CFA三级基础段培训项目：机构的投资组合管理投资者（标准版）.docx

S6Bus 皿回fi?喘<工。Study Session 1-2Study Session 3Study Session 4Study Session 5Study Session 6Study Session 7-8Study Session 9-10Study Session 11Study Session 12-13Study Session 14Study Session 15Study Session 16TopicinCFALevelIIIETHICS&PROFESSIONALSTANDARDS&(2)BEHAVIORALFINANCECAPITALMARKETEXPECTATIONSNEWASSETALLOCATIONANDRELATEDIDECISIONSINPORTFOLIOMANAGEMENTDERIVATIVESANDCURRENCYMANAGEMENTNEWFIXED-INCOMEPORTFOLIOMANAGEMENT(1)&(2)EQUITYPORTFOLIOMANAGEMENTQ)&(2)ALTERNATIVEINVESTMENTSFORPORTFOLIOMANAGEMENTNEWPRIVATEWEALTHMANAGEMENT(1)&(2)NEWPORTFOLIOMANAGEMENTFORINSTITUTIONALINVESTORSNETRADING,PERFORMANCEEVALABON,ANDMANAGERSELECTlqNNEWCASESINPORTFOLIOMANAGEMENTANDRISKMANAGEMENTNEWFrameworkPortfolio Management forInstitutional InvestorsASS14PortfolioManagementforInstitutionalInvestorsR33PortfolioManagementforInstitutionalInvestors/CommoncharacteristicsofInstitutionalInvestors1.Pensionplan(DB&DC)2.Sovereignwealthfunds3.Universityendowments4.Privatefoundations5.Banks6.InsurersTypesofinstitutionalinvestorsintheLevel3curriculum:PensionplansSovereignWealthFundsUniversityEndowmentsandPrivateFoundationsBanksandInsurersNewSStakeholders1.LiquidityNeeds1.LiabilitiesandInvestmentHorizonEExternal Constraints(R)Risk(onlyforDB&DC)IInvestmentObjectivesOldLiquidity NeedsTime HorizonUniqueRisk (only for DB & DC)ReturnAAssetAllocation2008PensionPlan2009PensionPlan,Endowments&Foundation2010PensionPlan,LifeInsuranceCompany2011Endowments&Foundation2012PensionPlan2013PensionPlan,Endowments&Foundation2014PensionPlan,Endowments&Foundation2015PensionPlan,Endowments&Foundation2016Endowments&Foundation2017PensionPlan2018Endowments&FoundationPortfolioManagementforInstitutionalInvestorsScale(i.e.,assetsize):Theissueofscaleisrelevantforinstitutionalinvestorsbecauseitmayimpactinvestmentcapabilities,accesstostrategies,liquidity,tradingcosts,andotherkeyaspectsoftheinvestmentprocess.Institutionalinvestors*assetsundermanagementcanrangefromrelativelysmall(e.g.flessthanUS$25million)torelativelylarge(e.g.,morethanUS$10billion).Smallerinstitutionsmayfacechallengesthatunabletoaccesscertaininvestmentsthathaveahighminimuminvestmentsize./Smallinstitutionalinvestorsmayalsofacechallengesinhiringskilledinvestmentprofessionals.Theyaremorelikelytooutsourceinvestmentstoexternalassetmanagersandrelyoninvestmentconsultants.Largerinstitutionalinvestorsexperiencescalebenefitsthatallowthemaccesstoawiderinvestmentuniverse,andtheycanreadilyhireinvestmentprofessionals.1.ong-terminvestmenthorizon:Institutionalinvestorsgenerallyhavealong-terminvestmenthorizonthatisoftendeterminedbyaspecificliabilitystream,suchasthebenefitobligationofapensionplan,thespendingpo11cyofanendowment,orotherobligations.Pensionfunds,sovereignwealthfunds,endowments,andfoundationsalltypicallyhavelonginvestmenthorizonsandrelativelylowliquidityneeds./Lc)WIiqUidityneedsallowtheseinstitutionstoinvestinabroadrangeOfalternativeassetclasses,includingprivateequity,privaterealestate,naturalresources,infrastructure,andhedgefunds.Banksandinsurancecompanies,however,tendtobemuchmoreasset/liabilityfocusedwhileoperatingwithintightregulationsdesignedtoensureadequacyofcapital.Governanceframework:Institutionalinvestorstypicallyimplementtheirinvestmentprogramsthroughaninvestmentofficethatoftenhasaclearlydefinedgovernancemodel.Thegovernancestructuregenerallyincludesaboardofdirectorsandaninvestmentcommittee.Theboardand/orinvestmentcommitteeprovideakeyroleinestablishingtheorganization'sinvestmentpolicy,definingtheriskappetite,settingtheinvestmentstrategy,andmonitoringtheinvestmentperformance.Theboardmaycomprisecompanyrepresentativedirectors,employeerepresentativedirectors,andindependentdirectors./Independentdirectorsareusuallyselectedtoincreasetheboard'soverallinvestmentexpertise.Investmentcommitteescanbesub-committeesoftheboardwithdelegatedauthoritytooverseeinvestmentpolicy.Regulatoryframeworks:Institutionalinvestorsmustcontendwithmultipleregulatoryframeworksthatfrequentlyvarybyjurisdictionandcomplexityandareoftenevolving.Regulationshavebeentightenedsincethe2007-2009globalfinancialcrisisinanattempttolowerleverage,increasecentralizedclearing,andimprovereportingtransparency.Principal-Agentissues:Asinstitutionalinvestorsmanageassetsonbehalfofothers,principal-agentissuesmustberecognizedandmanagedappropriately.Forinstitutions,thisconflictoccursinternallythroughtheappointmentoftheinvestmentcommitteeandinvestmentstaffandoccursexternallythroughtheuseofoutsourcedinvestmentmanagers.OverviewofIPSTheIPSestablishespoliciesandproceduresfortheeffectiveadministrationandmanagementoftheinstitutionalassets.Awell-craftedIPScanhelpFninimiZePrinCipal-agentChallengeSbyprovidingclearguidanceonday-to-daymanagementoftheassets.TheIPSshouldinclude:Theinstitution'