一、课程适用于2016年CFA3级考生

二、本课程根据最新考试大纲及官方教材讲解

三、课程主要知识点见下方课程知识点介绍！

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主讲人介绍

宋老师：德国金融学硕士，具有丰富的金融市场知识和相应的技术分析能力，就职于德企从事信息类统计研究分析工作。4年CFA授课经验，生动形象的表达以及细致的分析帮助学员理解抽象繁杂的理论知识点。主讲二级权益投资、公司金融及投资组合管理，三级课程。

课程介绍

R13

可以说机构投资者IPS写作规律性还是比较强的，我想大家只要掌握：一些因素影响liquidity needs以及time horizon,后二者又影响risk tolerance，而risk tolerance又影响return objective 的总体设定；把控以上大致规律是答题思路的关键。

机构投资者历年考察的重点无疑是pension plan里的DB（两种考法：IPS写作，ALM）；剩下的Foundations, Endowments二者很相像，可以放在一起学；Life insurance我个人认为比较难，但是考的应该不会很难，理解disintermediation与duration mismatch是关键。Non-life insurance与Banks从来没有考过。

机构投资者IPS写作上午肯定出一道大题，有时也有可能再额外加一道关于pension fund的低分值题。总体来讲其思路比较规范化，所以难度与个人IPS写作相比有少许降低。主要介绍了6大类机构投资者，其中IPS写作主要考的是DB plan，Foundations，Endowments，Life insurance company。我在课件的讲解中会具体介绍

1. 各类机构的工作原理以及对IPS制定的影响（基本思路为liquidity needs, time horizonèrisk objective, ability to take riskèreturn objective, calculation）；

2. 每一块内容所需要的答题要点（比如factors affecting ability to take risk）都进行了归纳总结；

3. 每一个要点都附有答题模板，这样考试时直接往上套就很容易拿分；

4. 按照每个机构的类型，把历年的相应考题进行了分科以及考法上的统计；

5. 按照每个机构的类型，各挑选一道具有代表性的历年真题来进行思路及答题方式的讲解，这样保证做完这道题后，能对其他同类型的题做到触类旁通。

6. 对于其他一些非IPS写作的知识点，比如DB与DC对比，寿险与非寿险对比，foundation与endowment的对比，我们也会有清晰的覆盖。

另外需要特殊强调的是：DB plan，Life insurance company采用的是asset-liability management（ALM）方法，这里与固定收益部分中的duration matching有知识联系；而 Foundations，Endowments则采用的是asset-only（AO）的管理方法。

R14

比较经典的一个reading，阐述了asset-liability management（ALM）在DB plan中的应用原则，读起来是比价抽象的，而且从历年真题来看也是很有难度。本reading的一个关键词就是mimicking，即如何根据pension liability的特征来更好的选用与之契合的pension asset，从而达到ALM最基本的目的。

1. 对于有些繁杂抽象的知识模块我们课程尽量采取一图流的形式，这样把基本框架以及配套细节全部体现在一个big picture中，便于理解及记忆。

2. 由于本reading教材中没有例题，不便于理解，我们会结合知识点配有相应教材课后习题的讲解，同样达到例题的目的。注意，本reading的教材课后题很有价值，有些题和历年真题的形式非常相近。

课程主要知识点

Reading 13 Managing Institutional Investor Portfolios

a contrast a defined-benefit plan to a defined-contribution plan and discuss the advantages and disadvantages of each from the perspectives of the employee and the employer;
b discuss investment objectives and constraints for defined-benefit plans;
c evaluate pension fund risk tolerance when risk is considered from the perspective of the 1) plan surplus, 2) sponsor financial status and profitability, 3) sponsor and pension fund common risk exposures, 4) plan features, and 5) workforce characteristics;
d prepare an investment policy statement for a defined-benefit plan;
e evaluate the risk management considerations in investing pension plan assets;
f prepare an investment policy statement for a participant directed defined-contribution plan;
g discuss hybrid pension plans (e.g., cash balance plans) and employee stock ownership plans;
h distinguish among various types of foundations, with respect to their description, purpose, and source of funds;
i compare the investment objectives and constraints of foundations, endowments, insurance companies, and banks;
j discuss the factors that determine investment policy for pension funds, foundation endowments, life and non-life insurance companies, and banks;
k prepare an investment policy statement for a foundation, an endowment, an insurance company, and a bank;
l contrast investment companies, commodity pools, and hedge funds to other types of institutional investors;
m compare the asset/liability management needs of pension funds, foundations, endowments, insurance companies, and banks;
n compare the investment objectives and constraints of institutional investors given relevant data, such as descriptions of their financial circumstances and attitudes toward risk.

Reading 14 Linking Pension Liabilities to Assets

a contrast the assumptions concerning pension liability risk in asset-only and liability-relative approaches to asset allocation;
b discuss the fundamental and economic exposures of pension liabilities and identify asset types that mimic these liability exposures;
c compare pension portfolios built from a traditional asset-only perspective to portfolios designed relative to liabilities and discuss why corporations may choose not to implement fully the liability mimicking portfolio.

经典机构IPS真题讲解