CFA三级知识点必备：Institutional Investors_打印版.docx

，Portfolio1“Managementfor'1.InstitutionalJAInvestorsACFA货漂笺亩箸，BobHong1-161.Investmentapproach-4models2-16行业&新NI1I.InvestmentApproachesTheinvestmentportfolioofaninstitutionalinvestorisdesignedtomeetitsobjectivesandshouldreflecttheappropriateriskandliquidityconsiderationsaddressedintheIPS.Whileinstitutionalinvestorseachhaveuniqueliabilitycharacteristics,fourdifferentapproachesevolved,including:NorwayModel;EndowmentModel;CanadaModel;1.iabilityDrivenInvesting(LDI)Model.InvestmentApproachDescriptionNorwayModel(sovereignwealthfund)Traditionalstylecharacterizedby60%40%equity/fixed-incomeallocation,fewalternatives,largelypassiveinvestments,tighttrackingerrorlimits,andbenchmarkasastartingposition.Pros:Lowcost,transparent,suitableforlargescale,easyforboardtounderstand.Coas:Limitedvalue-addedpotential.EndowmentModel(universityendowmentpmSWF,DB)Characterizedbyhighalternativesexposure,activemanagementandoutsourcing.Pros:Highvalue-addedpotential.Cons:Expensiveanddifficulttoimplementformostsovereignwealthfundsbecauseoftheirlargeassetsizes.Highfees/costs4-16MH巨亚盅新tenInvestmentApproachDescriptionCanadaModel(pensionplan'pmSWF)Characterizedbyhighalternativesexposure,activemanagement,andinternallymanagedassets.Pros:Highvalue-addedpotentialanddevelopmentofinternalcapabilities.Cons:Potentiallyexpensiveanddifficulttomanage.1.DIModel(banks&insurersp罗DBJ±ft踏瞅)Characterizedbyfocusonhedgingliabilitiesandinterestrateriskincludingviaduration-matched,fixed-incomeexposure.Agrowthcomponentinthereturn-generatingportfolioisalsotypical(exceptionsbeingbankandinsurancecompanyportfolios).Pros:Explicitrecognitionofliabilitiesaspartoftheinvestmentprocess.Cons:Certainrisks(e.g.,longevityrisk,inflationrisk)maynotbehedged.5-16HH玄亚&新III_2.SWF2.SovereignWealthFunds(SWFs)Sovereignwealthfunds(SWFs)arestate-ownedinvestmentfundsorentitiesthatinvestinfinancialorrealassets.GovernmentshaveestablishedSWFsfrombudgetsurplusestomeetdifferentobjectives.TheInternationalMonetaryFund(IMF)hasdefinedfivebroadtypesofsovereignwealthfundsTypeObjectiveExamplesBudgetstabilizationfundsSetuptoinsulatethebudgetandeconomyfromcommoditypricevolatilityandexternalshocks.EconomicandSocialStabilizationFundofChile;Timor-LestePetroleumFund;Russia'sOilStabilizationFundDevelopmentfundsEstablishedtoallocateresourcestoprioritysocioeconomicprojects,usuallyinfrastructure.eMubadala(UAE);Iran*sNationalDevelopmentFund;IrelandStrategicInvestmentFundSovereignWealthFunds(SWFs)TypeObjectiveExamplesSavingsfundsIntendedtosharewealthacrossgenerationsbytransformingno-renewableassetsintodiversifiedfinancialassets.AbuDhabiInvestmentAuthority;KuwaitInvestmentAuthority;QatarInvestmentAuthority;Russia'sNationalWealthFundReservefundsIntendedtoreducethenegativecarrycostsofholdingreservesortoearnhigherreturnonamplereserves.ChinaInvestmentCorporation;KoreaInvestmentCorporation;GICPrivateLtd.(Singapore)PensionreservefundsSetuptomeetidentifiedfutureoutflowswithrespecttopension-relatedcontingent-typeliabilitiesongovernments'balancesheets.NationalSocialSecurityFund(China);NewZealandSuperannuationFund;FutureFundofAustraliaLiquidityNeedsLowDevelopmentFundsHighSavingFundsReserveBudgetFundsStabilizationFundsAccumulationstageDecumulationJstagePensionReserveFundsSWFs:InvestmentObjectivesSWFTypeInvestmentObjectivesBudgetstabilizationCapitalpreservationAimstoearnreturnsaboveinflationwithalowprobabilityoflossesShouldavoidassetscorrelatedwiththesourceofgovernmentrevenuesDevelopmentSupportanation'seconomicdevelopmentandincreaselong-runeconomicgrowthImplicitobjectiveistoearnarealrateofreturngreaterthanrealdomesticGDPgrowthorproductivitygrowthSavingsMaintainpurchasingpoweroftheassetsovertimewhilemakingongoingspendingongovernmentbudgetaryneedsReserveEarnarateofreturninexcessoftheyieldthegovernment/centralbankpaysonbondsithasissuedPensionreserveEarnreturnstomeetfutureunfundedpensionandsocialcarepaymentspromisedbythegovernment10-16SWFs:AssetAllocationBudgetstabilizationfundsFixedincomeandcashDevelopmentfundsDrivenbythesocioeconomicmissionofthefund(eg.,investmentinlocalinfrastructureprojects).SavingsfundsHighallocationstowardequitiesandalternativeinvestments,suchasprivateequityandrealassets.ReservefundsSimilartosavingsfunds,butlowerallocationtoalternativesduetothepotentiallyhigherliquidityneeds.Pensionreservefunds.11-16Highallocationstoequitiesandalternatives.M亚色新mu_3.BalanceSheetManagementBanks&Insurers:BalanceSheetManagementAnexpressionthatcaptureshowchangesinthemarketvalueofassets,liabilities,andleveragelevelsaffectthechangeinmarketvalueofequityis:EA»4ALM-力A/%LL(AThepreviousequationcanbetweakedslightlytoassessthesensitivityoftheinstitution'sequitycapitaltoaunitchangeinthereferenceyield,y,oftheassets(i.e.,themodifieddurationoftheequitycapital).Thisequationis:i： yields of liabilities y: yields of assets13-1614-16写亚鼻新IttlBanks&Insurers:BalanceSheetManagementrepresentthestandarddeviationsofthepercentagechangesinmarket0valueofequitycapitalassetholdings,andliabilityclaims,respectively.IFurthermore,-1<p1denotesthecorrelationbetweenpercentagevaluechangesofassetsandliabilityclaims.：瓷曾第)叩=.%4+合1)%-20-1)号*'ItalsoIncorporatestheconceptofcorrelation,whichisanessentialelementofliability-driveninvesting.Thevolatilityofthefinancialinstitution'sequitycapitaldecreasesasthecorrelationbetweenassetandliabilityvaluechanges(p)increasestoward+1.0.雪业1«MH.Banks&Insurers:BalanceSheetManagementStrategyImpactonFactorImpactGiiCrCommentsHolddiversifiedfixed-incomeinvestmentsLowersQiNilsDiversifiedfixedincomehasalowerstandarddeviationthanotherriskierassetclasses.Holdhigh-qualityfixed-incomeinvestmentsLowers4FallsThere,salowerchanceofsignificantlossinassetvalue.Maintainsimilarassetandliabilitydurations,andmatchassetiabilrtyexposuretoborrowerandclaimantoptionsIncreasesPFallsRegulatorspenalizeinstitutionswithhighassetiabilitymismatches.HoldcommonstockinvestmentsIncreases>.LowersRisesMostregulatorsrequirereservesof100%tobeheldagainstinvestmentsincommonstock.DerivativestransparencyandcollateralizationLowers5and0;IncreasesPFallsThemoreunderstoodandprotectedagainstcounterpartydefaulttheinstitutionis,thelesschancethereisofunexpectedlosses.HoldmoreliquidportfolioinvestmentsLowersQFalls芸皿鼻新mt!_StrategyImpactonFactorImpacton比RCommentsSurrenderpenaltiesforinsurancecontractstowers町EFallsPenaltiescushionlosseswhenpolicyholderscashinafterinterestrateshaverisen.PrepaymentpenaltiesondebtinvestmentsIncreasesPFallsPrepaymentswilloccurinalowinterestrateenvironment.Penaltiesonprepaymentshelp。仟Setrisingliabilitiesinafallingrateenvironment.CatastrophicinsuranceriskInCreaSeSCLRisesSuchlossesarelargeandunpredictableandwillcauseregulatorstodemandhigherreserves,investmentinmoreliquidassets,andmorerobustreinsuranceagreements.PredictabilityofunderwritinglossesDecreases5,FallsTotalinsuranceliabilitiesarelessuncertain.DiversifyinginsurancebusinessDecreasesOLFallsTotalinsuranceliabilitiesarelessuncertain.VariableannuitiesIncreasesPFallsAssetinvestmentgainsandlossesarepassedthroughtopolicyholdersduetothenatureofthecontract.16-16行业&iwitri