CFA II Alternative
2023-03-31 09:03:07 0 举报AI智能生成
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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
Gross lease 含物业费
Net lease 不含物业费
I/S: -expense > reimbursement: 各付
判断方法
Expenses reimbursement 各付
Operating Expenses★
Office
特殊★：唯一销售额上升时追加租金物业
Retail
Industrial and warehouse
Multi-family
Property Classifications
Residential properties
Non-residential properties
Mixed-used development
分类1
Commercial Real Estate
Non-commercial real estate
Unique categories
分类2
Private投资分类
Current Income
Capital appreciation
Inflation hedge
Diversification
Tax benefit 折旧税前
投资房地产的原因
Reasons to Invest
Bond-Like: in the lease time
Relative To Stocks And Bonds
Basic Concepts
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
Different types of value
the highest implied land value
Highest and best
计算公式
Calculate NOl★
推导过程
Implied Growth Rate
关于cap rate
在这个场景下不区分NOI0和NOI1
处理方法
Stabilized NOI
计算方法
All risks yield (ARY）
关于NOI
Direct Captalization Method （一阶段模型，同GGM）
……
Rn与R0的大小关系比较
公式
Direct Income Approach
Ignores vacancy rates
Ignores operating expenses
Limitations
Gross income multiplier
求终值★
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
推演图
Term and Reversion Approach
Layer method
折现★
DCF Method （二阶段模型，同GGM）
对比
direct capitalization and DCF methods区别
NOI折现
Income approach
upper limit for owner
方法
例题
Cost Approach
Sales Comparison Approach
概念，三种方法估值， 然后加权求和
Reconciliation Of Value
比较
优缺点
估值方法
两种方法比较
Real Estate investment indices
Valuations
DSCR
LTV
Equity Dividend Rate
三个指标
Leveraged IRR
Asset角度：求I/Y，PV=-100，PMT=3，FV=200
Unleveraged IRR
IRR计算
Debt investment in Real Estate
PRIVATE
Superior liquidity
Lower minimum investment
Limited liability
Access premium properties
Active management
Protections accorded diversification
Public投资
Tax Exemption 分红无税
Predictable earnings
High yield
REITs-specific
Advantages
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
Lack of flexibility - 投向的区域受国家投资限制
Disadvantages
Advantages and Disadvantages
Economic value Determinants of REITS
most appropriate measure
Cash NOI
V0
NAVPS
计算
同 Equity DCF方法
DCF
直接
P/FFO
P/AFFO
间接
Valuation
PUBLICLY TRADED
REAL ESTATE INVESTMENTS
Re-engineer the firm
Obtain debt financing
Better alignment of interests
Value creation in PE
Control Mechanisms
Economic terms of a PE fund *
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
Cost 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
Risk of Investing in PE
IPO 退出价值最高
Secondary Market Sale
MBO 管理层回购
Liquidation
Type of exit routes
PE Fund投资相关
VC vs. Buyout*
PE Funds Characters
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 single financing round
For a multiple financing round
Adjusting the discount rate
Scenario analysis
Adjusting the terminal value
调整风险（因为VC失败概率高所以要降低FV或提高折现率）
VC：VC Method
求IRR
Buyout ：Buyout Method
GP对company
LP对GP估值
PRIVATE EQUITY VALUATION
physical assets
have no cash flows
transportation costs
Incur storage
特点
不同类型
Characteristics
Hedger/Speculator
Informed investors
Arbitrageurs
Traders and investors
Commodity Exchanges
Commodity market analyst
Regulators
Market Participants
The term structure will have a negative trend
Future Price < Spot Price
Basis = SP - FP
Calendar spread = STFP - LTFP
The basis and calendar spread are positive
Backwardation 贴水
The term structure will has a positive slope
Future Price > Spot Price
The basis and calendar spread are negative
Contango 升水
Relationship Between SP & FP
backwaardation is normal
Insurance Theory
消费者可能long也可能short futures
The Hedging Pressure Hypothesis
释义公式
The Theory Of Storage
Theories of Futures Returns
Fn - F0
Price Return
Spot return
positive roll return
Backwardation
negative roll return
Contango
移仓时产生
Roll return
用T-bill交保证金，经济下滑时超额保护
Collateral return
投资 Futures收益★
Commodity Futures
change in the level of an index
Total return swap
changes in the level of the index relative to a benchmark or fixed level
Excess return swap
有方向
the values of two related commodity reference prices that are not perfectly correlated
Basis swap
observed versus expected volatility for a reference price commodity
Commodity volatility swap
difference between an observed/actual variance in the price levels of a commodity
Variance swap
无方向
Commodity Swaps
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
分支主题
Commodity Indexes
COMMODITY AND COMMODITY DERIVATIVES
Alternative
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