CFA课后习题：另类投资.docx

PRACTICEPROBLEMS1Whichofthefollowingisleastlikelytobeconsideredanalternativeinvestment?ARealestateBCommoditiesILong-onlyequityfunds2Privateequityfundsaremostlikelytouse:Amergerarbitragestrategies.Bleveragedbuyouts.(market-neutralstrategies.3AninvestorisseekinganinvestmentthatcantakelongandshortPoSitions,mayusemulti-strategies,andhistoricallyexhibitslowcorrelationwithatraditionalinvestmentportfolio.Theinvestor'sgoalswillbebestsatisfiedwithaninvestmentin:Arealestate.Bahedgefund.(aprivateequityfund.Relativetotraditionalinvestments,alternativeinvestmentsareleastlikelytobecharacterizedby:Ahighlevelsoftransparency.Blimitedhistoricalreturndata.Isignificantrestrictionsonredemptions.5Alternativeinvestmentfundsaretypicallymanaged:Aactively.Btogeneratepositivebetareturn.(assumingthatmarketsareefficient.6Comparedwithtraditionalinvestments,alternativeinvestmentsaremoreUkelytohave:Agreateruseofleverage.Blong-onlypositionsinliquidassets.(moretransparentandreliableriskandreturndata.7Thepotentialbenefitsofallocatingaportionofaportfoliotoalternativeinvestmentsinclude:Aeaseofmanagerselection.Bimprovementintheportfolio'srisk-returnrelationship.(accessibleandreliablemeasuresofriskandreturn.8Aninvestormaypreferasinglehedgefundtoafundoffundsifheseeks:Aduediligenceexpertise.Bbetterredemptionterms.Ialesscomplexfeestructure.9Hedgefundsaresimilartoprivateequityfundsinthatboth:Aaretypicallystructuredaspartnerships.©2019CFAInstitute.AUrightsreserved.Bassessmanagementfeesbasedonassetsundermanagement.Cdonotearnanincentivefeeuntiltheinitialinvestmentisrepaid.10Aninvestorseeksacurrentincomestreamasacomponentoftotalreturn,anddesiresaninvestmentthathistoricallyhaslowcorrelationwithotherassetclasses.Theinvestmentmostlikelytoachievetheinvestor,sgoalsis:Atimberland.Bcollectibles.(commodities,11Bothevent-drivenandmacrohedgefundstrategiesuse:Along-shortpositions.Batop-downapproach.(long-termmarketcycles.12Hedgefundlossesaremostlikelytobemagnifiedbya:Amargincall.Blockupperiod.Iredemptionnoticeperiod.13fefirststageoffinancingatwhichaventurecapitalfundmostlikelyinvestsisthe：Aseedstage.Bmezzaninestage.Cangelinvestingstage.14Whatisthemostsignificantdrawbackofarepeatsalesindextomeasurereturnstorealestate?ASampleselectionbiasBUnderstatementofvolatility(Relianceonsubjectiveappraisals15Comparedwithdirectinvestmentininfrastructure,publiclytradedinfrastructuresecuritiesarecharacterizedby：Ahigherconcentrationrisk.Rmore-transparentgovernance.(greatercontrolovertheinfrastructureassets.16Anequityhedgefundfollowingafundamentalgrowthstrategyusesfundamentalanalysistoidentifycompaniesthataremostlikelyto:Abeundervalued.Bbeeitherundervaluedorovervalued.Cexperiencehighgrowthandcapitalappreciation.17Whichofthefollowingismostlikelytobeavailablewhenconductinghedgefundduediligence?AQebenchmarkusedbythefundBInformationonsystemsriskmanagement(Detailsofinvestmentstrategiesandprocesses18AprivateequityfunddesiringtorealizeanimmediateandcompletecashexitfromaportfoliocompanyismostUkelytopursuea(n):AIPO.Btradesale.Crecapitalization.19Astheloa-to-valueratioincreasesforarealestateinvestment,riskmostlikelyincreasesfor:Adebtinvestorsonly.Bequityinvestorsonly.(bothdebtandequityinvestors.20Whichofthefollowingformsofinfrastructureinvestmentsisthemostliquid?AAnunlistedinfrastructuremutualfundBAdirectinvestmentinagreenfieldproject(Anexchange-tradedmasterlimitedpartnership(MLP)21Aninvestorchoosestoinvestinabrownfieldratherthanagreenfieldinfrastructureproject.Theinvestorismostlikelymotivatedby:Agrowthopportunities.Bpredictablecashflows.(higherexpectedreturns.22Theprivatizationofanexistinghospitalisbestdescribedas：agreenfieldinvestmentBabrownfieldinvestment.Ianeconomicinfrastructureinvestment.23Ahedgefundinvestsprimarilyindistresseddebt.Quotedmarketpricesareavailablefortheunderlyingholdingsbuttheytradeinfrequently.Whichofthefollowingwillthehedgefundmostlikelyuseincalculatingnetassetvaluefortradingpurposes?AAveragequotesBAveragequotesadjustedforliquidity(Bidpricesforshortpositionsandaskpricesforlongpositions24Angelinvestingcapitalistypicallyprovidedinwhichstageoffinancing?ALater-stage.BFormative-stage.CMezzanine-stage*25Ifacommodity,sforwardcurveisincontango,thecomponentofacommoditiesfuturesreturnmostlikelytoreflectthisis：Aspotprices.Btherollyield.Cthecollateralyield.26UnitedCapitalisahedgefundwithS250millionofinitialcapital.Unitedchargesa2%managementfeebasedonassetsundermanagementatyearend,anda20%incentivefeebasedonreturnsinexcessofan8%hurdlerate.Initsfirstyear,Unitedappreciates16%.Assumemanagementfeesarecalculatedusingend-ofperiodvaluation.Theinvestor'snetreturnassumingtheperformancefeeiscalculatednetofthemanagementfeeisclosestto:A11.58%.B12.54%.C12.80%.27CapricornFundofFundsinvestsGBPI(X)millionineachofAlphaHedgeFundandABCHedgeFund.CapricornFOFhasa“】and10"feestructure.Managementfeesandincentivefeesarecalculatedindependentlyattheendofeachyear.Afteroneyear,netoftheirrespectivemanagementandincentivefees,theinvestmentinAlphaisvaluedatGBP80millionandtheinvestmentinABCisvaluedatGBP140million,"11annualreturntoaninvestorinCapricorn,netoffeesassessedatthefundoffundslevel,isclosestto:A7.9%.B8.0%.C8.1%.28TefollowinginformationappliestoRotundaAdvisors,ahedgefund:$288millioninassetsundermanagement(AUM)asofprioryear-end2%managementfee(basedonyear-endAUM)20%incentivefeecalculated:netofmanagementfeeusinga5%softhurdlerateusingahigh-watermark(high-watermarkis$357million)Currentyearfundreturnis25%ThetotalfeeearnedbyRotundainthecurrentyearisclosestto:$7.20million.B$20.16million.C$21.60million.29Ahedgefundhasthefollowingfeestructure:Annualmanagementfeebasedonyear-endAUM2%Incentivefee20%4%$610 millionHurdleratebeforeincentivefeecollectionstartsCurrenthigh-watermarkThefundhasavalueof$583.1millionatthebeginningoftheyear.Afteroneyear,ithasavalueof$642millionbeforefees.Thenetreturntoaninvestorforthisyearisclosestto:A6.72%.B6.80%.C7,64%.30AshLawnPartners,afundofhedgefunds,hasthefollowingfeestructure:2/20underlyingfundfeeswithincentivefeescalculatedindependentlyAshLawnfeesarecalculatednetofallunderlyingfundfees1%managementfee(basedonyear-endmarketvalue)10%incentivefeecalculatednetofmanagementfeeThefundandallunderlyingfundshavenohurdlerateorhigh-watermarkfeeconditionsInthelatestyear,AshLawn'sfundvalueincreasedfrom$100millionto$133millionbeforedeductionofmanagementandincentivefeesofthefundorunderlyingfunds.Basedontheinformationprovided,thetotalfeeearnedbyallfundsintheaggregateisclosestto:A$11.85million.B$12.75million.c$12.87miUion.31Risksininfrastructureinvestingaremostlikelygreatestwhentheprojectinvolves:Aconstructionofinfrastructureassets.Binvestmentinexistinginfrastructureassets.Cinvestinginassetsthatwillbeleasedbacktoagovernment.32Aninvestorinaprivateequityfundisconcernedthatthegeneralpartnercanreceiveincentivefeesinexcessoftheagreed-onincentivefeesbymakingdistributionsovertimebasedonprofitsearnedratherthanmakingdistributionsonlyatexitfrominvestmentsofthefund.WhichofthefollowingismostIikeytoprotecttheinvestorfromthegeneralpartnerreceivingexcessfees?AAhighhurdlerateBAclawbackprovisionCAlowercapitalcommitment33Untilthecommittedcapitalisfullydrawndownandinvested,themanagementfeeforaprivateequityfundisbasedon:Ainvestedcapital.Bcommittedcapital.(assetsundermanagement.34AnanalystwantingtoassessthedownsideriskofanalternativeinvestmentisleastlikelytousetheInvestmenCs:ASortinoratio.Bvalueatrisk(VaR).(standarddeviationofreturns.35Aneffectiveriskmanagementprocessusedbyalternativeinvestmentfundsmostlikelyincludes:Ain-housevaluations.Binternalcustodyofassets.(segregationofriskandinvestmentprocessduties.SOLUTIONS1Ciscorrect.Long-onlyequityfundsaretypicallyconsideredtraditionalinvestmentsandrealestateandcommoditiesaretypicallyclassifiedasalternativeinvestments.2Biscorrect.Themajorityofprivateequityactivityinvolvesleveragedbuyouts.Mergerarbitrageandmarketneutralarestrategiesusedbyhedgefunds.3Biscorrect.Hedgefundsmayuseavarietyofstrategies(event-driven,relativevalue,macroandequityhedge),generallyhavealowcorrelationwithtraditionalinvestments,andmaytakelongandshortpositions.4Aiscorrect.Alternativeinvestmentsarecharacterizedastypicallyhavinglowlevelsoftransparency.5Aiscorrect.Therearemanyapproachestomanagingalternativeinvestmentfundsbuttypicallythesefundsareactivelymanaged.6Aiscorrect.Investinginalternativeinvestmentsisoftenpursuedthroughsuchspecialvehiclesashedgefundsandprivateequityfunds,whichhaveflexibilitytouseleverage.Alternativeinvestmentsincludeinvestmentsinsuchassetsasrealestate,whichisanilliquidasset,andinvestmentsinsuchspecialvehiclesasprivateequityandhedgefunds,whichmaymakeinvestmentsinilliquidassetsandtakeshortpositions.Obtaininginformationonstrategiesusedandidentifyingreliablemeasuresofriskandreturnarechallengesofinvestinginalternatives.7Biscorrect.Addingalternativeinvestmentstoaportfoliomayprovidediversificationbenefitsbecauseoftheseinvestments*lessthanperfectcorrelationwithotherassetsintheportfolio.Asaresult,allocatingaportionofone*sfundstoalternativescouldpotentiallyresultinanimprovedriskreturnrelationship.Challengestoallocatingaportionofaportfoliotoalternativeinvestmentsincludeobtainingreliablemeasuresofriskandreturnaswellasselectingportfoliomanagersforthealternativeinvestments.8Ciscorrect.Hedgefundsoffundshavemulti-layeredfeestructures,whilethefeestructureforasinglehedgefundislesscomplex.Fundsoffundspresumablyhavesomeexpertiseinconductingduediligenceonhedgefundsandmaybeabletonegotiatemorefavorableredemptiontermsthancouldanindividualinvestorinasinglehedgefund.9Aiscorrect.Privateequityfundsandhedgefundsaretypicallystructuredaspartnershipswhereinvestorsarelimitedpartners(LP)andthefundisthegeneralpartner(GP).Themanagementfeeforprivateequityfundsisbasedoncommittedcapitalwhereasforhedgefundsthemanagementfeesarebasedonassetsundermanagement.Formostprivateequityfunds>thegeneralpartnerdoesnotearnanincentivefeeuntilthelimitedpartnershavereceivedtheirinitialinvestmentback.10Aiscorrect.Timberlandoffersanincomestreambasedonthesaleoftimberproductsasacomponentoftotalreturnandhashistoricallygeneratedreturnsnothighlycorrelatedwithotherassetclasses.11Aiscorrect.Long-shortpositionsareusedbybothtypesofhedgefundstopotentiallyprofitfromanticipatedmarketorsecuritymoves.Event-drivenstrategiesuseabottom-upapproachandseektoprofitfromshort-termeventstypicallyinvolvingacorporateaction,suchasanacquisitionorarestructuring.Macrostrategiesseektoprofitfromexpectedmovementsinevolvingeconomicvariables.12Aiscorrect.Margincallscanmagnifylosses.Tbmeetthemargincall,thehedgefundmanagermaybeforcedtoliquidatealosingpositioninasecurity,which,dependingonthepositionsize,couldexertfurtherpricepressureonthesecurity,resultinginfurtherlosses.Restrictionsonredemptions,suchaslockupandnoticeperiods,mayallowthemanagertoclosepositionsinamoreorderlymannerandminimizeforced-saleliquidationsoflosingpositions.13Aiscorrect.Theseedstagesupportsmarketresearchandproductdevelopmentandisgenerallythefirststageatwhichventurecapitalfundsinvest.Theseedstagefollowstheangelinvestingstage.Intheangelinvestingstage,fundsaretypicallyprovidedbyindividuals(oftenfriendsorfamily),ratherthanaventurecapitalfund,toassessanidea,spotentialandtotransformtheideaintoaplan.Mezzanine-stagefinancingisprovidedbyventurecapitalfundstopreparetheportfoliocompanyforitsIPO.14Aiscorrect.Arepeatsalesindexusesthechangesinpriceofrepeat-salepropertiestoconstructtheindex.SampleselectionbiasisasignificantdrawbackbecausethepropertiesthatsellineachperiodVaryandmaynotberepresentativeoftheoverallmarkettheindexismeanttocover.Thepropertiesthattransactarenotarandomsampleandmaybebiasedtowardpropertiesthatchangedinvalue.Understatedvolatilityandrelianceonsubjectiveappraisalsbyexpertsaredrawbacksofanappraisalindex.15Biscorrect.Publiclytradedinfrastructuresecurities,whichincludesharesofcompanies,exchange-tradedfunds,andlistedfundsthatinvestininfrastructure,providethebenefitsoftransparentgovernance,liquidity,reasonablefees,marketprices,andtheabilitytodiversifyacrossunderlyingassets.Directinvestmentininfrastructureinvolvesalargecapitalinvestmentinanysingleproject,resultinginhighconcentrationrisks.Directinvestmentininfrastructureprovidescontrolovertheassetsandtheopportunitytocapturetheassets1fullvalue.16Ciscorrect.Fundamentalgrowthstrategiestakelongpositionsincompaniesidentified,usingfundamentalanalysis,tohavehighgrowthandcapitalappreciation.Fundamentalvaluestrategiesusefundamentalanalysistoidentifyundervaluedcompanies.Market-neutralstrategiesusequantitativeand/orfundamentalanalysistoidentifyunder-andovervaluedcompanies.17Aiscorrect.Itshouldbepossibletoidentifythebenchmarkagainstwhichthefundgaugesitsperformanceinthehedgefundduediligenceprocess.Itshouldalsobepossibletoestablishtherangeofmarketsinwhichthefundinvestsaswellasthefund,sgeneralstrategy.Hedgefundsconsidertheirstrategies,systems,andprocessestobeproprietar)randareunwillingtoprovidemuchinformationtopotentialinvestors.18Biscorrect.Privateequityfundscanrealizeanimmediatecashexitinatradesale.Usingthisstrategy,theportfoliocompanyistypicallysoldtoastrategicbuyer.19Ciscorrect.Thehighertheloan-to-valueratio,thehigherleverageisforarealestateinvestment,whichincreasestherisktobothdebtandequityinvestors.20CiscorrectApubliclytradedinfrastructuresecurity,suchasanexchange-tradedMLP,providesthebenefitofliquidity.21Biscorrect.Abrownfieldinvestmentisaninvestmentinanexistinginfrastructureasset,whichismorelikelytohaveahistoryofsteadycashflowscomparedwiththatofagreenfieldinvestment.Grourthopportunitiesandreturnsareexpectedtobelowerforbrownfieldinvestments,whicharelessriskythangreenfieldinvestments.22Biscorrect.Investinginanexistinginfrastructureassetwiththeintenttoprivatize,lease,orsellandleasebacktheassetisreferredtoasabrownfieldinvestment.Aneconomicinfrastructureassetsupportseconomicactivityandincludessuchassetsastransportationandutilityassets.Hospitalsaresocialinfrastructureassets,whicharefocusedonhumanactivities.23Biscorrect.Manypractitionersbelievethatliquiditydiscountsarenecessarytoreflectfairvalue.ThishasresultedinsomefundshavingtwoNAVs-fortradingandreporting,"11>efundmayuseaveragequotesforreportingpurposesbutapplyliquiditydiscountsfortradingpurposes.24Biscorrect.Formative-stagefinancingoccurswhenthecompanyisstillintheprocessofbeingformedandencompassesseveralfinancingsteps.Angelinvestingcapitalistypicallyraisedinthisearlystageoffinancing.25Biscorrect.Rollyieldreferstothedifferencebetweenthespotpriceofacommodityandthepricespecifiedbyitsfuturescontract(orthedifferencebetweentwofuturescontractswithdifferentexpirationdates).Whenfuturespricesarehigherthanthespotprice,thecommodityforwardcurveisupwardsloping,andthePriCeSarereferredtoasbeingincontango.Contangooccurswhenthereislittleornoconvenienceyield.26Bi