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1、INVESTMENTS | BODIE, KANE, MARCUSCopyright 2011 by The McGraw-Hill Companies, Inc. All rights reserved.McGraw-Hill/IrwinCHAPTER 28Investment Policy and the Framework of the CFA InstituteINVESTMENTS | BODIE, KANE, MARCUSThe Four Stages of the Investment Process1.Specifying objectives2.Specifying cons
2、traints3.Formulating policy4.Monitoring and updating portfolio2INVESTMENTS | BODIE, KANE, MARCUSSpecifying ObjectivesInvestment managers must assess the level of risk investors can tolerate in pursuit of higher returns.Objectives and risk tolerance differ by type of investor.3INVESTMENTS | BODIE, KA
3、NE, MARCUSFigure 28.1 CFA Institute Investment Management Process4INVESTMENTS | BODIE, KANE, MARCUSTable 28.1 Components of the Investment Management Process5INVESTMENTS | BODIE, KANE, MARCUSTable 28.2 Components of the Investment Policy Statement6INVESTMENTS | BODIE, KANE, MARCUSTable 28.3 Determin
4、ation of Portfolio Policies7INVESTMENTS | BODIE, KANE, MARCUSTable 28.4 Matrix of Objectives8INVESTMENTS | BODIE, KANE, MARCUSLiquidityEase (speed) with which an asset can be sold and created into cashInvestment horizon - planned liquidation date of the investmentRegulationsPrudent investor ruleTax
5、considerationsUnique needsSpecifying Constraints on Investment Policies9INVESTMENTS | BODIE, KANE, MARCUSTable 28.5 Matrix of Constraints10INVESTMENTS | BODIE, KANE, MARCUSPolicy StatementsThe Policy Statement (IPS) provides for:Governance of the investment program,The appropriate asset allocation,R
6、oles of internal and/or external managers,Monitoring the results, Risk management,Appropriate reporting,AccountabilityA course of action in case of market turmoil11INVESTMENTS | BODIE, KANE, MARCUSAsset AllocationBy far the most important part of policy determination is asset allocation, that is, de
7、ciding how much of the portfolio to invest in each major asset category.1.Specify asset classes2.Specify capital market expectation3.Derive the efficient portfolio frontier.4.Find the optimal asset mix.5.Manage taxes.12INVESTMENTS | BODIE, KANE, MARCUSManaging Portfolios of Individual InvestorsHuman
8、 capital and insuranceInvestment in residenceSaving for retirement and the assumption of riskRetirement planning modelsManage your own portfolio or rely on others?13INVESTMENTS | BODIE, KANE, MARCUSTax Sheltering for Individual InvestorsTax-deferral option - controlling the timing of gains on invest
9、ments.Tax-deferred retirement plansIRAsKeogh plansDeferred annuitiesFixedVariableVariable and universal life insurance14INVESTMENTS | BODIE, KANE, MARCUSPension FundsDefined contribution plansInvestment policy is essentially the same as for a tax-qualified individual retirement accountDefined benefi
10、t plansContractual arrangement setting out the rights and obligations of all parties15INVESTMENTS | BODIE, KANE, MARCUSPension FundsThe tax status of pension funds makes them favor assets with the largest spread between pretax and after-tax rates of return.Pension funds make use of immunization.Inve
11、sting in equities occurs for both correct and wrong reasons.16INVESTMENTS | BODIE, KANE, MARCUSInvestments for the Long RunAdvice from the mutual fund industry:Dont try to outguess the market by moving your money in and out. Buy and hold instead.Diversify to reduce risk.Put money in stocks, bonds, a
12、nd money market mutual funds.Avoid keeping 401(k) money in a companys low-risk default investment scheme.Be wary of investing a large percentage of your 401(k) in your companys stock.17INVESTMENTS | BODIE, KANE, MARCUSInvestments for the Long RunInvestment horizon determines which risk-free rate to choose.Make simple investment choices such as TDRFs (target date retirement funds).Inflation risk and long-term investors:TIPS are helpful but not really risk-free.Market value can fluctuate.Reinvestment rate risk18
