CFA二级知识精讲-集训营直播-另类-习题.docx

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6=嗽皿丁AlternativeDefinitionsofValuesj-重点：区分±地的M高和量住使用价值ThedirectcapitalizationmethodIncomeapproach0DCFmethodStabilizedNOIPrivateRealEstateInvestmentsPubliclyTradedrealestatesecuritiesValuationApproachesCostapproachSalescomparisonapproachPrivaterealestatedebtsJ-重点：最低贷款计苴AdvantagesanddisadvantagesNAVPSvaluationRelativeValue(pricemultiple)Approach重点：估值计复ComponentsofperformancefromLBOStructures,termsandgovernanceofPE1.easestructure重点：计算LBOfi出的回报重点：估值计宜PrivateEquityValuationFinancialperformanceofPEfunds重点：计算PE投费业矮和菱用VCvaluationsVC投费估值、持股份款和股你十复CommoditiesandCommodityDerivatives:AnIntroductionCommodityfuturesreturnsComponentsofcommoditiesfuturesreturns重点：大宗商品置货回报理论和计苴Case1ThefollowinginformationrelatestoQuestions16GoldenFinanceInc.isaboutiqueassetmanagementcompanywhoseclientscomefromvariouscountries.AmirJohnson,oneofthehigh-net-worthclientsofGoldenFinanceInc.hasbuiltalongrelationshipwithGoldenFinanceIncformanyyears.Inheritinghisparents,hugefortune,Johnsonissittingonidlecash.Totakefulladvantageoftheidlecash,heandhisfinancialadvisoryteamplantodiscusspotentialinvestmentopportunities.Beforethemeeting,Johnsonexpresseshisinterestinalternativeinvestments.TheleaderofJohnson,sadvisoryteam,AndrewHarrisontellsJohnsonthattherearefourtypesofalternativeinvestmentsavailable,includingprivaterealestateinvestments,publiclytradedrealestateinvestments,privateequityandcommodities.Johnsonwantstodiscusseachofthemonebyone.Firstly,HarrisonasksforJohnson,swillingnesstoinvestintheprivaterealestate.Screeningseveraldeals,Harrisonfinallychoosesanofficebuildingpropertywitha$3,215,000expectednetoperatingincome.Johnsonisgladtopurchasetheproperty.Then,HarrisonintroducespubliclytradedrealestateinvestmentstoJohnson,suchasrealestateinvestmenttrusts(REITs)andrealestateoperatingcompanies(REOCs).JohnsonwondersthedistinctionsbetweenREITsandREOCs.Inresponse,AlexisAjinca,ajunioralternativeanalystmakesthefollowingthreestatements,including:Statement1:BothofREITsandREOCscanavoidthedoubletaxationofincome.Statement2:REITshasmorepredictableearningsthanREOCs.Statement3:ForREOCs,therearestrictrestrictionsontheapplicationoffinancialleverageintheiractivities.FiguringoutthedifferencesbetweenREITsandREOCs,JohnsonpreferstoaddREITsintohisportfolio.HarrisonrecommendsanofficeequityREITtoJohnson,andtherelevantfinancialinformationisdemonstratedinExhibit1.Exhibit1SelectedfinancialdatafortheOfficeEquityREITNetoperatingincome(NOl)$325,000.CaprateB8%,Cashaudequivalents$175,000Accountsreceivablep$55,000.Otherassets。$25,000.Totaldebtp$1,500,000“OtherliabilitiesQ$1,000,000“Sharesoutstanding"$75,000“OncompletionofvaluingtheofficeequityREIT,theyturntheireyestoprivateequityinvestments.Althoughbuyoutsandventurecapitalfundsarebothmajortypesofprivateequityinvestments,theyhavetheirowncharacteristics.Basedonthefactsheknowsabout,Johnsonliststhefollowingthreefeatures,including:Feature1:Steadyandpredictablecashflows.Feature2:Measurablerisk.Feature3:Weakassetbase.Havingarelativelowcorrelationwithfinancialassets,commoditiesareunmissableforJohnson.Comparedwithholdingphysicalcommodities,HarrisonadvisesJohnsontoinvestincommoditymarketsthroughcommodityfutures.HarrisoncollectsthefollowingdataillustratedinExhibit2fromthecommoditymarket.Exhibit2SpotandfuturespricesPZincLeadpNickleSpotprices(perton)p$34,290-$2,655,$16,905“September$34,300$2,655+$16,873“October$34,339-$2,655+$16,862“Novembers$34,401，$2,655+$16,795-Decemberp$34,529-$2,655.$16,753-881761寸$UooLrlf<8IoMPQZ寸Q6I9ogSY-O=SBSOIUEODyjoLPJoOnIBAIBSIEHddBOqiBEIqwo港SNBIBA=EmoiilodSEaID.SOlpoluodxoEOuIoU.三MUPRIOdOIoUOlPPUB%gOISIOWIlmoUSIPOqJJI二EUe日MSJIIUOuIOIEjSgAljl0日PSDoHXPUEHUOOAUOqSsuaIOJJIPOLPMUIPlBgOlSUIPUBjs9PUnSBUUHVmZ3.BasedupontheExhibit1,thenetassetvaluepershare(NAVPS)isclosestto:A.$24.23B,S27.84C$3Q2510co.mIBInUEBHvUJJnoArLqBOJSmUOIOqA句IBOIUoSUqofAqPols=S9HTUBOJooOqlJoUUIqMT5.AccordingtothedatainExhibit2,whichofthefollowingcommodities5marketsismostlikelyinbackwardation?A.LeadB.NickleC.Zinc6.WhichofthefollowingtheoriesregardingfuturesreturnsisleastlikelyusedtoexplaintheZinc,sfuturesmarket?A.InsurancetheoryB.HedgingpressurehypothesisC.TheoryofstorageCase2ThefollowinginformationrelatestoQuestions?12EricSilvermanisaseniorportfoliomanagerfortheendowmentofSawyerUniversitybasedinCalifornia.Sawyer'sinvestmentpolicycurrentlyonlyallowsallocationstodomesticequityandcorporatebonds.TheinvestmentcommitteehastaskedSilvermanwithassessingtheendowment'sforayintorealestateinvestments.Heismeetingwithtwoofhisteammemberstodiscusstheassignment:JennyLin,aseniorassociate,andRohanDua5aseniorfinancialanalyst.Theendowment'sinvestmentcommitteehasaskedSilvermantoconsidertheimplicationsofdirectrealestateinvestmentsintheendowmentportfolio.Thecommittee'sviewisthatsuchinvestmentswilllikelygenerateincomeandcapitalappreciationbuthavenosignificantimpactonportfolioriskbecauseoftheirhighcorrelationswiththeexistinginvestments.USilvermanhasaskedDuatocarryoutsomepreliminaryresearchoncommercialrealestateandtoreportonhisfindings.Duareportsthatcommercialrealestatepropertytypesincludeofficeproperties,industrialandwarehousespace,andretailspace.Duaindicatesthatdemandforofficespacedependsonemploymentgrowth,whereasastrongeconomydrivesdemandforwarehousespace.Demandforretailspacedependsonthelevelofimportandexportactivity.Silvermanandhisteamareevaluatinganinvestmentinanofficeproperty.Theyproposetousethreevaluationmethods:thediscountedcash11owmethod(DCF),thecostapproach,andthesalescomparisonapproach.Therearefouryearsremaininginthepropertylease,andannualnetoperatingincome(NOI)fromleasepaymentsis$750,000.WhentheleaserollsoverinYear5,thereisexpectedtobeaone-time15%increaseinNOLInformationabouttheevaluationisprovidedinExhibits1and2.Exhibit1SelectedInformationtoEvaluateSubjectPropertyDiscountrate7.50%Terminalcaprate5.50%MarketvalueoflandS2,5,OOOReplacementbuildingcostsS20r0,000CurablephysicaldepreciationcostsS5,000IncurablephysicaldepreciationcostsS3,5,OOOCostofmodernizingheatingandcoolingsystemSl,2,000Exhibit2SalesComparisonInformationtoEvaluateSubjectPropertySizePrice(squareAge(persquarefeet)(years)Conditionfoot)SubjectofficepropertyComparableofficeproperty1Comparableofficeproperty212,0007Excellent8,00010Average$1,15014,0004Average$1,325Toadjustforage,thepricepersquarefoot(PSF)ofthecomparablepropertyisadjustedby3%peryearofagedifference.Theadjustmentfortheconditionoftheofficepropertyis14%forpropertiesinaveragecondition.Silvermanasksthegrouptoprovidesomecharacteristicsofthethreevaluationmethods.Linresponds,utheDCFmethodtakesintoaccountcashowsthatarerelevanttoinvestorsandincorporatesthecyclicalnatureoftherealestatemarket.Thecostapproachworksbestfornewerproperties,whereasthesalescomparisonapproachprovidesreliablevalueestimatesinanactiverealestatemarketinwhichtherearenumeroustransactionsZ,.UOPBWalddEWdEDDas*OOHMOg6oVpxaalIPIMJDaLIoDAIOIISBoISIIUounS9A三出BlSoIEetUO=PUoM9>ScooiipIIUIOUJUounSCLla.SOqHz.UEdsSnoqalEMPUBIBHaSnPUrnoqB3BnoDu,-lqCoNUSAaDBdsUBaBtnOqB821.103.5SICoNVZSodAlAiiodcudOnoIBOXIBIX日UIoDJUaIJJlPJOJPUBuI。P>sSXOIUBjOqJOIpxaoqEV:POjUoUXIcIOUIBneISI.8BI8E6I0dISD9H9ISCQ6寸S寸月寸ISV-0:SOSoPSIquB0zddEHDaOLPUoPOSEqAEodo-IdODyJoCLIJort>cq二IlIqIqXPUBPoP>odUopBUuoJU一。UoPoSBq.6OooOOgNISD0。Ooomdls000000寸IsV-OIOQSJPBPlAoHdUoPBUuoJU-XIPoPUBl七qxUoPoSBqAXIOdOHdOUyJOOipOrqBAP9JBUIPS。OIpWEoddBIsouOLPMUISn.01§sPa00。寸g9ISV-OJ4->s(sopSlqBcuddBUoSpIBduIoDSSBSOLPAEOdOXdusoJort>oq:TPoP>01dUopBuuOJ.三-IcpopueZEqItPuoPOSBqIIIPBOjddBJSoUU.LPBOJddBUOSHBdUIOUgWEOjddEHUa<sq4->O二DOdSOLPlAV8auoESSl.三7CSBlPBO-IddEUopEnlBAscJoSupSHBuBJIBIPfisrtE>OjOSUOdSO=OqUIzICase3ThefollowinginformationrelatestoQuestions1318JenniferMartin,CFA,istheownerofMartinInvestmentManagementInc.,aboutiquefirmthatspecializesinmanagingmoneyforhih-net-worthindividuals.Thefirmspecializesinrealestateandprivateequityinvestments.Martinhasthreeclientmeetingstoday.ThefirstmeetingiswithLarrySmith.Smithisinterestedinaportfolioofprivateequityrealestateasalong-terminvestment.Specifically,heisinterestedintherisk-returncharacteristicsofprivateequityrealestateportfoliosversusthoseofstockportfolios.MartinadvisesSmiththatprivateequityrealestateportfoliosaregenerallyriskierthanstockportfoliosandtheexpectedreturnsarelower.MartinIeamsthatSmith,slong-termgoalwhenheretiresistopurchaseamultifamilyproperty.Forexample,thereisonesuchpropertycurrentlylistedonthemarket.Heplansonlivinginoneunitandrentingouttherest.TherentalincomewouldprovideSmithwiththecashflowthatheneedsinhisretirement.HeasksMartintovaluethepropertybasedontheassumptionsthatthenetoperatingincomeis$125,000,thediscountrateis11%,andthegrowthrateis6%.Martindecidestousethedirectcapitalizationmethodtovaluetheproperty.Martin,ssecondmeetingiswithAndreMetcalfe,anexecutiveatalargenationalbank.Metcalfeisinterestedininvestinginpubliclytradedrealestatesecurities.Inparticular,heisinterestedininvestinginsecuritiesthatgeneratecashflowprimarilyfromthesaleofproperties.Martinmakesarecommendationafterdoingsomeresearch.MetcalfeasksMartinabouteconomicfactorsthataffectthevalueofrealestateinvestmenttrusts(REITs)thatinvestindifferenttypesofproperties.MartinmakesthefollowingstatementsregardingkeyeconomicdriversofthevalueofvariousREITsavailableinthemarket:Statement1:JobcreationislessofadriverofvalueforindustrialREITsthanforofficeandstorageREITs.Statement2:RetailsalesgrowthislessofadriverofvalueforofficeREITsthanforindustrialandstorageREITs.Statement3:PopulationgrowthislessofadriverofvalueforstorageREITsthanforindustrialandofficeREITs.Martin'sthirdmeetingiswithJamesWolfe,whoisinterestedininvestinginventurecapitalorprivateequityfunds.Heisfinanciallyverycomfortableandisthuswillingtotakeonrisk.MartinhasrecentlyreceivedsomeinformationaboutanewventurecapitaldealinvolvingasoftwarecompanythatmaybeofinteresttoWolfe.InformationaboutthesoftwarecompanyfortheventurecapitaldealisprovidedinExhibit1.Exhibit1VentureCapitalDeal:InvestmentInformationTerminalvalue(attimeofexit)$1,000,000Timetoexitevent3yearsAmountofinitialinvestment$200,000Discountrate40%Wolfeisalsointerestedininvestinginprivateequityfundsbutisnotfamiliarwithhowtheirmanagementcompensationsystemswork.Hewantstomakesurethatmanagementstaysmotivatedandisfocusedonmaximizingprofits.MartintellsWolfethatmostprivateequityfundshaveamechanisminplacethatenablesthemanagementteamtoincreaseitsequityallocationdependingonthecompany'sactualperformanceandthereturnachievedbytheprivateequityfirm.13.IsMartin,swarningaboutinvestinginprivateequityrealestateportfoliostrue?A.YesB.No,privateequityrealestateportfoliosarelessriskythanstockportfoliosandhavelowerexpectedreturnsC.No,privateequityrealestateportfoliosaremoreriskythanstockportfoliosandhavehigherexpectedreturnsU2三EOgZ$uUOSIE80ZSPQUo=Uul寸IasY一O=SoSoPSIXEodojdAuuIBjPInulOq二OJSOlBUIPSo.S工BnIBqJOrqBAOqH寸I。6sg!DUUOMpqH:M<-ESBIPIndOjSlDdBuIPInoUSIELPUoPBPUBUIuloUBI-IdOlddBOBBiPCSOPHnUOSOMS9IBoJpopsAIUIIqnd.三M.51歌>.5IOJIBoMSjJIgosuoPOSBqgl16.WhichofMetcalfe,sstatementsregardingREITsisleastlikelycorrect?A.Statement1B.Statement2C.Statement317.BasedontheinformationinExhibit1,thepre-moneyvaluationoftheventurecapitaldealisclosestto:A.$164,431.B.$291,545.C.$364,431.18.InherdiscussionwithWolfeonprivateequityfunds,themechanismMartinmentionsismostlikely:A.aratchet.B.carriedinterest.C.adistributionwaterfall.ypnJpooo