CFA二级知识精讲-另类：Alternative Investments.docx

BriefIntroductionTopicweight:StudySession1-2Ethics&ProfessionalStandards10%-15%StudySession3QuantitativeAnalysis5%-10%StudySession4Economics5%-10%StudySession5-6FinancialReportingandAnalysis10%-15%StudySession7-8CorporateFinance5%-10%StudySession9-11EquityValuation10%-15%StudySession12-13FixedIncome10%-15%StudySession14DerivativeInvestment5%-10%StudySession15AlternativeInvestment5%-10%StudySession16-17PortfolioManagement5%-15%Weights:100%*ut5npo=u-c<:SEleWaAi-PoeeouPUe OEooSb craCo7rasro>>,bLLl31e>-d*s -nS ra -B HPepe=-U=q=dmbMU-PeH*SUluns>三WelSw -e ra>Zb craSIUE1S>>roE<IHIUO-SSBSAPruSSlIW。3捌叵出-¾三s6I0zAS*8I0Zm一丑玄琳相Sesuslfts-»»»£BriefIntroduction学习建议：本课程总体难度不高，知识点与其他课程（权益，财报，衍生品等）有交集重点掌握各另类资产的特征和估值方法一定要掌握课程中重点强调的知识建议做原版教材章节后练习题和历年模考题privateRealEstateInvestmentsBasicsofRealEstateTasks:ClassifyanddescribebasicformsofrealestateinvestmentsDescribethecharacteristics,theclassification,andbasicsegmentsofrealestateDescribecommercialpropertytypes,includingtheirdistinctiveinvestmentcharacteristicsicFormsofRealEstateInvestmentsEquityDebtPrivateDirectinvestmentssuchassoleownership,orindirectlythroughpartnershipsandcommingledrealestatefundsmortgagesPubliclytradedSharesofrealestateoperatingcompanies(REOCs)andREITsmortgage-backedsecurities(MBS)FormsofRealEstateInvestmentsPrivateinvestmentsinvolvelargerinvestmentbecauseoftheindivisibilityofrealestatepropertyandareilliquid.Publiclytradedrealestateinvestmentsaremoreliquidanddiversified.Debtinvestorstypicallydonotparticipateinanyappreciationinvalueoftheunderlyingrealestate.Returnstoequityinvestorsincludeincomeandcapitalappreciation.IEstateCharacteristicsHeterogeneityandfixedlocationBuildingsdifferinuse,size,location,age,typeofconstruction,quality,andtenantandleasingarrangementsHighunitvalueManagementintensiveIncludingmaintainingtheproperties,negotiatingleases,etc.HightransactioncostsDepreciationNeedfordebtcapitalIlIiquiditvPricedeterminationisdifficultertyClassificationsResidentialSingle-familyMulti-familyNon-residentialCommercial(includingresidentialrealestatepurchasedwiththeintenttoproduceincome,office,industrialandwarehouse,retail,hospitalityproperties).FarmlandandtimberlandCommercialPropertvTvDesOfficeDemanddependsheavilyonemploymentgrowthTheaveragelengthofleasevariesgloballyPossibleleasestructure:NetleaserequirestenantstopayoperatingexpensesGrossleaserequiresownerstopaytheoperatingexpensesTheownerisresponsiblefortheoperatingexpensesinthefirstyear,foreveryyearafterthat,anyincreaseinexpensesabovethatamountispassedthroughtothetenantasan"expensereimbursement".Upward-onlyrentreviewsCommercialPropertyTypesIndustrialandWarehouseDemanddependsheavilyontheoverallstrengthoftheeconomyandeconomicgrowth,importandexportactivity.1.easesareoftennetleasesRetailDemanddependsheavilyontrendsinconsumerspending,whichdependsonjobandpopulationgrowth,andsavingrates.1.easetermsdependbothonthequalityofthepropertyandonthesizeandimportanceofthetenant(anchortenantsreceiveattractiveterms).Tenantstypicallypayadditionalrentoncetheirsalesreachacertainlevel(percentagelease).CommercialPropertyTypesMulti-FamilyDemanddependson:Populationgrowth,especiallyfortheagesegmentmostlikelytorentapartmentsThepropensitytorentinthecultureHowthecostofrentingcompareswiththecostofowning(theratioofhomepricestorents)Financingcosts寸L-K#H恒漫烟ll÷聪藤Md-IIUeXLLI3ws-£J。SUO-IeJWSSeDS21s：PraJra-5-S-SlUEis0>UGlPlSa-B8oSiiUoJ-SB8:lul02依guEt=odE-AlelprivateRealEstateInvestmentsInvestmentCharacteristicsandValuationApproachTasks:Explaintheroleinaportfolio,economicvaluedeterminants,investmentcharacteristics,andprincipalrisksofprivaterealestateComparetheincome,cost,andsalecomparisonapproachestovaluingrealestatepropertiesBenefitsofinvestinginRealEstateCurrentincome(affectedbytaxesandfinancingcosts)CapitalappreciationBond-Iikeandstock-likecharacteristicsInflationhedgeBothrentsandrealestatepricestendtoriseinaninflationaryenvironment.Diversification(duetolowcorrelationwithotherassetclasses)TaxbenefitsRiskFactorsinRealEstateBusinessconditions(GDP,employment,income,interestrates,inflation,etc.)LongleadtimefornewdevelopmentCostandavailabilityofcapitalUnexpectedinflationDemographics(sizeandagedistributionofthepopulation,distributionofsocioeconomicgroups,etc.)LackofliquidityEnvironmentalissuesAvailabilityofinformationManagement(assetmanagement,andpropertymanagement)LeverageValuationApproachesDefinitionsofValuesMarketvalue:themostprobablesaleprice.Investmentvalue:thevaluetoaparticularinvestor,couldbehigherorlowerthanmarketvaluedependingonhowwellthepropertyfitsintotheinvestor'sportfolio,theinvestor'srisktolerance,taxcircumstances.Valueinuse:thevaluetoaparticularuser.Mortgagelendingvalue:thevalueexpectedtobegeneratedintheeventofsale,irrespectiveoftemporaryfluctuations.ValuationApproachesIncomeapproachThepresentvalueoftheexpectedincomefromtheproperty,includingproceedsfromresaleattheendofholdingperiod.CostapproachTheconceptisthatyoushouldnotpaymorethanthecostofbuyingvacantlandanddevelopingacomparableproperty.Adjustmentsaremadetoreflectthedifferencesbetweenthesubjectpropertyandthenewproperty.ValuationApproachesSalescomparisonapproachTheconceptisyoushouldnotpaymorethanothersarepayingforsimilarproperties.Transactionpricesofcomparablepropertiesareusedasbenchmark,adjustmentsaremadetoreflectthedifferences(sze,age,location,conditionoftheproperty,marketconditionsatthetimeofsale,etc.).HighestandbestUseThehighestandbestuseofavacantsiteistheusethatwouldresultinthehighestvalueforthelandImpliedlandvalue=valueaftercompletion-constructioncostTheconstructioncostincludesaprofittothedeveloperThehighestandbestuseisnotnecessarilytheusewiththehighesttotalvalue.ApartmentOfficeRetailValueafterconstruction2,500,0005z000,0004,000,000Constructioncost(2,000z000)(4z800z000)(3,000,000)Impliedlandvalue500,000200,0001,000,000nssss摸松llls坦：精-%aifessl:Sd-IEeXUJsa-5ra0JddeUo-I3n-B>IBIS-BU-SJOIQBj>ISOlelS元U-M>-Jos'JoUog:UibuiouguEtodE-AlBUlulprivateRealEstateInvestmentsIncomeApproach(11Tasks:EstimateandinterprettheinputstothedirectcapitalizationanddiscountedcashflowvaluationmethodsCalculatethevalueofapropertyusingthedirectmethodsIncomeApproachThedirectcapitalizationmethodAcapitalizationrateisappliedtotheforecastedfirst-yearNOLTheDCFmethodApplyexplicitgrowthpatterntoexpectfutureNOIstreamfromwhichapresentvalueisderived.IncomeApproachNetoperatingincome(NOI)Incomeafterdeductingoperatingexpensessuchaspropertytaxes,insurance,maintenance,utilities,repairsbutbeforedeductinganycostsassociatedwithfinancingandbeforedeductingincometaxes.NOIisabefore-taxunleveragedmeasureofincome.ItisnecessarytoconsiderleasetermswhenestimatingNOINetoperatingincome(NOI)=Rentalincomeatfulloccupancy+otherincome(suchasparking)-vacancyandcollectionloss-operatingexpensesmeApproachNOl-ExampleA50-unitapartmentbuildingrentsfor$1,000perunitpermonth.Itcurrentlyhas45unitsrented.Operatingexpenses,includingpropertytaxes,insurance,maintenance,andadvertising,aretypically40percentofeffectivegrossincome.Thepropertymanagerispaid10percentofeffectivegrossincome.Otherincomefromparkingandlaundryisexpectedtoaverage$500perrentedunitperyear.CalculatetheNOI.IncomeApproachNOl-SolutionRentalincomeatfulloccupancy50*1,000*12600,000Otherincome50*50025,000Potentialgrossincome625,000Vacancyloss5/50or10%*625z000-62z500Effectivegrossincome562,500Propertymanagement10%*562z500-56,250Otheroperatingexpenses40%*562,500-225,000Netoperatingincome28250IncomeApproachThedirectcapitalizationmethodThemethodcapitalizesthefirst-year(current)NOIatarateknownasthecapitalizationrate,orcaprateforshort.Value=(first-yearNOI)caprateThecaprateislowerthanthediscountratebecauseitiscalculatedusingthefirst-yearNOIwhereasthediscountrateisappliedtofirst-yearandfutureNOLWhenincomearegrowingataconstantcompoundgrowthrate:Caprate=discountrate-growthrate.-ro>一EOINPWqBlS一Sn、-ONro(DAJS-M-PadAlJo>l5luSdoIoll-ONl-ro.2IlIAH<>u£H3->-OZpz三qes(<-As>s=11J-w=rooS-SqqBJBdlUOQJoS-BSlU。Aquu-p>-pAq>-0rac-dp°SlSoUMUQeJBdO=fArodSIUPU3+j-qra-BdiUoUM-O8ds-es(NJeBAJMJ)H一fJde。-S11JP一BE一一SeqU8d8ItLPolEUo4ez=el-deuIJaJ-Pqlsuoa<3三03IncomeApproachValuationwithastabilizedNOI-ExampleApropertyisbeingpurchasedthatrequiressomerenovationtobecompetitivewithcomparableproperties.Renovationswillbecompletedbythesellerattheseller'sexpense.Ifitwerealreadyrenovated,itwouldhaveNOIof¥9millionnextyear,whichwouldbeexpectedtoincreaseby3percentperyearthereafter.Investorswouldnormallyrequirea12percentIRR(discountrate)topurchasethepropertyafteritisrenovated.Becauseoftherenovation,theNOIwillonlybe¥4millionnextyear.Butafterthat,theNOIisexpectedtobethesameasitwouldbeifithadalreadybeenrenovatedatthetimeofpurchase.Whatisthepriceatypicalinvestoriswillingtopayfortheproperty?IncomeApproachValuationwithastabilizedNOI-SolutionIfthepropertywasalreadyrenovated(andtheNOIstabilized):Valueifrenovated=¥9,000,000/(0.12-0.03)=¥100,000,000Thepresentvalueofthelostincomeis1.ossinvalue=¥5,000,000/(1.12)=¥4,464,286Valueoftheproperty=¥100,000,000-¥4,464,286=¥95,535,714Alternatively:¥4,000,000+¥9,000,000(1.03)(0.12-003)(l12)=¥95,535,714世宙携®届生3烟三凶髭-摸芸也接"用芯«坦也吊-三w原百:Sd=EBXSPoi>luUo4fZ-PI3roJ：PQ:l9u02依次依：8UBtodE-AllSPoIucuUo4n>Mo-Jsou04-d3:P3-paipo-EOUSPOlllUJMo-JPIUnoQ-pwAt=dod3o-ro>七一nS:selIZ»Suea433三SUIBUnSMUI-Ss-三i三寸coUUaSBJdOI-B>-BU-UJ-JS七PUBpopdWu-P-Olll3>0-ON七IUnooSQId一S.QUelSUOU?OC-M-ONJ-Polou0roN-row0l-0Sn)podd-0lOPU七一->-BU-UJ包ov-OM-1d3sPoiaEmom=qse。PSUnOJS-PWlooaVEOOS-IncomeApproachThediscountedcashflowmethod-ExampleNetoperatingincome(NOI)isexpectedtobelevelat$100,000peryearforthenextfiveyearsbecauseofexistingleases.StartinginYear6ztheNOIisexpectedtoincreaseto$120,000becauseofleaserolloversandincreaseat2percentperyearthereafter.Thepropertyvalueisalsoexpectedtoincreaseat2percentperyearafterYear5.Investorsrequirea12percentreturnandexpecttoholdthepropertyforfiveyears.Whatisthecurrentvalueoftheproperty?me ApproachThediscountedcashflowmethod-SolutionStep1Estimateresalepriceafterfiveyears.Resale(residual)or"terminal"caprate=12%-2%=10%ApplythistoNOIinYear6:Resale=$120,000/0.10=$1,200,000Step2DiscountthelevelNOIforthefirstfiveyearsandtheresaleprice.PMT=$100,000FV=$1,200,000”5i=12%SolvingforPV,thecurrentvalueofthepropertyisestimatedtobe$1,041,390.Notethattheimpliedgoing-incaprateis$100,000/$!,041,390=9.60%.IncomeApproachAdaptingtodifferentleasestructuresIftheappraisaldatefallsbetweenthelastrentreviewandthenextrentreview.Twomethodsareused:TermandreversionapproachThetermrentisthefixed(currentcontract)rent,thereversionistheestimatedrentalvalue.Thevaluesofthetwocomponentsareappraisedseparatelyusingdifferentcapitalizationrates.ThelayermethodItassumesthatonesourceofincomeisthecurrentcontractrentasifitwouldcontinueindefinitely.Anothersourceistheincrementalrentexpectedaftertherentreview.IncoineApproachTermandreversionapproach-ExampleApropertywasletforafive-yeartermthreeyearsagoat£400,000peryear.Rentreviewsoccureveryfiveyears.Theestimatedrentalvalue(ERV)inthecurrentmarketis£450,000,andtheallrisksyield(caprate)oncomparablefullyletpropertiesis6percent.Alowerrateof5percentisconsideredappropriatetodiscountthetermrentbecauseitislessriskythanmarketrent(ERV).Estimatethevalueoftheproperty.IncomeApproachTermandreversionapproach-SolutionTermrentPV2yearsat5%Valueoftermrent£400,000=£743,764Reversion to ERVPV perpetuity at 6% Value at rent reviewPV 2 years at 6% Value OfreversionTotal capital value£450,000£450,000÷0.06=£7,500,000=£6,674,973=£7,418,737IncomeApproachThelayermethod-Examplethecurrentcontractrentistobediscountedat5pencent,andtheincrementalrentistobediscountedat6pencent.Estimatethevalueofthepropertyusingthelayermethod.IncomeApproachThelayermethod-SolutionTerm rentPV in perpetuity at 5%Value of indefinite rent£400,000£400,000÷0.05=£8,000,000Incremental rentPV perpetuity at 6%PV 2 years at 6%Value of incremental rent£450,000-£400,000=£50,000£50,000/0.06=£833,333=£741,664Totalcapitalvalue=£8,741,664me ApproachAdvancedDCF:lease-by-leaseanalysisProjectincomefromexistingleasesMakeassumptionsaboutleaserenewalsMakeassumptionsaboutoperatingexpensesMakeassumptionsaboutcapitalexpendituresMakeassumptionsaboutabsorptionofanyvacantspaceEstimateresalevalue(reversion)SelectdiscountratetofindPVofcashflowsDifferencesUnderthedirectcapitalizationmethod,acaprateisappliedtofirst-yearNOI.Implicitinthecaprateisanexpectedincreaseingrowth.UndertheDCFmethod,thefuturecashflows,includingthecapitalexpendituresandterminalvalue,areprojectedovertheholdingperiodanddiscountedtopresentatthediscountrate.FuturegrowthofNOIisexplicittotheDCFmethod.Choosingtheappropriatediscountrateandterminalcapratearecrucialassmalldifferencesintheratescansignificantlyaffectvalue.出昼忠。国定世3长烟三凶髭llg三M:Sd-IlUeXUJSPoiIIUJM-OQpuroSPOCIlaEUo43z-ro-dBQ：P-pJouos3duooUlllSPOqWEM-OQUl:UISUCO依次依-JUBtOdE-AllprivateRealEstateInvestmentsCostApproachesTasks:CalculatethevalueofapropertyusingthecostapproachesApproachStepsinvolvedwithapplyingthecostapproach1.Estimatethemarketvalueoftheland.2.Estimatethebuilding'sreplacementcost,assumingitwasbuilttodayusingcurrentconstructioncostsandstandards.3.Thereplacementcostisadjustedfor:physicaldeterioration(curableandincurable)functionalobsolescencelocationalobsolescenceeconomicobsolescence4.Theestimatedvalueofthelandisaddedtotheadjustedreplacementcosttoobtaintheestimatedtotalvalue.ApproachPhysicaldeteriorationisgenerallyrelatedtot