CFA II Alternative
2023-03-31 09:03:07 0 举报AI智能生成
CFA二级另类资产笔记，适用于考前查漏补缺，形成思维体系
作者其他创作
大纲/内容
REAL ESTATE INVESTMENTS
PRIVATE
Basic Concepts
Property Classifications
Office
Operating Expenses★
Gross lease 含物业费
Net lease 不含物业费
Expenses reimbursement 各付
判断方法
I/S: -expense > reimbursement: 各付
Retail
特殊★：唯一销售额上升时追加租金物业
Industrial and warehouse
Multi-family
Private投资分类
分类1
Residential properties
Non-residential properties
Mixed-used development
分类2
Commercial Real Estate
Non-commercial real estate
Unique categories
Reasons to Invest
投资房地产的原因
Current Income
Capital appreciation
Inflation hedge
Diversification
Tax benefit 折旧税前
Relative To Stocks And Bonds
Bond-Like: in the lease time
Equity-Like: when a lease expires, uncertainty regarding renewal 重签合同确定
Valuations
Different types of value
Market value --- for typical investor
Investment value --- for particular investor
Value in use
Assessed value 税基
Mortgage lending value 贷款评估价值
估值方法
Income approach
Calculate NOl★
计算公式
NOI折现
Direct Captalization Method （一阶段模型，同GGM）
关于cap rate
推导过程
Implied Growth Rate
关于NOI
在这个场景下不区分NOI0和NOI1
Stabilized NOI
处理方法
All risks yield (ARY）
计算方法
DCF Method （二阶段模型，同GGM）
第二阶段求终值,再折现
求终值★
Direct Income Approach
公式
Rn与R0的大小关系比较
……
Gross income multiplier
公式
Limitations
Ignores vacancy rates
Ignores operating expenses
折现★
Term and Reversion Approach
推演图
用于合约期间估值，且当前market rent已经发生变化
第二阶段用Rn，不用R0
Layer method
推演图
direct capitalization and DCF methods区别
对比
Cost Approach
upper limit for owner
方法
例题
Sales Comparison Approach
例题
优缺点
比较
Reconciliation Of Value
概念，三种方法估值， 然后加权求和
Real Estate investment indices
两种方法比较
Debt investment in Real Estate
三个指标
DSCR
LTV
Equity Dividend Rate
IRR计算
房价100，贷款20，每年支付利息1，NOI 3, 五年后房价200
Leveraged IRR
Equity角度：求I/Y, PV=80, PMT=2, FV=180
Unleveraged IRR
Asset角度：求I/Y，PV=-100，PMT=3，FV=200
PUBLICLY TRADED
Advantages and Disadvantages
Advantages
Public投资
Superior liquidity
Lower minimum investment
Limited liability
Access premium properties
Active management
Protections accorded diversification
REITs-specific
Tax Exemption 分红无税
Predictable earnings
High yield
Disadvantages
Public投资
Taxes vs direct ownership
Lack of control REITs
Costs of corporate structure
Price close to stock market
Conflicts of interest
Limited income growth -Re低
Forced equity issuance -稀释
REITs-specific
Lack of flexibility - 投向的区域受国家投资限制
Economic value Determinants of REITS
……
Valuation
直接
NAVPS
most appropriate measure
计算
Cash NOI
计算方法
V0
计算方法
NAVPS
计算方法
DCF
同 Equity DCF方法
间接
P/FFO
计算方法
P/AFFO
计算方法
PRIVATE EQUITY VALUATION
PE Funds Characters
Value creation in PE
Re-engineer the firm
Obtain debt financing
Better alignment of interests
Control Mechanisms
……
Economic terms of a PE fund *
……
PE Fund投资相关
Cost of Investing in PE
Transaction cost -- 尽调、融资、诉讼
Fund setup cost
Administrative cost -- Custodian等（托管费）
Audit cost
Management cost
Performance cost
Dilution cost
Placement fees 尽调费、路演费
Risk of Investing in PE
Liquidity risk
Unquoted investment risk
Competitive environment risk★ 抢好标的
Agency risk 代理人（创始人）
Capital risk
Regulatory risk
Tax risk
Valuation risk
Diversification risk
Market risk
Type of exit routes
IPO 退出价值最高
Secondary Market Sale
MBO 管理层回购
Liquidation
VC vs. Buyout*
对比
Valuation
GP对company
VC：VC Method
For a single financing round
Step 1: Post-Money Valuation
……
Step 2: Pre-Money Valuation
……
Step 3:OwnershipFraction
……
Step 4: No. of the shares of the PE firm
……
Step 5: Price per share
……
For a multiple financing round
……
调整风险（因为VC失败概率高所以要降低FV或提高折现率）
Adjusting the discount rate
方法
Adjusting the terminal value
Scenario analysis
Buyout ：Buyout Method
求IRR
例题
LP对GP估值
例题
COMMODITY AND COMMODITY DERIVATIVES
Characteristics
特点
physical assets
have no cash flows
transportation costs
Incur storage
不同类型
对比
Commodity Futures
Market Participants
Traders and investors
Informed investors
Hedger/Speculator
Arbitrageurs
Commodity Exchanges
Commodity market analyst
Regulators
Relationship Between SP & FP
Backwardation 贴水
The term structure will have a negative trend
Future Price < Spot Price
The basis and calendar spread are positive
Basis = SP - FP
Calendar spread = STFP - LTFP
Contango 升水
The term structure will has a positive slope
Future Price > Spot Price
The basis and calendar spread are negative
Theories of Futures Returns
Insurance Theory
生产者Short futures, 须补贴speculator，就像买保险
backwaardation is normal
The Hedging Pressure Hypothesis
消费者可能long也可能short futures
The Theory Of Storage
释义公式
投资 Futures收益★
Spot return
Price Return
Fn - F0
Roll return
移仓时产生
……
Backwardation
positive roll return
Contango
negative roll return
Collateral return
用T-bill交保证金，经济下滑时超额保护
Commodity Swaps
有方向
Total return swap
change in the level of an index
Excess return swap
changes in the level of the index relative to a benchmark or fixed level
无方向
Basis swap
the values of two related commodity reference prices that are not perfectly correlated
Commodity volatility swap
observed versus expected volatility for a reference price commodity
Variance swap
difference between an observed/actual variance in the price levels of a commodity
Commodity Indexes
分支主题
Correlations between returns on different indexes have been relatively high
Correlations between commodity indexes and returns on stocks and bonds have been low.
contango may hurt performance
backwardation may appear to improve
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