C2各國退休基金管理及操作實務(Powerpoint)檔案下載

Part of Fleming Asset Management uv

Managing Pension Assets

Worldwide

• Alice Ho, Investment Director

Global Portfolios Group - Hong Kong

• 22 September 2000

• Investment Approach• Operations & Administration


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Managing Pens ion Assets WorldwideRecent Trends

• Deregulation, privatisation, reform and enhanced coverage will continue

• Pension Fund assets - larger in size and more specialisation

• Accountability and responsibility - formal channels for evaluation

• Unique pension needs / characteristics - different risk / return profiles

• Performance measurement - set standards / customised benchmarks

• Search for quality investment services - clear & lucid investment philos0phy


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0

20

40

60

80

100

0 5 10 15 20 25Years

$

29.53$

Value of $100 with 5% inflation

Preserving and Growing Real Value of Assets

• After 25 years, the value of $100 today is only worth $29.53 then.

• The law of diminishing return.


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, Equities Bonds and Inflation

• Equities are the best hedge against inflation ...... hence long-term preference

Source: CSFB UK Equity-Gilt Study - January 1999

'18 '22 '26 '30 '34 '38 '42 '46 '50 '54 '58 '62 '66 '70 '74 '78 '82 '86 '90 '94 '9810$

100$

1,000$

10,000$

100,000$

1,000,000$ Equities

Bonds

Retail Prices


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–Managing Government Assets Key Building Blocks

• – Looking at his tory as a reference long term

/ - 1970 1999Risk Return Profile Se lected Asse ts From January to December

* Local Currency


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Estimated Value of Pens ion Fund Assets( )US$bn

• Pension assets in major markets increased by more than 50% from 1993 to 1998

• The U.S. institutional market remains the largest in the world at about 57% of total

Source: Watson Wyatt


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United States 47 66Japan 45 55Netherlands 25 39Germany 4 13Switzerland 16 18Canada 46 52Ireland 62 64Australia 51 53UK 72 70Hong Kong 70 62

1993 (%)End of

• Equity proportion is growing rapidly

• Seems to be capped around 70% in mature markets

1998 (%)End of


Equitie s as a Proportion of Institutional Pension Fund Assets


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Hong Kong 44 45

Netherlands 16 23

Canada 15 16

Japan 8 19

United States 5 11

Germany 1 6

1993 (%)End of

• Growing willingness to invest in foreign assets

• Growth has typically been constrained by local governments who are now liberalising

1998 (%)End of


Fore ign Equities as a Proportion of Total Equitie s


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Pension Fund Assets Assets Managed by External Managers

• Increasing propensity to outsource to external specialists

1998End of



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Small Scale Large Scale

Level of Internal Resources in Pens ion Investment Matters

• The needs to outsource to external specialists has much to do with the

degree/level of internal resources in pension investment.


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Small Scale Large Scale

* Green area represents global consultants influence, and yellow relates to domestic consultant sway.

Extent of Influence Exercised by *Investment Consultants

• The lower the level of internal resources in pension investment the

higher the extent of influence exercised by global consultants.


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1998% of Asse ts


- Self Adminis tered Occupational Funds Using a Defined Contribution Arrangement


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–Managing Pens ion Assets Investment Manager Structure

• Single manager

• Multiple managers–Specialists

–Generalists style risk profile investment approach

–Mixed internal / external specialist / generalist

• ’ Unders tanding the client s needs


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Managing Pens ion AssetsFactors to Consider

• Setting long term strategic policy

Objectives GrowthMeet pension liabilities

Time Horizon Long (how long)

Unique Needs Regulatory requirementsDistribution / cash needsTax considerations


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Setting Investment Guidelines and Benchmark Indices

Managing Pens ion Assets

• Agreeing on performance measurement yardsticks

• Defining risk tolerance in qualitative and quantitative terms whenever possible

• Use a clear and easy-to-follow format on investment guidelines and restrictions

• Setting review schedules


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Fleming Asset Management WorldwideGlobal Reach

• Global reach

The Americas

New York 16

Rio de Janeiro 10

, Europe Africa and the Middle East

London 96

Moscow 2

Prague 3

Cairo 5

Cape Town/ Johannesburg 7

Gaborone 1

Harare 2

Asia Pacific

Tokyo 14

Taipei 18

Hong Kong 21

Mumbai 2

Bangkok 4

Singapore 3

Melbourne 5

209 investment professionals


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Fleming Asset Management

Fleming Asset Management

European Assets

London

Global Assets

London

Asian Assets

Hong Kong

US Assets

New York

Japanese Assets

Tokyo


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• Need to have investment professionals in local markets to understand local issues and be close to companies

• Choosing the best stocks is the best way of adding value in the long term

• Need to view the forces acting on stocks and markets in a global context

- Adding Value The Chase FlemingApproach


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The Global Portfolios Group

15%

21%17%

47%Investment TrustsGlobal SegregatedUnit TrustsPension Funds

• 194 clients in 12 countries, 159 benchmarks

• $17 billion under management as at 30 June 2000

• $11 billion managed via integrated global approach

• ’ Product range tailored to clients specific objectives


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Global Portfolios Group

• One team managing all global portfolios

London

15 InvestmentProfessionals

Hong Kong


Tokyo


Global Portfolios Group

17 US$ bn undermanagement


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Global Portfolios GroupTeam Members

Inves tment Profes s ionals Primary Respons ibilities Years Industry ExperiencePeter Harrison Head of Desk; Chair, Portfolio Review Group 12Howard Williams Chair, Model Portfolio Group 18James Fisher EAFE Mandates 15Ian Henderson Specialist Global Sector Funds 23Jonathan Lowe** HK Pension Fund Mandates 18David Atkinson* Kokusai Mandates / Chairman Sector and Themes 13 Sandeep Bhargava Fund Manager / Analyst 6Peter Warnes** Fund Manager / Analyst 11Simon O’Sullivan Fund Manager / Analyst 6Shoichi Mizusawa* Fund Manager / Analyst 3Tai Nakagawa* Fund Manager / Analyst 10Hugo Alexander Fund Manager / Analyst 3Che Chow Fund Manager / Analyst 6Edward Walker Analyst 3Tanya Clarke Analyst 2Roger Bacon Analyst 7Shane Duffy Analyst 1Tom Murray Analyst 4Anna Yeung** Implementation 2John Felicite Implementation 7Rob Lay Global Product Manager 11Alice Ho** Investment Director / Client Service Director 14Betty Au** Client Service 14Kwenny Sung** Client Service 7Gayda Humphries New Business Service Support 6

*based in Tokyo ** Based in Hong Kong


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Global Portfolios GroupInvestment Process – Highlights

• Process designed to satisfy most rigorous institutional clients

• Stock selection is key source of added value

• Use best ideas from the regional specialist teams

• Construct portfolios globally not as regional ‘silos’

• Use global sector analysts and quantitative techniques to ensure optional global industry exposures

• Clear focus on risk control and consistent incremental outperformance


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’ GPG s Investment ProcessThe coming together of key inputs

• ’ All clients funds cons is tent with model portfolio

TailorMade Client Portfolio

Model Portfolios

Stock

Ranking

Global S

ector

Research

Sector&

Them

es

Group

Asset

Allocation

Com

mittee

Model Portfolio Group/ Optimisation

MSCIEAFEModel

MSCIWorldModel

MSCIKokusaiModel

HongKongModel


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OurResearch Process

• , A clean disciplined and sys tematic process to asses growth and quality

Macroeconomic factors

Themes

Sectorial implications

Value

EPS Revisions

Price momentum

Business characteristics

Financial characteristics

Management factors

Stocks ranked 1-5 (strong buy - strong sell)

Quantitative

Thematic

Fundamental

Research


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Global Portfolios GroupDefining Characteristics

• Our portfolios own stocks which have the following characteristics

–improving returns

–inherent volume growth

–good business model

–improving ROE/ROC

–attractive valuations

• Process and philosophy aligned


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’ GPG s Research FunctionGlobal Sector Research

Global Sector Research

Regional analysts(stock rankings)

Model Portfolio Group

Basic Industries

Technology / Telecoms

Financials

Industrials

Consumer Staples

Consumer Discretionary

• Global industry comparisons: not primary research

• Global valuation comparisons - best in industry globally

Research


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Thematic Research

• Provides macro-economic input needed

• Key investment themes identified and their implications for each market sector analysed

• Current themes include

–digitalisation

–disintermediation

–globalisation

–intermediary pricing environment

• - To ensure cons is tency with long term economic and strategic views

Themes


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- Asset Allocation Inputs

Global

Regional

Value

Quality

Momentum

Fund flows

Valuation

Earnings revisions

Economic forecast & revisions

Politics/sentiment

Asset classrankings

aggressively overweight - aggressively underweight

Fundamental

Thematic

Quantitative

Asse tAllocation

• Based on rate of change analysis

• Identify major turning points in markets: not short-term tactical


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- Asset Allocation Information Flows

Output from quant mode l (monthly )

Asset AllocationTeam

Regional Specialists

Global Group and Distribution Businesses

QuantTeam

Fixed Income &Currency Team

Me dium te rm bond and curre ncy fore cas ts

(quarte rly )

Economic Analys is Inte rpre tation of e conomic inputs and fundame ntal driv e rs (quarte rly )

Marke t update s (monthly )

Asse t pre fe re nce s matrix

Re g ional analys is /minute s

“House Vie w” pre se ntation

The matic v ie ws


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PortfolioConstruction

AssetAllocation

SectorAnalysis

SecuritySelection

RiskControl

Global Portfolios GroupInvestment Process - The Key Steps


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Portfolio Construction ProcessLevels of Risk

1. Economic and financial risk

Real risk lies in the companies we own

• Investment process delivers— rigorously researched

stock ideas — global thematics— stock screening model

2. Benchmark risk( )portfolio

Statistical controls— tracking error

i. disaggregated (stock country, style, industry)

ii. stabilityiii.regional covariances— scenario testing— downside risk— assessment— external threats

• Minimum number of stocks

3. ( )Benchmark risk s tocks

Active money controls— country — sector— stock

• Three leve ls of risk control


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Risk Control

• Take stock rankings and build initial optimal portfolio

• Optimal portfolio characteristics:

–stock risk s70%

–country risk c15%

–sector risk s10%

–style risk s10%

• Main sanity checks:

–consistency with regional desk portfolios

–consistency with Sector & Themes output

–risk profile

• Control of risk key to achieving objectives


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• Investment Directors monitor day-to-day decisions of portfolio managers

• Front office software system- tracks holdings and weightings of

portfolios- on-line access to portfolios and dealers

• Accounts and Settlements Department monitor activities within a portfolio. e.g.- share transaction reports- valuations etc.

• External custodian- all trades details are sent to external

custodian for settlement and reconciliation purposes

• Compliance Department monitors adherence to investment guidelines, internal policies, external regulations, etc.

• All deals centralised through separate dealers

• Internal audit performs independent reviews of systems and controls

Transaction Monitoring Sys tems

( ( 400))UNIX AS

CentralDealing

InternalCompliance

Front Office Software System

( )OSIRIS Internal Audit

MonitoringAnd

Control of Portfolio

InvestmentDirectors

• Clear accountability

Portfolio ManagementMonitoring and Control


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Risk Management &Middle Office IM Business Information Process Flow

: NOVA is not an IM system.

Note: The diagram above depicts the major systems and data feeds involved in the IM business information flow; it does not cover all detailed data transmission between systems.

Confirmed Trades

PortfolioHoldings Stock

InfoTrades Info

Fund Info

Front OfficeProces s

Back OfficeProces s

OSIRIS

Decis ion Support

• view portfolio holdings• view transaction history• view cash movement• view bank balance• other queries• generate orders

Fund Manager

OES

Dealer

Execute Orders

• acknowledge orders• release orders• execute/allocate

orders• close orders• cancel orders• VWAP

MonitorOrders

• monitor progressof order process

• create orders

Report

Generate Reports

• mgmt reports• compliance reports• trade reports

JAFFA

• fund valuation

• stock master• broker master• settlement• others

Back office Tripwire

Front office Tripwire

Order

Potential AdvertentBreach

AcceptedOrder

Market Breach Report

*NOVA


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Summary

• Global organisation with local regional expertise

–breadth of expertise

–depth of investment resources

• Team approach to investment management rather than ‘star’ system

–consistent application of investment disciplines and method

• All clients receive our very best investment ideas and performance

–elimination of manager specific risk


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Client Services

• Monthly valuation reports

• Quarterly portfolios review reports

• Quarterly meetings

• Special market reports

• Ad hoc reports / meetings

• Full documentation tailored to clients’ requirements

• Performance analysis

C2各國退休基金管理及操作實務(Powerpoint)檔案下載

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