pensionfunds,sovereignwealthfunds,endowments,andfoundationsalltypicallyhavelonginvestmenthorizonsandrelativelylowliquidityneeds1.owliquidityneedsallowtheseinstitutionstoinvestinabroadrangeofalternativeass
11、etclasses,includingprivateequity,privaterealestate,naturalresources,infrastructure,andhedgefunds.8-95Banksandinsurancecompanies,however,tendtobemuchmoreasset/Iiabilityfocusedwhileoperatingwithintightregulationsdesignedtoensureadequacyofcapital.与亚回断M_InstitutionalInvestors:CommonCharacteristicsGovern
12、anceframework:Institutionalinvestorstypicallyimplementtheirinvestmentprogramsthroughaninvestmentofficethatoftenhasaclearlydefinedgovernancemodel.ThegovernancestructuregenerallyincludesaboardOfdirectorsandaninvestmentcommittee.Theboardand/orinvestmentcommitteeprovideakeyroleinestablishingtheorganizat
13、ionsinvestmentpolicy,definingtheriskappetite,settingtheinvestmentstrategy,andmonitoringtheinvestmentperformance.Theboardmaycomprisecompanyrepresentativedirectors,employeerepresentativedirectors,andindependentdirectors.Independentdirectorsareusuallyselectedtoincreasetheboard,soverallinvestmentexperti
14、se.Investmentcommitteescanbesub-committeesoftheboardwithdelegatedauthoritytooverseeinvestmentpolicy.InstitutionalInvestors:CommonCharacteristicsRegulatoryframeworks:Institutionalinvestorsmustcontendwithmultipleregulatoryframeworksthatfrequentlyvarybyjurisdictionandcomplexityandareoftenevolving.Regul
15、ationshavebeentightenedsincethe2007-2009globalfinancialcrisisinanattempttolowerleverage,increasecentralizedclearing,andimprovereportingtransparency.Principal-Agentissues:Asinstitutionalinvestorsmanageassetsonbehalfofothers,principal-agentissuesmustberecognizedandmanagedappropriately.Forinstitutions,
16、thisconflictoccursinternallythroughtheappointmentoftheinvestmentcommitteeandinvestmentstaffandoccursexternallythroughtheuseofoutsourcedinvestmentmanagers.10-95MH目收国新NT1B*OverviewofIPSTheIPSestablishespoliciesandproceduresfortheeffectiveadministrationandmanagementoftheinstitutionalassets.Awell-crafte
17、dIPScanhelpminimizeprincipal-agentchallengesbyprovidingclearguidanceonday-todaymanagementoftheassets.TheIPSshouldinclude:Theinstitutionsmissionandinvestmentobjectives(i.e.,returnandrisktolerance).Discussionoftheinvestmenthorizonandliabilities.Anyconstraintsaffectingtheassetallocation(legal,regulator
18、y,tax,andaccounting).Assetallocationpolicywithrangesandassetclassbenchmarks.Rebalancingpolicy.ReportingrequirementsTheIPSshouldbereviewedannuallyorwhenmaterialchangesoccurininvestorcircumstancesand/orthemarketenvironment,astheIPSservesasthefoundationfortheinvestmentprogram.*InvestmentApproachesThein
19、vestmentportfolioofaninstitutionalinvestorisdesignedtomeetitsobjectivesandshouldreflecttheappropriateriskandliquidityconsiderationsaddressedintheIPS.Whileinstitutionalinvestorseachhaveuniqueliabilitycharacteristics,fourdifferentapproachesevolved,including:NorwayModel;EndowmentModel;CanadaModel;1.iab
20、ilityDrivenInvesting(LDI)Model.InvestmentApproachDescriptionNorwayModel(sovereignwealthfund)Traditionalstylecharacterizedby60%40%equity/fixed-incomeallocation,fewalternatives,largelypassiveinvestments,tighttrackingerrorlimits,andbenchmarkasastartingposition.Pros:Lowcost,transparent,suitableforlarges
21、cale,easyforboardtounderstand.Cons:Limitedvalue-addedpotential.EndowmentModel(universityendowment)SWF,DB)Characterizedbyhighalternativesexposure,activemanagementandoutsourcing.Pros:Highvalue-addedpotential.Cons:Expensiveanddifficulttoimplementformostsovereignwealthfundsbecauseoftheirlargeassetsizes.
22、Highfees/costs13-95MB与业国新塔值InvestmentApproachDescriptionCanadaModel(pensionplanI)SWF)Characterizedbyhighalternativesexposure,activemanagement,andinternallymanagedassets.Pros:Highvalue-addedpotentialanddevelopmentofinternalcapabilities.Cons:Potentiallyexpensiveanddifficulttomanage.1.DIModel(banks&ins
23、urers11b11IDB111111)Characterizedbyfocusonhedgingliabilitiesandinterestrateriskincludingviaduration-matched,fixed-incomeexposure.Agrowthcomponentinthereturn-generatingportfolioisalsotypical(exceptionsbeingbankandinsurancecompanyportfolios).Pros:Explicitrecognitionofliabilitiesaspartoftheinvestmentpr
24、ocess.Cons:Certainrisks(e.g.,longevityrisk,inflationrisk)maynotbehedged.*1.PensionFundsPensionfundsarelong-termsavingandinvestmentplansdesignedtoaccumulatesufficientassetstoprovideforthefinancialneedsofretirees.Therearetwomaintypesofpensionplans:Definedbenefit,inwhichaplansponsorcommitstopayingaspec
25、ifiedretirementbenefit.Definedcontribution,inwhichcontributionsaredefinedbuttheultimateretirementbenefitisnotspecifiedorguaranteedbytheplansponsor.Globally,therearemanyvariationsandnuancesofthesetwobroadcategoriesofpensionplans.TypesofPensionPlansComparisonofDB&DCPensionPlanCharacteristicsDefinedBen
26、efitPensionPlanDefinedContributionPensionPlanBenefitpaymentsBenefitpayoutsaredefinedbyacontractbetweentheemployeeandthepensionplan.Benefitpayoutsaredeterminedbytheperformanceofinvestmentsselectedbytheparticipant.ContributionsTheemployeristheprimarycontributor,thoughtheemployeemaycontributeaswell.The
27、employeeistypicallytheprimarycontributoralthoughtheemployermaycontributeaswellormayhavealegalobligationtocontributeapercentageoftheemployeessalary.InvestmentdecisionmakingThepensionfunddetermineshowmuchtosaveandwhattoinvestintomeettheplanobjectives.Theemployeedetermineshowmuchtosaveandwhattoinvestin
28、tomeethis/herobjectives(fromtheavailablemenuofinvestmentvehiclesselectedbytheplansponsor).写W出新I*1lTypesofPensionPlansCharacteristicsDefinedBenefitPensionPlanDefinedContributionPensionPlanInvestmentriskTheemployerbearstheriskthatteliabilitiesarenotmetandmayberequiredtomakeadditionalcontributionstomee
29、tanyshortfall.Theemployeebearstheriskofnotmeetinghis/herobjectivesforthisaccountintermsoffundingretirementMortality/LongevityriskMortalityriskispooled.Ifabeneficiarypassesawayearly,he/shetypicallyleavesaportionofunpaidbenefitsinthepooloffsettingadditionalbenefitpaymentsrequiredbybeneficiariesthatliv
30、elongerthanexpected.Theemployeebearstheriskofnotmeetinghis/herOtyectivesforthisaccountintermsoffundingretirementTheemployeebearslongevityrisk.与亚回断M_*DB:StakeholdersPlansponsors(employers)mustmakecontributionstoplanassets.PoorinvestmentperformancewillresultinsponsorshavingtomakeextraContributionstoan
31、underfundedplan(i.e.fwhenassetsareIowerthanliabilities).Planbeneficiaries(employeesandretirees)facetheultimateriskthatanemployerdefaultsoncontributionstoplanassets.Theinvestmentstaff,theinvestmentcommittee,and/ortheboardaredirectlyimpactedbythesuccessorfailureoftheplan.Governmentsarestakeholdersinth
32、attheyprovidetaxincentivesforemployeestosaveforretirementandtaxpayerswillultimatelyfacethecostsofprovidingwelfareforthosethathavefailedtoadequatelysaveforretirement.Shareholdersinthecorporateemployerarestakeholderssinceanunderfundedplanwillcauseabalancesheetliabilityandlowerincomeforthecompany.Itwil
33、lalsoleadtohigherfinancialrisk,whichwilllikelyincreasesharepricevolatility.1895HMB与继侈撕maDB:LiabilitiesandInvestmentHorizonTheliabilitiesofaDBpensionplanarethepresentvalueofthefuturepaymentsitwillmaketobeneficiariesuponretirementdisability,ordeath.Inestimatingfuturebenefits,theplansponsormustmakeseve
34、ralkeyassumptions,suchasthegrowthrateofsalaries,expectedvesting,andmortalityanddisabilityassumptions.Vestingmeansthatemployeesonlybecomeeligibletoreceiveapensionaftermeetingcertaincriteria,typicallyaminimumnumberofyearsofservice.Acommonpensionindustrymetricusedtogaugeassetsufficiencyisthefundedratio
35、ralsoknownasthevestedbenefitindex(VBI)insomecountries.Thefundedratioisdefinedas:oitardednFuOitagilbofotifenebdenifeDfo/PVtsessanalpfoeulavric号也19-95B与业御新ISH_DB:LiabilitiesFactorImpactofIncreaseinFactorRationaleService/tenure(yearsworked)IncreasesliabilityBenefitsareusuallylinkeddirectlytoyearsofserv
36、icebytheemployee.SalaryIncreasesliabilityBenefitsareusuallylinkedtofinalsalary.LongevityIncreasesliabilityPlanparticipantsarepaidbenefitsforeveryyeartheyliveinretirement.Iftheylivelongerinretirementtheywillreceivemoreyearsofbenefits.AdditionalcontributionsIncreasesliabilityAdditional/matchingcontrib
37、utionsusuallyincreasesthebenefitspromisedtoemployees.EmployeeturnoverLowerliabilityHigheremployeeturnovermeansfeweremployeesarelikelytoworkthenumberofyearsofservicerequiredforvestingofbenefits.ExpectedinvestmentreturnDiscountratePotentiallyLowerliability1.owerliabilityInsomecases,anincreaseinexpecte
38、dreturnsincreasesthediscountrateusedforliabilities,loweringliabilities.Ahigherdiscountratewillgivealowerpresentvalueofbenefits,hencealowerliability.HHM写业国新ISH*DB:InvestmentHorizonTheplansSPonSorMabilitytotoleratevolatilityofcontributionratesmayimpacttheinvestmenthorizon,andhencethepensionplansappeti
39、teforsuchilliquidinvestmentsasprivateequityandventurecapital.Anotherimportantfactordeterminingtheinvestmenthorizonisthemixofactiveplanparticipants(i.e.,currentemployees)versusretirees.Thehighertheproportionofretireesrelativetotheproportionofactiveparticipants,themorematuretheplanhence,theloweritsris
40、ktoleranceSomematureDBpensionplanshavebeenfrozenastheytypicallyexperiencenegativecashflowwherebenefitpaymentsexceedcontributions.Generally,themorematureapensionfund,theshorteritsinvestmenthorizon,whichdirectlyaffectsrisktoleranceandtheallocationbetweenfixed-incomeassetsandriskierassets.DB:RiskConsid
41、erations但Mj1:DBplan.斤；二果1岬(5B升l婢口踏但蛛精梃购婢CategoryVariableExplanationPlanstatusPlanfundedstatus(surplusordeficit).HigherpensionsurplusorhigherfundedstatusimpliesgreaterrisktoleranceSponsorfinancialstatusandprofitabilityDebttototalassets;Currentandexpectedprofitability;Sizeofplancomparedtomarketcapital
42、izationofsponsorcompany.LowdebtratiosandhigherCUrrnfltandexpectedprofitabilityimplygreaterrisktolerance.1.argesponsorcompanysizerelativetopensionplansizeimpliesgreaterrisktolerance.写W出新1*11DB:RiskConsiderationsCategoryVariableExplanationSponsorandpensionfundcommonriskexposuresCorrelationofsponsorope
43、ratingresultswithpensionassetreturns.TheIoWertheCorTelation,thegreaterrisktolerance,allelseequal.PlanfeaturesProvisionforearlyretirement;Provisionforlumpsumdistribution.Suchoptionstendtoreducethedurationofplanliabilities,implyinglowerrisktolerance,allelseequalWorkforcecharacteristicsAgeofworkforce;A
44、ctivelivesrelativetoretiredlives.Theyoungertheworkforce,thegreatertheproportionofactivelives,thegreaterthedurationofplanliabilitiesandthegreatertherisktolerance.与亚回断M_DB:InvestmentObjectiveTheprimaryobjectiveforDBpensionplansistomeetpensionliabilitiesthroughacombinationofinvestmentreturnsandcontribu
45、tions.Thesecondaryobjectivecouldbetominimizethepresentvalueofexpectedcashcontributions.ComputationIdeally,gg.lWhereg无Long-termrateofreturnonplanassetsgGactuarialdiscountrateUnderfunded,g/g;LWhenconsidertheriskrelativetotheplansponsorswillingnessandabilitytoraisecontributionrates,gA=gL+riskpremiumDB:
46、LiquidityNeedsPensionplansmustmaintainenoughliquiditytopaytheirliabilitiesastheycomedue.Liquidityneedsaregenerallyhigherwhen:Theproportionofretiredlivesintheplanishigher,sinceretiredlivesarereceivingbenefitpayments.Frozenplanswillhavehigherliquidityneedsthannonfrozenplansduetobenefitsexceedingcontributions.Theworkforceoftheemployerisolder,sincethetimetopaybenefitswillbeshorter.Theplanhashigherfundedstatus,sincethiswilllikelyleadtolowersponsorcontributionsandmorebenefitpaymentswillneedtobemetfromexistingplanassets.Theplanparticipantshavetheability
