CFA三级知识点必备：Institutional Investors-标准版

tfolioManagementforInstitutionalInvestors三级培训项目1.Investmentapproach–4modelsInvestmentApproachesTheinvestmentportfolioaninstitutionalinvestordesignedmeetobjectivesandshouldreflecttheappropriateriskandconsiderationsaddressedtheIPS.Whileinstitutionalinvestorseachhaveuniquecharacteristics,fourdifferentapproachesevolved,including:NorwayModel;EndowmentModel;CanadaModel;DrivenInvesting(LDI)Model.InvestmentNorwayModel(sovereignwealthfund)stylecharacterizedby60%/40%equity/fixed-incomeallocation,fewalternatives,largelypassiveinvestments,tighttrackingerrorlimits,andbenchmarkasastartingposition.:Lowcost,transparent,suitableforscale,easyfortounderstand.Cons:Limitedvalue-addedpotential.EndowmentModel(universityendowment，也有DB)Characterizedbyhighalternativesexposure,activemanagementandoutsourcing.:Highvalue-addedpotential.Cons:Expensiveanddifficultimplementformostsovereignwealthfundsbecausetheirassetsizes.Highfees/costsInvestmentCanadaModel(pensionplan，也有SWF)Characterizedbyhighalternativesexposure,activemanagement,andinternallymanagedassets.:Highvalue-addedpotentialanddevelopmentinternalcapabilities.Cons:expensiveanddifficultmanage.LDIModel(banks&insurers，也包括美国的DB和部分欧洲养老金)Characterizedbyfocusonhedgingandinterestrateriskincludingduration-matched,fixed-incomeexposure.Agrowthcomponentthereturn-generatingportfolioalsotypical(exceptionsbeingandinsurancecompanyportfolios).:Explicitrecognitionasparttheinvestmentprocess.Cons:Certainrisks(e.g.,longevityrisk,inflationrisk)maynotbehedged.2.SWFFunds(SWFs)Sovereignwealthfunds(SWFs)state-ownedinvestmentfundsorentitiesthatinvestfinancialorrealassets.GovernmentshaveestablishedSWFsbudgetsurplusesmeetdifferentobjectives.TheInternationalMonetaryFund(IMF)hasdefinedtypessovereignwealthfundsObjectiveExamplesSetupinsulatethebudgetandeconomyFundChile;commoditypriceTimor-LesteFund;EconomicandSocialBudgetfundsandexternalshocks.FundEstablishedallocateDevelopmentresourcesprioritysocio-MubadalaNationalDevelopmentFund;IrelandInvestmentFundfundseconomicprojects,usuallyinfrastructure.Funds(SWFs)ObjectiveExamplesIntendedsharewealthacrossgenerationsbyAbuDhabiInvestmentAuthority;KuwaitInvestmentSavingsfundstransformingnon-renewableAuthority;QatarInvestmentassetsdiversifiedfinancialassets.Authority;NationalWealthFundIntendedreducethenegativecarrycostsChinaInvestmentCorporation;ReservefundsholdingreservesorearnInvestmentCorporation;higherreturnonamplereserves.GIC(Singapore)SetupmeetidentifiedfutureoutflowswithrespectNationalSocialSecurityFundreservefundspension-related(China);NewZealandcontingent-typeonSuperannuationFund;Futuregovernments’balancesheets.FundAustraliaNeedsHighInvestmentObjectivesSWFInvestmentObjectivesCapitalpreservationAimsearnreturnsaboveinflationwithalowlossesShouldavoidassetscorrelatedwiththesourcegovernmentrevenuesBudgetstabilizationSupportaeconomicdevelopmentandincreaselong-runeconomicgrowthImplicitobjectiveearnarealratereturngreaterthanrealdomesticGDPgrowthorproductivitygrowthDevelopmentMaintainpurchasingpowertheassetsoverwhilemakingongoingspendingongovernmentbudgetaryneedsSavingsReserveEarnaratereturnexcesstheyieldthegovernment/centralonbondshasissuedreserveEarnreturnsmeetfutureunfundedpensionandsocialcarepaymentspromisedbythegovernmentAssetAllocationBudgetfundsFixedincomeandcashDevelopmentfundsDrivenbythesocioeconomicmissionthefund(e.g.,investmentlocalinfrastructureprojects).SavingsfundsHighallocationstowardequitiesandalternativeinvestments,suchasequityandrealassets.ReservefundsSimilarsavingsfunds,butlowerallocationalternativesduethepotentiallyhigherneeds.reservefunds.Highallocationsequitiesandalternatives.3.BalanceSheetManagementBanks&Insurers:BalanceSheetManagementAnexpressionthatcaptureshowchangesthemarketassets,liabilities,andleveragelevelsaffectthechangemarketequity퐴퐴−퐸∆퐴퐴퐴퐸퐴퐿퐸=−=−−1퐸퐴퐸퐿퐸Thepreviousequationcanbetweakedslightlyassessthesensitivitytheequitycapitalaunitchangethereferenceyield,theassets(i.e.,themodifieddurationtheequitycapital).Thisequationis:∆퐴퐴∆퐿퐴=−−1퐸∆푦퐸퐿퐸퐴퐴퐸∗∗∗−1퐷∗퐷=−→퐷=퐷−퐴푊퐸퐿푊∆푟퐸yieldsy:yieldsassetsBanks&Insurers:BalanceSheetManagementdefinedhereasstandarddeviation,where∆퐸/퐸,and∆퐿/퐿∆퐴/퐴representthestandarddeviationsthepercentagechangesmarketequitycapital,assetholdings,andclaims,Furthermore,–1≤ρ≤1denotesthecorrelationbetweenpercentagechangesassetsandclaims.资产的权重为负债的权重为–-1)퐴=()퐸퐴퐴퐴−−1)퐸퐸22222+(−1)퐸∆퐿∆퐴∆퐿∆퐸/퐸∆퐴/퐴퐿퐴퐿Italsoincorporatestheconceptcorrelation,whichanessentialelementliability-driveninvesting.Thethefinancialequitycapitaldecreasesasthecorrelationbetweenassetandchanges(ρ)increasestoward+1.0.Banks&Insurers:BalanceSheetManagementonCommentson∆푬/푬Diversifiedfixedalowerdeviationriskierassetclasses.alowersignificantinassetdiversifiedfixed-incomeinvestmentsLowers퐴퐴high-qualityfixed-incomeinvestmentsLowerssimilarassetliabilityasset/liabilitywithhighasset/liabilityIncreasesclaimantreservesheldagainstinvestmentsinstock.Increases;investments퐴RisesLowersagainstdefaultis,lessisunexpectedlosses.Lowers;IncreasesDerivativescollateralization퐴퐿liquidportfolioinvestmentsLowers퐴Banks&Insurers:BalanceSheetManagementonon∆푬/푬Surrenderpenaltieslosseswhenpolicyholderscashinafterrateshaverisen.Lowers퐿willinaratehelprisingliabilitiesinafallingratelosseslargewilldemandhigher