【NIFD季报】智利主权基金资产配置与投资运营情况研究——2024Q3机构投资者资产管理

Investment Rating - The report does not explicitly provide an investment rating for the industry or specific funds. Core Insights - Chile has established two sovereign funds, the Economic and Social Stabilization Fund (ESSF) and the Pension Reserve Fund (PRF), to address macroeconomic shocks and long-term pension liabilities [6][12]. - As of June 30, 2024, the ESSF has a net asset value of approximately $4.52 billion, while the PRF has a net asset value of about$9.11 billion, totaling around $14.63 billion, which is 4.4% of Chile's GDP for 2023 [6][12]. - The PRF's investment policy aims for an annualized return exceeding Chile's CPI + 2% over a 10-year period, with a probability greater than 60% [17]. - The current asset allocation of the PRF is 69% fixed income and 31% equities, reflecting a risk-return profile similar to a 30/70 global stock-bond mix [19][35]. Summary by Sections Sovereign Funds Overview - Chile's pension system reform in the 1980s led to the establishment of the ESSF and PRF to manage economic stability and pension reserves [6][8]. - The ESSF is designed to support fiscal spending during economic downturns, while the PRF is focused on pension and public welfare reserves [12][49]. Fund Performance and Asset Allocation - The PRF's asset allocation has evolved, with significant changes in response to economic conditions, including a shift towards higher equity exposure [22][28]. - As of June 30, 2024, the PRF's asset allocation includes 34% government-related bonds, 8% inflation-linked bonds, 13% corporate bonds, 8% high-yield bonds, 6% U.S. mortgage-backed securities, and 31% equities [19][33]. Recent Changes and Trends - The ESSF's asset allocation is currently 81% in sovereign bonds, 4% in inflation-linked bonds, and 15% in U.S. mortgage-backed securities, reflecting a conservative approach due to fiscal pressures [50][60]. - The PRF has seen a reduction in equity exposure and an increase in government-related bonds, indicating a shift towards lower-risk assets in response to changing fiscal conditions [32][33]. Geographic and Currency Exposure - The PRF primarily invests outside of Chile, with a significant allocation to U.S. assets, which accounted for approximately 49% of the total portfolio as of mid-2024 [40]. - The fund's currency exposure is predominantly in major developed currencies, with a notable increase in U.S. dollar exposure due to recent asset allocation changes [65][66].