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포트폴리오 매니저 키트

기관 IPS, 전략적 자산배분 연구, 책임투자 및 의결권 행사 정책, IC 메모, 성과 요인 분석, GIPS 기반 컴포지트 보고서, 팩트시트.

1단계

정책

  1. Institutional Investment Policy Statement (IPS) Template

    전체

    Governance and RACI, return target, risk budget, constraints, SAA ranges and benchmarks, rebalancing, manager watch list, ESG, hedging, reporting, breaches

    ERISA s.404 and 29 CFR 2550.404a-1; UPMIFA s.3; UK SI 2005/3378 reg. 2; IORP II Art. 19, 25, 30; SRD II Art. 3g-3h

  2. Responsible Investment and ESG Policy Template

    전체

    Beliefs, governance, ESG integration, exclusions, sustainability risk, PAI, SFDR classification and fund names, climate targets, engagement, controls

    SFDR (EU) 2019/2088 Art. 3-9 and (EU) 2022/1288; Taxonomy (EU) 2020/852; ESMA fund names guidelines; SRD II Art. 3g; SEC Rule 206(4)-6

  3. Proxy Voting Policy Template (SEC Rule 206(4)-6, SRD II)

    전체

    Voting authority register, principles, topic guidelines, voting process, proxy adviser oversight, conflicts, share recall, non-voting, escalation, N-PX and SRD II disclosure, records

    SEC Rule 206(4)-6 and 204-2(c)(2); Form N-PX; SRD II Art. 3g; Reg (EU) 231/2013 Art. 37
2단계

설계

  1. Strategic Asset Allocation and ALM Study Template

    전체

    Liabilities, capital market assumptions, correlations, candidate portfolios, surplus VaR, hedge ratio, stress tests, liquidity, transition plan

    Mean-variance and surplus optimisation (Markowitz 1952); IORP II Art. 30; UK SI 2005/3378 reg. 2
3단계

의사결정

  1. Investment Committee Memo Template

    전체

    IC decision record: decision requested, thesis, mandate fit and limits, scenario expected return, sizing and liquidity, diligence, ESG, conflicts, minuted vote

    17 CFR 275.204-2 (adviser records); MiFID II Art. 16(6) and Delegated Reg 2017/565 Art. 72-76; AIFMD Art. 14-15 (as amended by Directive (EU) 2024/927)
4단계

모니터링

  1. Performance Attribution Report Template (Brinson)

    전체

    Returns vs benchmark, Brinson-Fachler and BHB effects, Carino linking, currency and fixed income attribution, Sharpe, IR, tracking error, factors

    Brinson-Fachler (1985) and Brinson-Hood-Beebower (1986) attribution; Carino linking

  2. Performance Composite Report Template (GIPS-aligned)

    전체

    Firm and composite definition, benchmark, annual returns with 3-yr SD and dispersion, fees, TWR/MWR method, valuation, errors, verification, checklist

    GIPS standards 2020 (names only); SEC Marketing Rule 206(4)-1

  3. Fund Factsheet Template (UCITS, SEC Marketing Rule)

    전체

    Key facts, objective, cumulative, annualised and calendar returns, risk indicators, holdings and sectors, costs, SFDR class, commentary, warnings by country

    Reg (EU) 2019/1156 Art. 4; ESMA34-45-1272; Delegated Reg (EU) 2017/565 Art. 44; SEC Rules 206(4)-1, 482