海外资金深度研究解密加拿大养老金管理投资之道
机构:兴业证券
投资要点
★CPPIB作为全球前五大养老金管理机构之一,运作独立于政府,唯一的职责在于保证计划参与者回报持续最大化。
加拿大养老投资管理局(CanadaPensionPlanInvestmentBoard,CPPIB)是加拿大最大的养老金管理机构,负责对加拿大多层次养老保障体系中第二支柱加拿大养老金(CPP)不用于支付退休福利的资产进行市场化投资。与政府统一管理的传统基础养老方式不同,CPPIB的管理独立于加拿大联邦政府,一定程度上能够保证计划参与者的利益,同时通过高度透明的方式运作,维持公众的信任。CPPIB在成立初期以低成本的被动指数投资管理为主,但面临一系列全球政治、经济波动后,于2006年转向积极的主动投资策略。
★CPPIB过去十年超过一半时间录得双位数收益,未来将扩大对新兴市场投资。截至2019年3月31日,CPPIB管理规模达3920亿加元,过去10年复合增长率11.1%(名义增长率),预计到2030年将达到8000亿加元,约为目前的2.5倍。2019财年,CPPIB增加了32亿加元的净投资收益,总投资收益率为8.9%,与上一年相比有所下滑,主要原因在于新兴市场表现不佳。从各类配置资产的情况来看,私募股权类投资是贡献收益的主要来源。持仓结构上,CPPIB对海外资产持仓超80%,主要集中在美国等发达国家,亚洲和拉美合计仅24%,但对新兴市场的投资规模占比在2025年将达到整体持仓的三分之一。
★CPPIB重仓股七大特征。
CPPIB的公开市场股票持仓中,近85%的占比配置在海外市场,因此我们选取海外持仓市值排名前50的重仓股来对CPPIB的投资行为更深入的研究,六大特征值得关注:1)90%的公司持仓时间3年以上,符合CPPIB长期资金理念;2)平均超额收益率约120%,投资腾讯获得30倍超额收益;3)美股持仓过半,板块配置均衡;4)CPPIB偏好大市值个股,55%的持仓集中于千亿市值公司;5)70%持仓公司的市盈率低于30倍;6)超60%公司近三年业绩复合增速高于50%;7)对中国企业的持仓规模在新兴市场中占主导,偏好可选消费板块。
★CPPIB投资之道:四大组合+三大收益来源。
为了平衡风险与收益最大化之间的冲突,CPPIB构建出由基准组合、战略投资组合、目标组合、总组合组成的“总投资组合框架”。其中基准组合来决定风险偏好以及考核标准,战略投资组合和目标组合共同决定目标资产配置比例,总投资组合则负责风险管理。长期以来,CPPIB凭借专业化的投资管理和风险控制获得了高于基准的超额收益,其优异表现的来源主要包括三个方面:多元化投资、α策略以及逆向操作,其中多元化投资是贡献收益的主要来源。
风险提示:本文基于BCPPIB的历史数据进行客观分析,不构成任何投资建议。
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