2013cfa三级中文年CFA培训项目

1、2013年CFA三级培训项目SS5: Portfolio management for institutional investors教育资深培训师日期：地点： ：教育资深培训师、通过CFA三级、通过FRM二级授课：主讲CFA一级、二级、三级固定收益、衍生产品，一级、二级数量分析和组合管理、经济学、职业课程等。，FRM一级二级，RFP投资策划专业能力：讲课幽默风趣，最擅长的是将复杂问题简单化，通过举大量实例帮助学员理解复杂问题。金融理论知识扎实，在金融教学中有自己独到的方法。多年对CFA、FRM、RFP等体系的研究使她全面掌握考试重点，尤其擅长经济学、投资学课程的讲授，能将复杂的理论具体化，在

2、授课过程中能够从考生角度出发，提供自己在备考过程中的经验和方法，帮客户：生更好的准备、工商。、中国、瑞穗实业、基金、太平洋保险等。联系方法：katherine100% Contribution Breeds Profesalism2-91Topic in CFA Level III100% Contribution Breeds Profesalism3-91SS 12ETHICS & PROFESAL STANDARDSSS 3BEHAVIORAL FINANCESS 4PRIVATE WEALTH MANAGEMENTSS 5PORTFOLIO MANAGEMENT FOR INSTITU

3、TIONAL INVESTORSSS 6CAPITAL MARKET EXPECIONS IN PORTFOLIO MANAGEMENTSS 7ECONOMIC CONCEPTS FOR ASSET VALUATION IN PORTFOLIO MANAGEMENTSS 8ASSET ALLOCATIONSS 9MANAGEMENT OF PASSIVE AND ACTIVE FIXEDE PORTFOLIOSSS 10PORTFOLIO MANAGEMENT OF GLOBAL BONDS AND FIXEDDERIVATIVESSS 1112EQUITY PORTFOLIO MANAGEM

4、ENTSS 13ALTERNATIVE INVESTMENTS FOR PORTFOLIO MANAGEMENTSS 14RISK MANAGEMENTSS 15RISK MANAGEMENT APPLICATIONS OF DERIVATIVESSS 16EXECUTION OF PORTFOLIO DECIS;MONITORING AND REBALANCINGSS 17PERFORMANCE EVALUATION AND ATTRIBUTIONSS 18GLOBAL INVESTMENT PERFORMANTANDARDSFramework of SS5SS 5: Portfolio M

5、anagement for Institutional InvestorsR15: Managing Institutional Investor PortfoliosR16: Linking PenLiabilities to AssetsR17: Allocating Shareholder Capital to PenPlans100% Contribution Breeds Profesalism4-91Framework of SS5SS5: Portfolio Management for InstitutionalInvestorsR15: Managing Institutio

6、nal Investor Portfolios100% Contribution Breeds Profesalism5-91Institutional Investors Overview)te100% Contribution Breeds Profesalism6-91Securities portfolio is residual use of funds, after meeting loan demand but plays key role in managing risk (market & credit) & liquidity vs.liabilitiesBslife(in

7、c. health, property and casualty, and surety )LifeHybrid plans combine desirable features (to employee of DC plans (portability,ease of admin, comprehensibil by participants) and DB plans (benefit guarantees, linked to years of service and salary)e.g. cash benefit plans, penequity plans, benefit pla

8、ns, floor plansESOPsDC planst invest all/the majority of planassets in employer stocky contribution is a % of payvalue of plan for employe depends on vesting schedule, level of contributions, and change in value of stock persharePortfolios segmented to match liabilities, plurplusInsuranceCompaniesEn

9、dowments (provide permanent funding)Foundations(grant-making)Defined Contribution(Risk borne by employee)Know prosand consDefined Benefit(Risk borne by employer)CharitabodiesPenplansInstitutional InvestorsSix types of institutional investorshe Level 3 curriculum: plansPenFoundationsEndowmentsLife in

10、surance companieslife insurance companiesBs100% Contribution Breeds Profesalism7-91General PenDefinitionsnplan is a portfolio of assetst supports futureretirement benefits. The promise is a liability of the plan sponsor.The plan sponsor is the ernment entity, aanization (e.g., a corporation, aprofit

11、anization)t funds thepenplan.Plan participants are those receiving a promise of retiremente from the penplan.100% Contribution Breeds Profesalism8-91Types of PenPlansDefined Contribution (DC) = Individual IPSEmployers only obligation is to make contributions to employeespenplans and provide an adequ

12、ate number of alternativeinvestment choiEmployee owns assets (portable), makes investment deci bears all investment risk, receives tax deferral benefits and in retirement selects lump sum or paymentsDefined Benefit (DB)s, andEmployer must manage the plan assets and bear investment riskPenbenefits ar

13、e the employers finanl liabilityEmployee receives payments but iif they leave the firm earlybject to early termination risk100% Contribution Breeds Profesalism9-91Types of PenPlansCash balance planA hybrid definedbenefit plant maains individual accountrecords for plan participants showing their curr

14、ent value of accruedbenefit.These plans differ slightly from traditional definedbenefit plans int an account, ratherindividual.Profit sharing plann an actual fund, is maained for eachDefinedcontribution plan whose contributions are establishedsomewhat by the profitability of the plan sponsor.DC PenP

15、lanDefinedcontribution (DC) penplans comewo forms:Participantdirected and sponsordirected.In a sponsordirected DC (e.g., profit sharing plan), the sponsorselects the investments.In a participantdirected DC plan, the employees allocate retirement funds (employee and employer contributions) among a li

16、st of mutual funds provided by the sponsor.100% Contribution Breeds Profesalism11-91DB PenPlanPenPlan FundingFunded sus is the relationship betn the present value of thepenplan assets and the present value of the penplanliabilities.Fully funded means the present value of the penplan assets isliabili

17、ties.greatern or equal to the present value of the penSponsors caneast temporarily stop making contributions to theplans asset base.Underfunded means the present value of penplan assets is lessn the present value of the penplan liabilities. Underfundedplans may require the sponsors to make spel cont

18、ributions to theplan in addition to the usual, regular contributions.Surplus is the difference betn the present value of penplanassets and the present value of penplan liabilities.100% Contribution Breeds Profesalism12-91DB PenPlanPenPlan LiabilitiesAccumulated benefit obligation (ABO) is the total

19、present value ofpenliabilities to date, aming no further accumulation ofbenefits. In effect, ABO is the penplan sponsor terminated existence.benefits due to participants if theProjected benefit obligation (PBO) is the ABO plus projections of futureemployee compensation increases. The PBO is the penl

20、iability for agoing concern and is the liability figure used in calculating fundedsus.Total future liability is a measure of penliabilityt is the mostcomprehensive, because it takeso account not only compensationchanges, but also changeshe workforce and benefit changesassoted with inflation. Total f

21、uture liability is often used when settingobjectives withhe investment policy sement (IPS).Retired lives is the number of plan participants currently receivingbenefits (i.e., retirees currently receiving retiremente).Active lives is the number of plan participants not currently receivingpen13-91 ben

22、efits (i.e., those working toward retirement).100% Contribution Breeds ProfesalismDB PenPlans收益确定型的主要目的是确保资产足够支付负债，所以可以采用资产负债管理法（asset liability management，ALM），其是基金盈余（fund surplus）。收益确定型的风险管理须关注基金盈余的波动性（volatility），或者关注缺损风险（shortfall risk）。如果现在基金处于盈余状态（overfunded），则须设法保持，以确保未来不用供款或供款波动性最低。100% Cont

23、ribution Breeds Profesalism14-91Definedbenefit & Definedcontribution plans100% Contribution Breeds Profesalism15-91Plan typesEmployerEmployeeDBLiability of employerDetermined by sed criteria usually related to years of service and salarySponsor (employer) is responsible for managing the plan assetsR

24、eceive periodic payments starting at retirement or other dateSubject to “early termination” risk if employee is terminated earlyNot bear risk/return consequen of investmentDefinedbenefit & Definedcontribution plans100% Contribution Breeds Profesalism16-91DCFirm keeps all contributions current.Only f

25、inan l liability is making contributions to employees account.The plan must offer sufficient investment vehiclesOwn the plan and can transport account to other employment situations.Bear all risk/return consequen of investmentMust make all investment decis given available investment vehicles.Penrisk

26、 factors: Plan surplus, sponsor finanl sus and profitability, sponsor and penplan fund common risk exures, plan features, workforce characteristicsDB PenPlans: Return ObjectiveDB PenPlans: Return ObjectiveGoal is for assets to generate return sufficient to covPVA PVLenliabilities:Specific return req

27、uirement depends on funded s(assets) relative to accrued benefits (liabilities)us and contributionsMinimization of contributions is a more realistic objective.Return objective may be higher if the sponsor is trying to lower futurecontributions or wants to recognize pene on itsesementTypical return o

28、bjectives:Adequate funding rate, inflation adjustedMatch a benark return %um return for a given level of riskAbsolute return objective e.g., 7%The return objective is generally established by the actuarial discount rate determined by an actuary using an assetliability study100% Contribution Breeds P

29、rofesalism17-91DB PenPlans: Return ObjectiveDesired Return vs. Required ReturnDesired/Stretch return is a returnmanagement and generally highert is often desired byn the required returnSet higherfuture penn required return with the goal to reduce or eliminatecontributionsRate maybe too high and exvo

30、latilitye assets to unnesary risk andMay not beheerest of plan participantsReturn objective may be more aggressive when the workforce is youngerLess aggressive for retired lives portionReturn objective may be separate for active and retired livesportion of penplathe exam, examine the case carefully1

31、00% Contribution Breeds Profesalism18-91DB PenPlans: Return Objective收益目标：收益确定型的首要收益目标是确保资产足够支付负债。对于目前盈余（overfunded）的养老基金，某些发起人还会考虑如何使盈余最大化或者使以后的供款最小化指路：具体收益的计算要依据题目所给的具体条件。100% Contribution Breeds Profesalism19-91DB PenPlans: Risk Tolerance风险目标: 收益确定型发起人的财务状况和的风险度主要取决于计划的盈亏状态，能力，发起人和退休金计划基金的风险共性，计划

32、本身特征和劳动力特征等，详见下表：100% Contribution Breeds Profesalism20-91CategoryVariableExplanationPlan susPlan funded sus (surplus or deficit)Highensurplus or higher funded sus imps greater risk toleranceSponsor finanl sus and profitabilityDebt to total assets Current and expected profitabilityLow debt ratios an

33、d higher current and expected profitability imply greater risk toleranceDB PenPlans: Risk Tolerance100% Contribution Breeds Profesalism21-91CategoryVariableExplanationSponsor and penfund common risk exuresCorrelation of sponsor operating results with pen asset returnsThe lower the correlation, the g

34、reater risk tolerance, all else equal.Plan featuresProvifor early retirementprovifor lump sum distributionSuch options tend to reduce the duration of plan liabilities, implying lower risk tolerance, all else equalWorkforce characteristicsAge of workforce, Active lives relative to retired livesThe yo

35、unger the workforceand the greater the proportion of active lives, the greater the duration of plan liabilities and the greater the risk tolerance.Investing PenPlan AssetThe correlation betn investment performance of penassets and the operating performance of the companyIf the performance of the pla

36、n assets and firm operations are highly correlated:When penassets are generating high returns simultaneouslywith high operating profits,the probability of the firm having to make be low.ncontribution may The ability of the firm to make contributions is high at the same time t the plan is fully or ev

37、en overfundedWhen penassets are generating low returns simultaneously withlow operating profits,the probability of the firm having to make be high.ncontribution may The ability of the firm to make contributions is low at the same time t the plan may be underfunded100% Contribution Breeds Profesalism

38、22-91DB PenPlans: Risk ToleranceIncreased risk tolerance (ability)Larglan surplus.PVA PVLGreater funded sus.higher cushionLower firm debt.lower debt/equity ratioHighrofitability.higher expected profitabilityYounger average age/greater active lives.Going concern plan.Provis for early retirement and l

39、umpsum distributions reduceability to take risk100% Contribution Breeds Profesalism23-91DB PenPlans: Risk ToleranceFor DB plans, risk relative to liabilities is keyAsset/Liability management is a subset of the overall risk managementTypical risk objectives include:Standard deviationerms of the surpl

40、us100% funded sus vs. future liabilityFunded sus to avoid reporting penliabilityObtain a certain level of funding sus100% Contribution Breeds Profesalism24-91DB PenPlans: ConstrasLiquidity1. Workforce Mix (retired vs. active lives)Greater retired lives, increased liquidity needs2. Sponsor contributi

41、ons vs. benefit paymentsHighrofitability reduliquidity needs3. Plan featuresEarly retirement or lump sum proviTime Horizons increase liquidity needsDetermined by two factors: Whether the plan is a going concern(multistage) or is a terminated plan (single stage)The active lives portion of the plan wi

42、ll indicate a time horizonassoted with expected term to retirement.The retired lives portion will indicate a time horizon as a function oflife expectancy for those currently receiving benefits.100% Contribution Breeds Profesalism25-91DB PenPlans: ConstrasLegal and RegulatoryMost countries federally

43、regulate penplansManager should conform to the local regulationshe U.S., ERISA requires sponsors to exercise due diligence when makinginvestment decisERISAs overriding standard ist the assets should be managed for theplan participants, not the sponsorConsulion wippropriaegal experts is encouragedTax

44、es and Unique CircumstanPenplans are taxexempt, no tax constrasERISA requires due diligence, but small sponsors may nove the planresouror expertise to thoroughly investigate alternative assets (e.g.,derivatives, hedge funds, etc.)Penplans may ime requirementst prohibit investment in sometraditional

45、or alternative asset choi100% Contribution Breeds Profesalism26-91IPS for DB regulation由于计划涉及退休雇员的保障计划，几乎每个国家都对计划制定了相关的规定或者条例，以确保计划的正常，社会的稳定。的实践：从1974年开始实施的雇员退休收入保障法(Employee Retiremente Security Act, ERISA)。该项法案充分强调了固定并作出了如下四方面的规定。计划参与人的权益，所有计划的决策都必须只服务于“参与人和受益人的利益”，计划发起人/受托人的职责就是向计划参与人/受益人提供退休金收益或

46、支付合理的计划管理费用，投资决策过程中任何的利益for the soleerest of plan participants）投资组合必须尽可能的分散化,以减小应该从投资组合的角度来衡量投资的风险都是不合法的。（Must be invested损失的风险。程度，不能因为一项投资的风险等级相对较高就认定该项投资是“不审慎的” (这一点是ERISA较以往法律的一个突破)。审慎的标准被定义为“尽职、熟练、谨慎、勤奋”，也就是通常所说的“审慎人原则”（Prudent Expert Rule）所有的参与养老基金决策的理事会成员、投资管理人、等等都必须遵守这一原则。100% Contribution Br

47、eeds Profesalism27-91Hybrid Plans and ESOPCash balance plansA cash balance plan is a type of definedbenefit plant defines thebenefiterms of an account balance.ESOP (Employee stock ownership plans)An ESOP is a type of definedcontribution benefit plant allowsemployees to purchase the company stock, so

48、metimes at a discountfrom market price.It should be notedt just as winy definedcontribution plan,the benefiry must be aware of the risk of holding too much of thecompanys stock as a proportion of total retirement assets.100% Contribution Breeds Profesalism28-91Cash Balance PlansA cash balance plan i

49、s a defined benefit plant defines the benefit intermst are more characteristic of a defined contribution plan. In otherwords, a cash balance plan defines the promised benefiterms of a sedaccount balance instead of as a series of monthly payments for life to begin at retirement in a traditional DB pl

50、an.How do cash balance plans work?In a typical cash balance plan, a participants account is credited each year pay credit (such as 5 percent of compensation from his or herwiemployer) and anerest credit (either a fixed rate or a variable ratet islinked to an index such as the oneyear Treasury bill r

51、ate).Increases and decreaseshe value of the plans investments do not directlyaffect the benefit amounts promised to participants. Thus, the investmentrisks and rewards on plan assets are borne solely by the employer.100% Contribution Breeds Profesalism29-91Cash Balance Plansamet a participans an acc

52、ount balance of $100,000 when he or shereaches age 65.If the participant decides to retire att time, he ord have the rightto an annuity of approximay $10,000 per year for life.any cash balance plans, however, the participant could instead choose(with consent from his or her spouse) to take a lump su

53、m benefit equal to the$100,000 account balance.Also, cash balance plans often permit vested participants to choose (withconsent from their spouses) to receive their accrued benefits in lump sums if they terminate employment prior to retirement age, which traditional definedbenefit penplans do not of

54、fer as frequently.100% Contribution Breeds Profesalism30-91Cash Balance PlansLike a DB plan, employer bears investment riskLike a DC plan, participant receivesshowing the account balancersonalized sementThe balance only represents a liability, not an actual account inwhich funds have been deitedFaci

55、lies portability to a new plan100% Contribution Breeds Profesalism31-91Employee stock ownership plansAn employee stock ownership Plan ( ESOP ) is a type of defined contributionplant allows employees to purchase the company stock , sometimes at adiscount from market price .The purchase can be with be

56、fore or after tax dollars, and the final balance inthe benefiry s account reflects the increasehe value of the firms stockas well as contributions during employment.ESOPs receive varying amounts of regulation in different countries.100% Contribution Breeds Profesalism32-91Employee Stock Ownership Pl

57、ansThese are DC plansemployer stockContributions set invest most or all of the plans assets inrcentage of employee payKey ie for participant is if the company fails, participant couldfind value of ESOP drop as well as being unemployedESOP value at risk = EmploymenriskDiversify away from company hold

58、ingsCompanies have used ESOPs to:Liquidaarge blocks of company stockAvoid public offeringsFend off hostile takeovers since most stock held by company employees100% Contribution Breeds Profesalism33-91Institutional InvestorsSix types of institutional investorshe Level 3 curriculum:PenplansFoundations

59、EndowmentsLife insurance companieslife insurance companiesBs100% Contribution Breeds Profesalism34-91Foundations and endowmentsFoundations and endowments provide vital support for much of todays philanthropic and charitable activities.Foundations are typically grantmaking institutions funded by gift

60、sand investment assets. (Ford, Rockefeller, and Gates foundations)Endowments, on the other hand, are longterm funds generallyowned by operatingprofit institutionch as universities andanizations involved incolleges, museums, hospitals, and othercharitable activities. (Harvard, Yale and Princeton univ