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CFA II Alternative

2023-03-31 09:03:07   0  举报

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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

考研考证

读书笔记

金融

知识管理

学习笔记

模版推荐

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

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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