《CFA三级知识点必备：Institutional Investors_打印版.docx》由会员分享，可在线阅读，更多相关《CFA三级知识点必备：Institutional Investors_打印版.docx（6页珍藏版）》请在三一办公上搜索。
1、，Portfolio1“Managementfor1.InstitutionalJAInvestorsACFA货漂笺亩箸，BobHong1-161.Investmentapproach-4models2-16行业&新NI1I.InvestmentApproachesTheinvestmentportfolioofaninstitutionalinvestorisdesignedtomeetitsobjectivesandshouldreflecttheappropriateriskandliquidityconsiderationsaddressedintheIPS.Whileinstitut
2、ionalinvestorseachhaveuniqueliabilitycharacteristics,fourdifferentapproachesevolved,including:NorwayModel;EndowmentModel;CanadaModel;1.iabilityDrivenInvesting(LDI)Model.InvestmentApproachDescriptionNorwayModel(sovereignwealthfund)Traditionalstylecharacterizedby60%40%equity/fixed-incomeallocation,few
3、alternatives,largelypassiveinvestments,tighttrackingerrorlimits,andbenchmarkasastartingposition.Pros:Lowcost,transparent,suitableforlargescale,easyforboardtounderstand.Coas:Limitedvalue-addedpotential.EndowmentModel(universityendowmentpmSWF,DB)Characterizedbyhighalternativesexposure,activemanagement
4、andoutsourcing.Pros:Highvalue-addedpotential.Cons:Expensiveanddifficulttoimplementformostsovereignwealthfundsbecauseoftheirlargeassetsizes.Highfees/costs4-16MH巨亚盅新tenInvestmentApproachDescriptionCanadaModel(pensionplanpmSWF)Characterizedbyhighalternativesexposure,activemanagement,andinternallymanage
5、dassets.Pros:Highvalue-addedpotentialanddevelopmentofinternalcapabilities.Cons:Potentiallyexpensiveanddifficulttomanage.1.DIModel(banks&insurersp罗DBJft踏瞅)Characterizedbyfocusonhedgingliabilitiesandinterestrateriskincludingviaduration-matched,fixed-incomeexposure.Agrowthcomponentinthereturn-generatin
6、gportfolioisalsotypical(exceptionsbeingbankandinsurancecompanyportfolios).Pros:Explicitrecognitionofliabilitiesaspartoftheinvestmentprocess.Cons:Certainrisks(e.g.,longevityrisk,inflationrisk)maynotbehedged.5-16HH玄亚&新III_2.SWF2.SovereignWealthFunds(SWFs)Sovereignwealthfunds(SWFs)arestate-ownedinvestm
7、entfundsorentitiesthatinvestinfinancialorrealassets.GovernmentshaveestablishedSWFsfrombudgetsurplusestomeetdifferentobjectives.TheInternationalMonetaryFund(IMF)hasdefinedfivebroadtypesofsovereignwealthfundsTypeObjectiveExamplesBudgetstabilizationfundsSetuptoinsulatethebudgetandeconomyfromcommoditypr
8、icevolatilityandexternalshocks.EconomicandSocialStabilizationFundofChile;Timor-LestePetroleumFund;RussiasOilStabilizationFundDevelopmentfundsEstablishedtoallocateresourcestoprioritysocioeconomicprojects,usuallyinfrastructure.eMubadala(UAE);Iran*sNationalDevelopmentFund;IrelandStrategicInvestmentFund
9、SovereignWealthFunds(SWFs)TypeObjectiveExamplesSavingsfundsIntendedtosharewealthacrossgenerationsbytransformingno-renewableassetsintodiversifiedfinancialassets.AbuDhabiInvestmentAuthority;KuwaitInvestmentAuthority;QatarInvestmentAuthority;RussiasNationalWealthFundReservefundsIntendedtoreducethenegat
10、ivecarrycostsofholdingreservesortoearnhigherreturnonamplereserves.ChinaInvestmentCorporation;KoreaInvestmentCorporation;GICPrivateLtd.(Singapore)PensionreservefundsSetuptomeetidentifiedfutureoutflowswithrespecttopension-relatedcontingent-typeliabilitiesongovernmentsbalancesheets.NationalSocialSecuri
11、tyFund(China);NewZealandSuperannuationFund;FutureFundofAustraliaLiquidityNeedsLowDevelopmentFundsHighSavingFundsReserveBudgetFundsStabilizationFundsAccumulationstageDecumulationJstagePensionReserveFundsSWFs:InvestmentObjectivesSWFTypeInvestmentObjectivesBudgetstabilizationCapitalpreservationAimstoea
12、rnreturnsaboveinflationwithalowprobabilityoflossesShouldavoidassetscorrelatedwiththesourceofgovernmentrevenuesDevelopmentSupportanationseconomicdevelopmentandincreaselong-runeconomicgrowthImplicitobjectiveistoearnarealrateofreturngreaterthanrealdomesticGDPgrowthorproductivitygrowthSavingsMaintainpur
13、chasingpoweroftheassetsovertimewhilemakingongoingspendingongovernmentbudgetaryneedsReserveEarnarateofreturninexcessoftheyieldthegovernment/centralbankpaysonbondsithasissuedPensionreserveEarnreturnstomeetfutureunfundedpensionandsocialcarepaymentspromisedbythegovernment10-16SWFs:AssetAllocationBudgets
14、tabilizationfundsFixedincomeandcashDevelopmentfundsDrivenbythesocioeconomicmissionofthefund(eg.,investmentinlocalinfrastructureprojects).SavingsfundsHighallocationstowardequitiesandalternativeinvestments,suchasprivateequityandrealassets.ReservefundsSimilartosavingsfunds,butlowerallocationtoalternati
15、vesduetothepotentiallyhigherliquidityneeds.Pensionreservefunds.11-16Highallocationstoequitiesandalternatives.M亚色新mu_3.BalanceSheetManagementBanks&Insurers:BalanceSheetManagementAnexpressionthatcaptureshowchangesinthemarketvalueofassets,liabilities,andleveragelevelsaffectthechangeinmarketvalueofequit
16、yis:EA4ALM-力A/%LL(AThepreviousequationcanbetweakedslightlytoassessthesensitivityoftheinstitutionsequitycapitaltoaunitchangeinthereferenceyield,y,oftheassets(i.e.,themodifieddurationoftheequitycapital).Thisequationis:i： yields of liabilities y: yields of assets13-1614-16写亚鼻新IttlBanks&Insurers:Balance
17、SheetManagementrepresentthestandarddeviationsofthepercentagechangesinmarket0valueofequitycapitalassetholdings,andliabilityclaims,respectively.IFurthermore,-1.LowersRisesMostregulatorsrequirereservesof100%tobeheldagainstinvestmentsincommonstock.DerivativestransparencyandcollateralizationLowers5and0;I
18、ncreasesPFallsThemoreunderstoodandprotectedagainstcounterpartydefaulttheinstitutionis,thelesschancethereisofunexpectedlosses.HoldmoreliquidportfolioinvestmentsLowersQFalls芸皿鼻新mt!_StrategyImpactonFactorImpacton比RCommentsSurrenderpenaltiesforinsurancecontractstowers町EFallsPenaltiescushionlosseswhenpol
19、icyholderscashinafterinterestrateshaverisen.PrepaymentpenaltiesondebtinvestmentsIncreasesPFallsPrepaymentswilloccurinalowinterestrateenvironment.Penaltiesonprepaymentshelp。仟Setrisingliabilitiesinafallingrateenvironment.CatastrophicinsuranceriskInCreaSeSCLRisesSuchlossesarelargeandunpredictableandwil
20、lcauseregulatorstodemandhigherreserves,investmentinmoreliquidassets,andmorerobustreinsuranceagreements.PredictabilityofunderwritinglossesDecreases5,FallsTotalinsuranceliabilitiesarelessuncertain.DiversifyinginsurancebusinessDecreasesOLFallsTotalinsuranceliabilitiesarelessuncertain.VariableannuitiesIncreasesPFallsAssetinvestmentgainsandlossesarepassedthroughtopolicyholdersduetothenatureofthecontract.16-16行业&iwitri
