CFA三级知识点必备：Institutional Investors-打印版

Portfolio

Managementfor

Institutional

Investors

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1-16

1.Investment

approach–4

models

2-16

InvestmentApproaches

¾Theinvestmentportfolioofaninstitutionalinvestorisdesignedtomeetits

objectivesandshouldreflecttheappropriateriskandliquidity

considerationsaddressedintheIPS.

¾Whileinstitutionalinvestorseachhaveuniqueliabilitycharacteristics,four

differentapproachesevolved,including:

zNorwayModel;

zEndowmentModel;

zCanadaModel;

zLiabilityDrivenInvesting(LDI)Model.

3-16

InvestmentApproachDescription

¾NorwayModel(sovereignwealthfund)

zTraditionalstylecharacterizedby60%/40%equity/fixed-income

allocation,fewalternatives,largelypassiveinvestments,tighttracking

errorlimits,andbenchmarkasastartingposition.

zPros:Lowcost,transparent,suitableforlargescale,easyforboardto

understand.

zCons:Limitedvalue-addedpotential.

¾EndowmentModel(universityendowmentˈҏᴹSWF,DB)

zCharacterizedbyhighalternativesexposure,activemanagementand

outsourcing.

zPros:Highvalue-addedpotential.

zCons:Expensiveanddifficulttoimplementformostsovereignwealth

fundsbecauseoftheirlargeassetsizes.Highfees/costs

4-16

InvestmentApproachDescription

¾CanadaModel(pensionplanˈҏᴹSWF)

zCharacterizedbyhighalternativesexposure,activemanagement,and

internallymanagedassets.

zPros:Highvalue-addedpotentialanddevelopmentofinternal

capabilities.

zCons:Potentiallyexpensiveanddifficulttomanage.

¾LDIModel(banks&insurersˈҏवᤜ㖾ഭⲴDB઼䜘࠶⅗⍢ޫ㘱䠁)

zCharacterizedbyfocusonhedgingliabilitiesandinterestraterisk

includingviaduration-matched,fixed-incomeexposure.Agrowth

componentinthereturn-generatingportfolioisalsotypical(exceptions

beingbankandinsurancecompanyportfolios).

zPros:Explicitrecognitionofliabilitiesaspartoftheinvestmentprocess.

zCons:Certainrisks(e.g.,longevityrisk,inflationrisk)maynotbehedged.

5-16

2.SWF

6-16

2.SovereignWealthFunds(SWFs)

¾Sovereignwealthfunds(SWFs)arestate-ownedinvestmentfundsorentities

thatinvestinfinancialorrealassets.GovernmentshaveestablishedSWFs

frombudgetsurplusestomeetdifferentobjectives.

¾TheInternationalMonetaryFund(IMF)hasdefinedfivebroadtypesof

sovereignwealthfunds

Type

Objective

Examples

Setuptoinsulatethe

budgetandeconomyfromStabilizationFundofChile;

commoditypricevolatilityTimor-LestePetroleumFund;

EconomicandSocial

Budget

stabilization

funds

andexternalshocks.

Russia’sOilStabilizationFund

Establishedtoallocate

Developmentresourcestoprioritysocio-

Mubadala(UAE);Iran’sNational

DevelopmentFund;Ireland

StrategicInvestmentFund

funds

economicprojects,usually

infrastructure.

7-16

SovereignWealthFunds(SWFs)

Type

Objective

Examples

Intendedtosharewealth

acrossgenerationsby

AbuDhabiInvestment

Authority;KuwaitInvestment

Savingsfundstransformingnon-renewableAuthority;QatarInvestment

assetsintodiversified

financialassets.

Authority;Russia’sNational

WealthFund

Intendedtoreducethe

negativecarrycostsof

ChinaInvestmentCorporation;

ReservefundsholdingreservesortoearnKoreaInvestmentCorporation;

higherreturnonample

reserves.

GICPrivateLtd.(Singapore)

Setuptomeetidentified

futureoutflowswithrespectNationalSocialSecurityFund

Pension

topension-related

(China);NewZealand

reservefundscontingent-typeliabilitiesonSuperannuationFund;Future

governments’balance

sheets.

FundofAustralia

8-16

LiquidityNeeds

Development

Funds

Low

High

Reserve

Funds

Budget

StabilizationFunds

SavingFunds

Accumulation

stage

Decumulation

stage

PensionReserveFunds

9-16

SWFs:InvestmentObjectives

SWFType

InvestmentObjectives

zCapitalpreservation

zAimstoearnreturnsaboveinflationwithalow

probabilityoflosses

zShouldavoidassetscorrelatedwiththesourceof

governmentrevenues

Budget

stabilization

zSupportanation’seconomicdevelopmentandincrease

long-runeconomicgrowth

zImplicitobjectiveistoearnarealrateofreturngreater

thanrealdomesticGDPgrowthorproductivitygrowth

Development

zMaintainpurchasingpoweroftheassetsovertimewhile

makingongoingspendingongovernmentbudgetary

needs

Savings

Reserve

zEarnarateofreturninexcessoftheyieldthe

government/centralbankpaysonbondsithasissued

Pension

reserve

zEarnreturnstomeetfutureunfundedpensionandsocial

carepaymentspromisedbythegovernment

10-16

SWFs:AssetAllocation

¾Budgetstabilizationfunds

zFixedincomeandcash

¾Developmentfunds

zDrivenbythesocioeconomicmissionofthefund(e.g.,investmentin

localinfrastructureprojects).

¾Savingsfunds

zHighallocationstowardequitiesandalternativeinvestments,suchas

privateequityandrealassets.

¾Reservefunds

zSimilartosavingsfunds,butlowerallocationtoalternativesduetothe

potentiallyhigherliquidityneeds.

¾Pensionreservefunds.

zHighallocationstoequitiesandalternatives.

11-16

3.Balance

Sheet

Management

12-16

Banks&Insurers:BalanceSheetManagement

¾Anexpressionthatcaptureshowchangesinthemarketvalueofassets,

liabilities,andleveragelevelsaffectthechangeinmarketvalueofequityis:

οܧοܣܣ

οܮܣെܧ

οܣܣ

οܮܣ

ൌ

െ

ൌ

െ

െͳ

ܧ

ܣ

ܧ

ܮ

ܧ

ܣ

ܧ

ܮ

ܧ

¾Thepreviousequationcanbetweakedslightlytoassessthesensitivityof

theinstitution'sequitycapitaltoaunitchangeinthereferenceyield,y,of

theassets(i.e.,themodifieddurationoftheequitycapital).Thisequationis:

οܧ

οܣ

ܣ

οܮο࢏

ܮο࢏οݕ

ܣ

ܧ

ൌ

െ

െͳ

ܧοݕܣοݕܧ

οܹ

ܹοݎ

ܣ

ܧ

ܣ

ܧ

ο݅

οݕ

ܦכൌെ

ௐ

՜ܦכൌ

ܦכെ

஺

െͳܦכ

௅

ா

9i:yieldsofliabilitiesy:yieldsofassets

13-16

Banks&Insurers:BalanceSheetManagement

¾Volatilityisdefinedhereasstandarddeviation,whereߪοாȀாǡߪο஺Ȁ஺andߪο௅Ȁ௅

representthestandarddeviationsofthepercentagechangesinmarket

valueofequitycapital,assetholdings,andliabilityclaims,respectively.

zFurthermore,–1≤ρ≤1denotesthecorrelationbetweenpercentage

valuechangesofassetsandliabilityclaims.

䍴ӗⲴᵳ䟽ѪA/E;

䍏٪Ⲵᵳ䟽Ѫ–(A/E-1)

ܣ

ܣ

ܣܣ

ߪଶ

ൌሺሻଶߪଶ

൅ሺെͳሻଶߪെʹሺሻሺെͳሻ࣋ߪ

ଶ

ο஺ߪο௅

οாȀா

ܧο஺Ȁ஺

ܧ



ο௅

௅

ܧܧ



஺

௅

¾Italsoincorporatestheconceptofcorrelation,whichisanessentialelement

ofliability-driveninvesting.

zThevolatilityofthefinancialinstitution’sequitycapitaldecreasesasthe

correlationbetweenassetandliabilityvaluechanges(ρ)increases

toward+1.0.

14-16

Banks&Insurers:BalanceSheetManagement

ImpactonImpact

Strategy

Comments

Factor

on࣌

οࡱȀࡱ

Diversifiedfixedincomehasalower

standarddeviationthanotherriskier

assetclasses.

Holddiversifiedfixed-income

investments

Lowersߪ

Falls

஺

Holdhigh-qualityfixed-income

investments

There’salowerchanceofsignificant

lossinassetvalue.

Lowersߪ

Falls

Falls

஺

Maintainsimilarassetand

liabilitydurations,andmatch

asset/liabilityexposureto

Regulatorspenalizeinstitutionswith

highasset/liabilitymismatches.

Increasesߩ

borrowerandclaimantoptions

Mostregulatorsrequirereservesof

100%tobeheldagainstinvestments

incommonstock.

Holdcommonstock

investments

Increasesߪ;

Lowersߩ

஺

Rises

Themoreunderstoodandprotected

againstcounterpartydefaultthe

institutionis,thelesschancethereis

ofunexpectedlosses.

Lowers

Derivativestransparencyand

collateralization

ߪandߪ;

Falls

Falls

஺

௅

Increasesߩ

Holdmoreliquidportfolio

investments

Lowersߪ

஺

15-16

Banks&Insurers:BalanceSheetManagement

Impacton

Factor

Impact

Strategy

Comments

on࣌

οࡱȀࡱ

Surrenderpenalties

forinsurancecontracts

Penaltiescushion