投资组合目标设定

投资计划书的必要性
• Helps investors understand their own needs, objectives, and investment constraints 理解并明确现实投资者的目标和风险
水平
• Sets standards for evaluating portfolio performance评估投资组合绩效的标准 • Reduces the possibility of inappropriate behavior on the part of the portfolio manager 保护客户免受pm错误投资和不道德行为的侵害
通常是指减少最初的收益支付,但支付会随 着时间而增长并最终超过收益目标的支付 水平。以收益增长作为主要目标的基金经 常要求收益的年增长率至少等于通胀率.
14 12 10
价值100,000美元的初始投资 GOI:B收益率8%,收益增长率4%,
A收益:收益率10%
B组合:收益增长目标
A组合:收益目标
1999
第二章 组合目标设定和 投资计划书
引言
• 投资目标是投资过程中最为重要的步骤， 也可以作为法律依据 • 投资目标的三个维度：时间、收益、风 险——投资必要收益率的三个组成部分 • 核心是客户对风险－收益的要求和资金的 使用期限
引言
• 中国的情况：无对冲手段，克服风险的手 段只有Timing • 对上市公司深入的了解是克服风险的手段 吗？ • 融资融券、股指期货的推出对中国股市的 影响
2 投资限制
• Liquidity needs流动性
– Vary between investors depending upon age, employment, tax status, etc.
• Time horizon时间限制
– Influences liquidity needs and risk tolerance
投资计划书的要素 1 投资目标
• Risk Tolerance • Absolute or relative percentage return • General goals
1 投资目标
General Goals
• Capital preservation本金的安全性
– minimize risk of real loss
The Importance of Asset Allocation
• According to research studies, most (85% to 95%) of the overall investment return is due to the first two decisions, not the selection of individual investments
Investment Objectives
General Goals
• Total return总收益率
– Increase portfolio value by capital gains and by reinvesting current income – Maintain moderate risk exposure
• Capital appreciation资本增值
– Growth of the portfolio in real terms to meet future need
• Current income当前收入
– Focus is in generating income rather than capital gains
传统的投资组合目标 •如果投资目标是保本,可以通过投资市政债券共同 基金来获得免税收益. •对以收益作为目标的投资组合来说，直接投资市 政债券是适当的。 •对收益增长目标，同时投资市政债和普通股也是 必要的。 •对寻求从投资组合中获得资本增值的投资者来说, 期望其投资组合也产生免税收益是不现实的.
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传统的投资组合目标 资本增值(capital appreciation)：如果基金 经理拥有这样的投资组合,他们对资本价值持 续增长比对从中获得额外收益更感兴趣. 他们的目标就是看政府对利息和股利是 否立即征税,资本利得则要在实现后才征税.这 意味着除非这确实需要这笔收益,否则1美元的 资本利得就大于1美元的现金收益. 未实现的资本利得比现金收益更有价值。
2 投资限制
• Tax concerns税收考虑
– Capital gains or losses – taxed differently from income – Unrealized capital gain – reflect price appreciation of currently held assets that have not yet been sold – Realized capital gain – when the asset has been sold at a profit – Trade-off between taxes and diversification – tax consequences of selling company stock for diversification purposes
制定投资计划书-总结
• Objectives - risk and return • Constraints - liquidity, time horizon, tax factors, legal and regulatory constraints, and unique needs and preferences • Developing a plan depends on understanding the relationship between risk and return and the the importance of diversification
3 法律和监管因素
• Limitations or penalties on withdrawals • Fiduciary responsibilities ―prudent man‖ rule • Investment laws prohibit insider trading
5 特殊要求
• Personal preferences such as socially conscious investments could influence investment choice • Time constraints or lack of expertise for managing the portfolio may require professional management • Large investment in employer’s stock may require consideration of diversification needs • Institutional investors needs
Constructing A Policy Statement
Questions to be answered:
• What are the real risks of an adverse financial outcome, especially in the short run? • What probable emotional reactions will I have to an adverse financial outcome? • How knowledgeable am I about investments and the financial markets?
Constructing A Policy Statement
• What other capital or income sources do I have? How important is this particular portfolio to my overall financial position? • What, if any, legal restrictions may affect my investment needs? • What, if any, unanticipated consequences of interim fluctuations in portfolio value might affect my investment policy?
传统的投资组合目标
收益:收益型基金目标主要从固定收益证 券和普通股股息中获得收益。
例——新发行的五年期国债的利息率为6%， 假定基金经理以面值买进10，000美圆，每 年可获得600美圆利息，比银行大额存单多 获100美圆，这就是收益。
传统的投资组合目标 收益增长 (income growth)：这个目标
投资组合的目标 四项基本目标: (1)保本 (2)收益 (3)收益增长 (4)资本增值（成长）
传统的投资组合目标
保本:重点在于保持基金的“初始”本金ቤተ መጻሕፍቲ ባይዱ
价值.通常受益人不能容忍任何本金损失. •当投资组合目标是保本时,适当的投资工 具包括银行大额存单和其他货币市场工具. 例——面额为10，000美圆一年期银行大 额存单年息为5%。任何时候不能以低于 “初始”本金的价格出售。
引言
• 洋洋洒洒的招募说明书有用吗？ • 招募说明书只需把两件事情说清楚：
– 投资者面临的最大风险时的情形 – 影响收益和投资策略的资金使用期限
投资组合管理的过程
1. 投资计划书Policy statement
–specifies investment goals and acceptable risk levels –should be reviewed periodically经常
–allocate available funds to minimize investor’s risks and meet investment goals
投资组合管理的过程 4. Monitor and update
–evaluate portfolio performance –Monitor investor’s needs and market conditions –revise policy statement as needed –modify investment strategy accordingly
资产配置的重要性
The Importance of Asset Allocation
• An investment strategy is based on four decisions四个决策
– What asset classes to consider for investment什么样的资产类别可以进行投资 – What normal or policy weights to assign to each eligible class权重如何 – Determining the allowable allocation ranges based on policy weights资产配置比例范围 – What specific securities to purchase for the portfolio应该买入哪些证券
审视
–guides all investment decisions指引
所有的投资决策
投资组合管理的过程 2. 研究金融和经济现状并预测未来 其趋势
–determine strategies to meet goals –requires monitoring and updating
投资组合管理的过程 3. 构建投资组合
传统的投资组合目标
收益:收益目标与保本目标不同,收益目标
并没有强行规定本金价值不能定期下降. 但国债可以挂牌交易,且对利率敏感.如果 一般利率水平提高,债券价值就下跌.在账 面上,基金会产生损失. 如果将它们持有到到期日,本利收回就 会使账面损失消失;但如果债券持有人认 为必须在到期日前卖出就很容易造成损失.