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1、J心PortfolioManagementforInstitutionalInvestorsCFA三级培训项目讲师:BobHongInvestmentApproachesATheinvestmentportfolioofaninstitutionalinvestorisdesignedtomeetitsobjectivesandShoIlldreflecttheappropriateriskandIiqUidityCOnSiderStionSaddressedintheIPS.AWhileinstitutionalinvestorseachhaveuniqueliabilitycharacte
2、ristics,fourdifferentapproachesevolved,including:NorwayModel;EndowmentModel;CanadaModel;LiabilityDrivenInvesting(LDI)Model.InvestmentApproachDescriptionANorwayModel(sovereignwealthfund)Traditionalstylecharacterizedby60%40%equity/fixed-incomeallocation,fewalternatives,largelypassiveinvestments,tightt
3、rackingerrorlimits,andbenchmarkasastartingposition.Pros:Lowcost,transparent,suitableforlargescale,easyforboardtounderstand.Cons:Limitedvalue-addedpotential.EndowmentModel(universityendowment,也有SWF,DB)Characterizedbyhighalternativesexposure,activemanagementandoutsourcing.Pros:Highvalue-addedpotential
4、.Cons:Expensiveanddifficulttoimplementformostsovereignwealthfundsbecauseoftheirlargeassetsizes.Highfees/costsInvestmentApproachDescriptionACanadaModel(pensionplan,也有SWF)Characterizedbyhighalternativesexposure,activemanagement,andinternallymanagedassets.Pros:Highvalue-addedpotentialanddevelopmentofin
5、ternalcapabilities.Cons:Potentiallyexpensiveanddifficulttomanage.ALDIModel(banks&insurers.也包括美国的DB和部分欧洲养老金)Characterizedbyfocusonhedgingliabilitiesandinterestrateriskincludingviaduration-matched,fixed-incomeexposure.Agrowthcomponentinthereturn-generatingportfolioisalsotypical(exceptionsbeingbankandi
6、nsurancecompanyportfolios).Pros:Explicitrecognitionofliabilitiesaspartoftheinvestmentprocess.Cons:Certainrisks(e.g.,longevityrisk,inflationrisk)maynotbehedged.2.SWF专业创新增值2.SovereignWealthFunds(SWFs)ASovereignwealthfunds(SWFs)arestate-ownedinvestmentfundsorentitiesthatinvestinfinancialorrealassets.Go
7、vernmentshaveestablishedSWFsfrombudgetsurplusestomeetdifferentobjectives.ATheInternationalMonetaryFund(IMF)hasdefinedfivebroadtypesofsovereignwealthfundsTypeObjectiveExamplesBudgetstabilizationfundsSetuptoinsulatethebudgetandeconomyfromcommoditypricevolatilityandexternalshocks.EconomicandSocialStabi
8、lizationFundofChile;Timor-LestePetroleumFund;Russia,sOilStabilizationFundDevelopmentfundsEstablishedtoallocateresourcestoprioritysocioeconomicprojects,usuallyinfrastructure.Mubadala(UAE);Iran,sNationalDevelopmentFund;IrelandStrategicInvestmentFundHHH巨业创新.憎值一SovereignWealthFunds(SWFs)TypeObjectiveExa
9、mplesSavingsfundsIntendedtosharewealthacrossgenerationsbytransformingnon-reewableassetsintodiversifiedfinancialassets.AbuDhabiInvestmentAuthority;KuwaitInvestmentAuthority;QatarInvestmentAuthority;Russia,sNationalWealthFundReservefundsIntendedtoreducethenegativecarrycostsofholdingreservesortoearnhig
10、herreturnonamplereserves.ChinaInvestmentCorporation;KoreaInvestmentCorporation;GICPrivateLtd.(Singapore)PensionreservefundsSetuptomeetidentifiedfutureoutflowswithrespecttopension-relatedcontingent-typeliabilitiesongovernments,balancesheets.NationalSocialSecurityFund(China);NewZealandSuperannuationFu
11、nd;FutureFundofAustralia巨业创新憎值一LiquidityNeedsLowHighDevelopmentFundsSavingFundsReserveBUdgetFUndSStabilizationFundsSWFs:InvestmentObjectivesSWFTypeInvestmentObjectivesBudgetstabilizationCapitalpreservationAimstoearnreturnsaboveinflationwithalowprobabilityoflossesShouldavoidassetscorrelatedwiththesou
12、rceofgovernmentrevenuesDevelopmentSupportanationseconomicdevelopmentandincreaselong-runeconomicgrowthImplicitobjectiveistoearnarealrateofreturngreaterthanrealdomesticGDPgrowthorproductivitygrowthSavingsMaintainpurchasingpoweroftheassetsovertimewhilemakingongoingspendingongovernmentbudgetaryneedsRese
13、rveEarnarateofreturninexcessoftheyieldthegovernment/centralbankpaysonbondsithasissuedPensionreserveEarnreturnstomeetfutureunfundedpensionandsocialcarepaymentspromisedbythegovernmentSWFs:AssetAllocationBudgetstabilizationfundsFixedincomeandcashDevelopmentfundsDrivenbythesocioeconomicmissionofthefund(
14、e.g.,investmentinlocalinfrastructureprojects).SavingsfundsHighallocationstowardequitiesandalternativeinvestments,suchasprivateequityandrealassets.ReservefundsSimilartosavingsfunds,butlowerallocationtoalternativesduetothepotentiallyhigherliquidityneeds.Pensionreservefunds.Highallocationstoequitiesand
15、alternatives.三三短画m三9EI三racra-瑞ESuue-esmAAnexpressionthatcaptureshowchangesinthemarketvalueofassets,liabilities,andleveragelevelsaffectthechangeinmarketvalueofequityis:AThepreviousequationcanbetweakedslightlytoassessthesensitivityoftheinstitutionsequitycapitaltoaunitchangeinthereferenceyield,y,ofthea
16、ssets(i.e.,themodifieddurationoftheequitycapital).Thisequationis:/i:yieldsofliabilitiesy:yieldsofassetsVolatilityisdefinedhereasstandarddeviation,where/弟,A理/朝nd1,A理/理representthestandarddeviationsofthepercentagechangesinmarketvalueofequitycapital,assetholdings,andliabilityclaims,respectively.资产的权重为A
17、/E;负债的权重为-(AE-1)嘲甬号Furthermore,-1p1denotesthecorrelationbetweenpercentagevaluechangesofassetsandliabilityclaims.金我算！算I/=（.2（贡-I）*输一2（芯1）AItalsoincorporatestheconceptofcorrelation,whichisanessentialelementofliability-driveninvesting.Thevolatilityofthefinancialinstitutionsequitycapitaldecreasesastheco
18、rrelationbetweenassetandliabilityvaluechanges（p）increasestoward+1.0.StrategyImpactonFactorImpactOnCommentsHolddiversifiedfixed-incomeinvestmentsLowers嘲FallsDiversifiedfixedincomehasalowerstandarddeviationthanotherriskierassetclasses.Holdhigh-qualityfixed-incomeinvestmentsLowers吧FallsThere,salowercha
19、nceofsignificantlossinassetvalue.Maintainsimilarassetandliabilitydurations,andmatchasset/liabilityexposuretoborrowerandclaimantoptionsIncreasesFallsRegulatorspenalizeinstitutionswithhighasset/liabilitymismatches.HoldcommonstockinvestmentsIncreases1.owersRisesMostregulatorsrequirereservesof100%tobehe
20、ldagainstinvestmentsincommonstock.DerivativestransparencyandcollateralizationLowers吧and嘲IncreasesFallsThemoreunderstoodandprotectedagainstcounterpartydefaulttheinstitutionis,thelesschancethereisofunexpectedlosses.HoldmoreliquidportfolioinvestmentsLowers母FallsStrategyImpactonFactorImpactOnCommentsSur
21、renderpenaltiesforinsurancecontractsLowers粤FallsPenaltiescushionlosseswhenpolicyholderscashinafterinterestrateshaverisen.PrepaymentpenaltiesondebtinvestmentsIncreasesFallsPrepaymentswilloccurinalowinterestrateenvironment.Penaltiesonprepaymentshelpoffsetrisingliabilitiesinafallingrateenvironment.Cata
22、strophicinsuranceriskIncreasesLRisesSuchlossesarelargeandunpredictableandwillcauseregulatorstodemandhigherreserves,investmentinmoreliquidassets,andmorerobustreinsuranceagreements.PredictabilityofunderwritinglossesDecreases萼FallsTotalinsuranceliabilitiesarelessuncertain.DiversifyinginsurancebusinessDecreases萼FallsTotalinsuranceliabilitiesarelessuncertain.VariableannuitiesIncreasesFallsAssetinvestmentgainsandlossesarepassedthroughtopolicyholdersduetothenatureofthecontract.
