1. Investment Governance: 投资时候的职责和权利
① The organization of decision-making responsibilities
② Oversight of process;
③ Ensure decisions are made with the necessary skills and capacity;
2. Levels within governance hierarchy
● Governing investment committee;
● Investment staff;
● Third-party resources;(外部独立的第三方，外部也要有作用，主要是监管投资决策)
3. Elements of effective investment governance models
- Articulate the long- and short-term objectives of the investment program.
- Specify process for developing and approving the investment policy statement that will govern the day-to-day operations of the investment program.
- specify process for developing and approving the program's strategic ast allocation.
- Establish a reproting framework to monitor the program's progress toward the agreed-on goals and objectives.
- Periodically undertake a governance audit.
4. Governnance Audit: 第三方来做的
- Purpo: ensure that the establish policies, procedures, and governnance structures are effective.
- Performed by: independent third party
- Good governance
● Ensures the durability or survivability of the investment program
/ Avoid decision-reversal risk 防止卖在最高点，买在最低点
/ Consider the effect of investment committee member and staff turnover on the du rability of the investment program
/ Prevent key person risk
● Assures accountability
5. Economic Balance Sheet:
个人IPS中：
- Net worth：正常的资产和负债
- Net wealth：更加广义，在net worth + PV future earnings + PV of unvested pension benefit - PV of consumption - PV of bequest
==》Economic net worth
① Extended portfolia asts
--- For individual investors
/ Human ca pital (The PV of future earnings)
/The PV of pension income
/ The PV of expected inheritances
--- For institutional investors
/ Underground mineral resources
/ The PV of future intellectual prope rty royalties
② Extended portfolio liabilities
--- For individual investors
/The PV of future consumption + bequest
--- For institutional investors
/The PV of prospective payouts for foundations
6. Three broad approaches to ast allocation:
① Ast-only: Mean-variance optimization (MVO)
- focus solely on the ast side of the investor's balance sheet
② Liability- relative: Funding liabilities
-
provide for the money to ~ilities when they come due
- Liability driven investing (LDI) is an investment industry term that generally encompass ast allocation that is focud on funding an investor's liabilities
③ Goals-bad : Achieving the goals===>mental accoutning + Behavriol Portfoilio Theory
/ specify ast allocations for sub-portfolios each of which is aligned to lpld_g_ied oals ranging from supporting lifestyle needs to aspirational
/ Goals-bad investing (GBI) is an investment industry term that encompass the ast allocation focud on add ressing an investor's goals
7. Distinctions between liabilities for an institutional investor and goals for an individual investor - 机构的是 legal obligation or debt，conctractual liability； 个人的则是 lifestyle
- institutional：uniform in nature, sigle type； individual‘s goal many and varied
- 机构的liability更好cover，因为机构的liability被平均化了，则forcast with confidence；individual goals are not subject to the law of large numbers and average
8. Investment objectives:
* Sharp ratio 一般2就是说明这个策略不错了
9. Risk concept:
① Ast-only
- Primary measure of risk: volatility (standard deviation) of portfolio return
- Other risk nsitivities:
/ Risk relative to benchmarks : tracking risk (tracking error)
/ Downside risk
● mi-variance 半方差
● peak-to-trough maximum drawdown 最大回撤会导致提前赎回
● measures focusing on the extreme (tail) gment of the downside: Value at risk (VaR)在险价值：在一段置信区间内，往后用了100天还是365天，最后频率是一天/一年
95%，100天，daily VaR= 50万：
- 95%的把握我过去看了100天的数据，所以我下一天的最大的损失不会超过50万
- 5%的可能性，下一天的最大损失超过50万。
② Liabilities - relative
● Shortfall risk， 只有一种风险。minimization of shorfall risk
● Volatility of contributions needed to fu nd liabilities
③ Goal-bad
● Maximum acceptable probability of not achieving tools
10. Active risk就是tracking error也是tracking volatility
样本风险是样本超额收益率的样本标准差
11. Ast Class：资产大类的划分==>diversification
① homogeneous;
② mutually exclusive; 进了一个类别就去不了另一个类别
③ diversify;
④ preponderance of world investable wealth ；在全球占比要高
⑤ meaningful proportion of an investors’ portfolio. 在个人占比要高
12. Risk factor：由于各个ast class分散化后，风险因子可能会相似，所以风险因子要分散化
① Factor-bad ast allocation
- Modeling using ast class as the unit of analysis tends to obscure the possibilities nsitivity to overlapping a in risk factors；降低了因子之间的overlapping，以后就用risk factor去做资产配置比站在ast class 更加准确。
② The process of Factor-bad ast allocation
● Specify risk factors and the desired exposure to each factor;
● Describe ast class with respect to their nsitivities to each of the factors;
● isolate explosure to the risk factor; 买小市值股票+shiort 大市值
● Map back a choice of risk exposures in factor space to ast class space for implementation;
③ 常用的因子：
- CAP
- 财务资金/估值ROE，PE
- 资金流因子
avoid risk factor overlapping
④ 如果获得这些因子的risk 也为了获得risk 的 return
-
Inflation. Going long nominal Treasuries and short inflation-lin ked bonds isolates the inflation component.
- Real interest rates. Inflation-lin ked bonds provide a proxy for real interest rates.
- US volatility. VIX (Chicago Boa rd Options Exchange Volatility Index) futures provide a proxy for im plied volatility.
- Credit spread. Going long high-quality credit and short Treasuries/government bonds isolates credit exposure.
- Duratian. Going long 10+ year Treasuries and short l-3 year Treasuries isolates the duration exposure being to rgeted.
12. Global Market Portfolio:
Global market portfolio sums all investable asts (global stocks, bonds, real estate, and so forth) held byinvestors, and reflects the balancing of supply and demand across world markets.
- Minimize non-diversifiable risk
- most efficient u the risk budget
- Mitigate investment bias, such as home country bias.
* Global Market-vakue weigthed portfolio should be considered as a ba line ast allocation 13. AO only ---》 MVF ---》 最终目标是：效用最大化
Utillity = 好处 - 坏处 = 收益 - 风险 = expected return - 1/2 * A * σ^2
* 1/2 只是对我不利的风险
* A：个人的风险系数，A越高对风险越是厌恶。
配置在风险资产上的最优权重，
* utility 针对 w_i求导
** 权重=（1/风险厌恶程度）*sharp ratio*(1/σ）。用sharp ratio来对抗厌恶程度。
13. Two dimensions of passive/active choices
① Passive/active management of the strategic ast class weights; (whether to deviate from the SAA tactically or not) 站在整体
② Passive and active management of allocation to ast cass; 对于某个资产大类
14. Tactical ast allocation (TAA) involves deliberate short-term deviations from the strategic ast allocation;
- Dynamic ast allocation (DAA): a strategy incorporating deviations from the strategic ast allocation that a remotivated by longer-term valuation signals or economic views;
* DAA CME(资本市场预期变化就会改变SAA)
15. Passive/Active Management of Allocatians to Ast Class
- Passive does not react to changein the investor's CME or insights into individual investments；被动投资不会随着CME变化而变化
- Active will respond to changing CME or insights resulting in changes to portfolio composition;
16. Factors influencing where to invest an the passive/active spectrum
① Available investments;
② scalability of active strategies being considered；主动投资的市场容量（1000万可以表现很好，要是1000亿就因为市场规模太大了就反应不好了）
③ The feasibility of investing passively while incorporating client-specific ESG investing crite ria); Environmental Social Government是否友好
④ Beliefs concerning market informational efficiency市场越是有效，越是被动投资
