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

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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,andleveragelevelsaffectthechangeinmarketvalueofequityis:EA4ALM-力A/%LL(AThepreviousequationcanbetweakedslightlytoassessthesensitivityofth