CFA三级知识点必备：Private wealth management 打印版.docx

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1、CFAII并IJ 口茶盲部人JO2-49，PrivateWealthv-Management1.PrivateWealthManagementIvMW国新11值1.PrivateClientsversusInstitutionalClientsSummaryPrivateclientsInstitutionalclientsInvestmentobjectivesdiverseinvestmentobjectives(maynotbeclearlydefinedorquantified)specific,clearlydefinedinvestmentobjectivesTimehorizon

2、aShortertimehorizontheoreticallyinfiniteConstraintsScalesmaller(morelimitations)largerTaxessignificantandcomplextaxableincomemaybemorefavoredbyatax-exemptinstitutionInvestmentGovernancelessformalgovernancestructureformalgovernancestructureOtherDistinctionsInvestmentSophisticationemotionalahigherdegr

3、ee(moreinvestmentresources)RegulationseparateregulatorsorsharedregulatorystructureUniquenessandComplexitySimilarfinancialandobjective,differentinvestmentstrategiesSimilarobjective,similarstrategies*492.UnderstandingPrivateClientsInformationNeededinAdvisingPrivateClientsPersonalInformationFinancialIn

4、formationPrivateClientTaxConsiderationsCIientGoaIsPrivateClientRiskToleranceTechnicalandSoftSkillsforWealthManagers2.1InformationNeededinAdvisingPrivateClientsPrivateClientTaxConsiderations-BasicTaxStrategiesTaxavoidance.SomecountriesallowinvestorstocontributelimitedamountstoCertainaccountsthatpermi

5、ttax-freeearningsandfuturewithdrawals.AnotherexampleoftaxavoidanceinvolvesvariousWealthtransferechniues.Taxreduction.tax-exemptbonds；tax-efficientassetclassesTaxdeferral.BYdeferringtherecognitionOfCertaintaxesuntilalaterdate,clientscanbenefitfromcompoundingportfolioreturnsthatarenotdiminishedbyperio

6、dictaxpayments.SomeinvestorsinaProgreSSiVetaxSySteEmayalsoseektodefertaxesbecausetheyanticipatelowerfuturetaxrates.5-49limitportfolioturnover.雪生国新IBIi_2.2ClientGoalsFinancialgoalsarenotalwaysapparent,defined,ormeasurable:theymaybeexpressedbyclientsaswishes,desires,Oraspirations.PlannedGoals:Plannedg

7、oalsarethosethatCanbereasonablyestimatedorquantifiedwithinanexpectedtimehorizon.Retirement.Maintainingacomfortablelifestylebeyondtheirworkingyearsisagoalformostclients.Specificpurchases.Clientgoalsmayfocusonspecificpurchases,whichtendtobeafunctionofthelevelofwealthand/orstageoflife.Education.Clients

8、oftenwishtofundtheirchildrenseducation.Familyevents.(e.g.weddings)Wealthtransfer.Whenclientshaveadefiniteamountofinheritancethattheywishtotransfer,thisgoalmayneedtobeprioritizedoverothergoals.Philanthropy.Clientsoftenwishtomakecharitabledonationsduringoraftertheirlifetime.2.2ClientGoalsUnplannedGoal

9、s:Unplannedgoalsarethoserelatedtounforeseenfinancialneeds.(difficulttoestimatethetimingandtheamountoffundingneeded)Propertyrepairs.Althoughhouseholdsmaybeinsuredagainstlossesorcatastrophes,clientsmayfaceadditionalspendingneedsifinsurancedoesnotfullyc。VerSUCheverts.Medicalexpenses.Privateclienthouseh

10、oldsnormallyhavemedicalinsuranceforillnessorhospitalization,buthealthinsurancemavnotCoVerallmedicalexpenses.Arelatedissueinsomelocationsisthepotentialcostofeldercareforoneselforonesfamilymembers.Otherunforeseenspending.Whenestablishingclientgoals,privatewealthmanagersconsidergoalquantification,goalp

11、rioritization,andgoalchanges.749HMHM言业JI.信僵.2.3PrivateClientRiskToleranceKeytermsforasetofrisk-relatedconcepts:Risktolerancereferstothelevelofriskanindividualiswillingandabletobear.Risktoleranceistheinverseofriskaversion.Riskcapacityistheabilitytoacceptfinancialrisk.Thekeydifferencebetweenriskcapaci

12、tyandrisktoleranceisthatriskcapacityismoreobjectiveinnature,whilerisktolerancerelatestoanattitude.Riskperceptionisanindividualssubjectiveassessmentoftheriskinvolvedinaninvestmentdecision*soutcome.Howaclientperceivestheriskinessofaninvestmentdecisionortheinvestmentclimatedependsonthecircumstancesinvo

13、lved.2.4TechnicalandSoftSkillsforWealthManagerszTechnicaISkillsTechnicalskillsrepresentthespecializedknowledgeandexpertisenecessarytoprovideinvestmentadvicetoprivateclients.Capitalmarketsproficiency.Portfolioconstructionability.Financialplanningknowledge.Quantitativeskills.Technologyskills.、Language

14、fluency.，SoftSkills(non*technical)ISoftskillstypicallyinvolveinterpersonalrelationshipsthatis,theabilitytoeffectivelyinteractwithothers.Communicationskills.ISocialskills.Educationandcoachingskills.、Businessdevelopmentandsalesskills.2.PrivateWealthManagement2v10-49M亚国新 IBU 3. Investment planningAfter

15、 deve0RiR an UnderStandinR Oftheir diems, wealth managers begin the process of helping clients meet their objectives.Capital Sufficiency AnalysisRetirement PlanningInvestment policy statement11-49雪生国新 IBIi _ 3.1 Capital Sufficiency AnalysisMethods for Evaluating Capital SufficiencyDeterministic Fore

16、casting MethodPortfolio growth in a deterministic model occurs in a straight-line manner.Inputs: a RortfOliOrretIJrTl assumption, the current value of the portfolio, anticipated future Contributionsto the portfolio, and cash flows from the portfolio that represent client needs (according to the clie

17、nts goals).While Simpleto understand, the deterministic method is typically unrealistic with respect to the variability in potential future outcomes.3.1CapitalSufficiencyAnalysisMethodsforEvaluatingCapitalSufficiencyMonteCarlosimulationMonteCarlosimulationallowsawealthmanagertomodeltheUnCertaintYOfS

18、eVeralkrvvariablesand,therefore,theuncertaintyorvariabilityinthefutureoutcome.MonteCarlosimulationgeneratesrandomoutcomesaccordingtoassumedprobabilitydistributionsforthesekeyvariables.Inputs:SomeMonteCarlosimulationsoftwarerequiresSePaQteassetclassassumptions-SUChassimpleaveragereturn,standarddeviat

19、ion,andcorrelationwithotherportfolioassetclassesratherthanassumptionsattheOVerallPOrtfoliolevel.3.1CapitalSufficiencyAnalysisInterpretingMonteCarloSimulationResultsMonteCarloSimulationResultsPercentileYear10Year15Year20PortfolioValuePortfolioValuePortfolioValue5th$3,519,828$3,651,264$3,647,32825th$1

20、,981,861$1,698,449$1,530,37250th$1,239,837$843,820$569,97475th$765,821$305,126($249,205)95th$197,17?$264.048!$1402.608)SuccessfulTrials98%88%69%Thetablealsoshowsthepercentageoftrialsatagivenhorizoninwhichtheclientsuccessfullyachievedherobjective.Wealthmanagerstendtoguideclientstowarda75%-90%probabil

21、ityofsuccess,althoughnoindustrystandardra11Reexists.3.2RetirementPlanning:MortalityTablesAmortalitytableindicatesindividuallifeexpectanciesatspecifiedages.Inpractice,awealthmanagercanuseamortalitytabletoestimatethepresentvalueofaclientsretirementspendingneedsbyassigningassociatedprobabilitiesbasedon

22、lifeexpectancytoannualexpectedcashoutflows.Onepotentialdrawbacktousingmortalitytablesisthatanindividualclient,sprobabilityoflivingtoacertainagemayexceedthatOftheReneralPODuIation.PlanYearCIJentAgeLifeExpectancySurvivalProbabilityO7212.0oo%17311.497%27410.893%37510.290%4769.726%5779.182%-I5z493.2Reti

23、rementPlanning:AnnuitiesAnnuitiesprovideaSerieSOffixedpayments,eitherforlifeorforaspecifiedperiod,inexchangeforalumpsumpayment.ArelativelySimPIeWaYOfCalCUIatinHthepresentValreofaclientsdesiredretirementspendingisbypricinganannuity.TwobasicformsaretheImmediateannuityandthedeferredannuity.Withanimmedi

24、ateannuity,anindividual(calledthewannuitantw)paysaninitiallumpsum,typicallytoaninsurancecompany,inreturnforaguaranteeofspecifiedfuturemonthlypaymentsbeginningimmediatelyoveraspecifiedperiodoftime.Withadefeedannuity,thespecifiedfuturemonthlypaymentsbeginatalaterdate.1.ifeannuitiesarethoseinwhichthein

25、comestreamcontinuesaslongastheannuitantlives.Lifeannuitieshelptomitigatelongevityrisk.16-49IMHlM亚国WiIBU_3.2BehavioralConsiderationsinRetirementPlanningHeightenedlossaversion.Somestudiessuggestthatretireesaremuchmoreloss-aversethanyoungerinvestors.ConsumptiongapsDuetolossaversionanduncertaintyaboutfu

26、turefinancialneeds,manyretireesSDendIeSSthaneconomistsWOUldpredict,resultinginagapbetweenactualandpotentialconsumption.Theannuitypuzzle/Whileannuitiescanhelptomitigatelongevityriskand,insomecases,mayimprovetheprobabilityofretireesmeetingtheirspendingobjectives,Individualstendnottoprefertoinvestinann

27、uities.17-49ExplanationsforthepuzzleincludeinvestorsXelUetanCetoriveUPhopeOfSUbStantiallifSStyleimprovement,theirdislikeOfloSmgControlOVRrtheassets,and,inmanycases,thehimhCoStOfannuities.雪生国新IBU4InvestmentpolicystatementTheinvestmentpolicystatement(IPS)isawrittenplanningdocumentthatdescribesaclient,

28、sinvestmentobjectivesandrisktoleranceoverarelevanttimehorizon,alongwiththeconstraintsthatapplytotheclientsportfolio.TheIPSisalsoanoperatingmanual,listingkeyongoingmanagementresponsibilities.AdvantagesOneadvantageisthattheIPSencouragesinvestmentdisciplineandreinforcestheclientscommitmenttofollowthest

29、rategy.AsecondadvantageisthattheIPSfocusesonlong-termgoalsratherthanshort-termperformance.，4InvestmentpolicystatementInvestment P*r*mtrs WPortfolio Mn9mnt *Risk TOleranCe Investment Time Horizon Asset Class Preferences Liquidity Preferences ConstraintsBackground and Investment ObjectivesDiscretionar

30、y Authority Rebalancmg UctK4 Changes ImpiementattonWe*hh Manager Reiponsibilities IPS ReviewModeled Poafo1。BehaVlor IPS AppendixCapital Market ExpectationsStrategicAssetAllocationPortrolioAssetAllocationDW and RMponsibHitm19-49M业国i fill TdCJAs5Allocation5.2PortfolioReportingandReviewPortfolioReporti

31、ngPortfolioreportinginvolvesperiodicallyprovidingclientswithinformationabouttheirinvestmentportfolioandperformance.Reflectstrategicassetallocationtargets;Detailedperformancereport;Historicalperformancereport;Contributionandwithdrawalreport;Purchaseandsalereport;Currencyexposurereport;Inherentconflic

32、tbetweentheclient*sinvestmenthorizonandperformanceevaluationhorizon；Goalsbasedinvesting-focusonthecliet,sprogresstowardagoal;Benchmarkreports.PortfolioReportingPortfolioreviewsprovideanopportunityforthewealthmanagertorevisittheclientsinvestmentplanandreinforcetheappropriatenessofthestrategy.Revisitt

33、heclientsinvestmentplanandreinforcetheappropriatenessofthestrategy;Inquiresaboutanychangesintheclientsobjectives,risktolerarce,ortimehorizon;Comparisonoftheclientsassetallocationtothetargetallocation.Tbekeydifferencebetweenportfolioreportingandportfolioreviewisthatthewealthmanagerismoreactivelyengag

34、edinareview.20-49MW国新11.5.3EvaluatingtheSuccessofanInvestmentPrograrrTGoalAchievement.Asuccessfulinvestmentprogramforaprivateclientisonethatachievestheclientsgoals/objectiveswithanacceptableamountofrisk.Theclientshouldremainlikelytomeethisorherlong-termobjectiveswithoutmeaningfuladjustmentstotheplan

35、.ProcessConsistency.PortfolioPerformance.absoluteorrelativebenchmarkactualdownsideriskDefinitionsofSuccess.7.PrivateClientSegmentsSummaryM亚国新 IBU SegmentsAssetLevelservicepersonnelCharacteristicsRobo-advisorsless$250,000Robo-advisorslow-cost;smallportfolio;MVO;ETF;mutualfund;MassAffluent$250,000to$1

36、millionprofessionalwealthmanagerbuildtheirportfolio;financialplanningneeds;noncustomized;High-Net-Worth$1millionto$50millionspecializedadvisersmorecustomizedstrategies；taxplanning;wealthtransferissues;Ultra-High-Net-Worthover$50millionawiderrangeofserviceneedsmplextaxsituations,estateplanning,billpa

37、yment,nciergeservices,travelplanning,andadviceonacquiringhigh-endassets：familyoffice.23-493.SimpleTaxEnvironment雪生国新IBIi；TaxesandPrivateWealthManagementInvestmentincometax(accrualtaxes):FVIFn=1+R1-T1)nDeferredcapitalgainstax(MV=costbasis):FVIFcGf=(1+R)n(I-Tcg)+TcgDeferredcapitalgainstax(MVcostbasis)

38、FVFcgf=(1+R)n(I-Tog)J+TcgBWealth-basedtax:FVFw三(l+R)(1-Tw)nReturnafterrealizedtaxes:Rrt=R(1PT-P0Td-PCGTCG)Accrualequivalentafter-taxreturn:Accrualequivalenttaxrate:T三1-RaeRACTaxdragInvestmentincometax(accrualtaxes):taxdragtaxratelongerinvestmenthorizongreatertaxdraghigherinvestmentreturn*greatertaxd

39、ragDeferredcapitalgainstax:Taxdrag=Taxratelongerinvestmenthorizon.unchangedtaxdrag,butlargervalueoftaxdeferredhigherinvestmentreturnunchangedtaxdrag,butlargervalueoftaxdeferredWealth*basedtax:TaxdragTaxratelongerinvestmenthorizongreatertaxdraghigherinvestmentreturn*lowertaxdragACCrUalTaXationAccrual

40、taxesarepaidperiodically(e.g.,annually)(1+R)-RxTn=1R(I-T)nFuturevaluA=PV1+R(1-T)nTaxesarepaideachperiod,sotheperiodicreturnontheaccountistheafter-taxreturn,R(I-T)Theamountoftaxremovedfromtheaccounteachperioddoesnotearnfuture(compounded)returnsThereductioninreturncausedbythepaymentoftaxesisreferredto

41、astaxdragAccrualTax1,Taxdrag%taxrate2,Investmenthorizonincrease=taxdrag$&%increase3,Investmentreturnincrease=taxdrag$&%increaseDeferredcapitalgaintaxCostbasisHowever, the cost basis is often different from the investment current value. For example, the cost basis could be the original purchase price

42、 and the current value of $1,000 represents the original cost plus unrealized capital gains.All else equal, reducing the cost basis increases the realized capital gain, increases the amount of capital gains taxes due, and reduces the net selling price. Thus we modify our deferred capital gains tax f

43、ormula to account for the basis (B):FVlFCGL Hl+R)Na-TCG) + TcgB=(1+R)* (I-Tcg) + Tcg-(I-B)TcgU&ingTCGasthetaxrateoncapitalgains,theafter-taxfuturevalueinterestfactorfordeferredcapitalgainsFVFcgt)is：FVlFCGTWM-IlF!J*展=(1+M-展a+*TCG=HEU-MLSummarizingthesamethreerelationshipsweexaminedforaccrualtaxes,wes

44、eethattheyarequitedifferentwhenCaPitalgainstaxesareappliedonadeferredbasis：1.Taxdrag%=taxrate.2.Astheinvestmenthorizonincreasesntaxdrag%isunchanged.3.Astheinvestmentreturnincreases=taxdrag%isunchanged.Inaddition,whentaxesaredeferred:4.Asinvestmenthorizonincreasesnthevalueofthetaxdeferralincreases.26

45、-495.Asinvestmentreturnincreases=thevalueofthetaxdeferralincreases.宣我国新ISII一Wealth-basedtaxesInsomecountries,wealth-basedtaxesareassessedannually(similartoaccrualincometaxes)onthevalueofassetsheld.Unlikeaccrualtaxesandcapitalgainstaxes,whicharepaidonjusttheinvestmentreturn,wealth-basedtaxesareapplie

46、dtoboththeprincipalandreturn.Theyaremostoftenappliedtorealestate,asintheU.K.Fortunatelythewealth-basedtaxrateisusuallylowerinpercentagetermsthanaccrualandcapitalgainstaxrates.ContinuingthenotationfrombeforeexceptthatTWisthewealth-basedtaxrate,thefuturevalueinterestfactorafterthewealth-basedtax(FVIFwt)is:FVIFwi=(1+R)(1-Tw)nForwealth-basedtaxes,thethreeprimaryrelationshipscanbesummarizedas:1.Taxdrag%taxrate.2.Asinvestmenthorizonincreasesntaxdrag%andtaxdrag$increase.3.Asinvestmentreturnin