CFA二级知识精讲-集训营直播-另类-讲义.docx

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AlternativeDefinitionsofValuesj-重点：区分±地的M高和量住使用价值ThedirectcapitalizationmethodIncomeapproach0DCFmethodStabilizedNOIPrivateRealEstateInvestmentsPubliclyTradedrealestatesecuritiesValuationApproachesCostapproachSalescomparisonapproachPrivaterealestatedebtsJ-重点：最低贷款计苴AdvantagesanddisadvantagesNAVPSvaluationRelativeValue(pricemultiple)Approach重点：估值计复ComponentsofperformancefromLBOStructures,termsandgovernanceofPE1.easestructure重点：计算LBOfi出的回报重点：估值计宜PrivateEquityValuationFinancialperformanceofPEfunds重点：计算PE投费业矮和菱用VCvaluationsVC投费估值、持股份款和股你十复CommoditiesandCommodityDerivatives:AnIntroductionCommodityfuturesreturnsComponentsofcommoditiesfuturesreturns重点：大宗商品置货回报理论和计苴Case1ThefollowinginformationrelatestoQuestions16GoldenFinanceInc.isaboutiqueassetmanagementcompanywhoseclientscomefromvariouscountries.AmirJohnson,oneofthehigh-net-worthclientsofGoldenFinanceInc.hasbuiltalongrelationshipwithGoldenFinanceIncformanyyears.Inheritinghisparents'hugefortune,Johnsonissittingonidlecash.Totakefulladvantageoftheidlecash,heandhisfinancialadvisoryteamplantodiscusspotentialinvestmentopportunities.Beforethemeeting,Johnsonexpresseshisinterestinalternativeinvestments.TheleaderofJohnson'sadvisoryteam,AndrewHarrisontellsJohnsonthattherearefourtypesofalternativeinvestmentsavailable,includingprivaterealestateinvestments,publiclytradedrealestateinvestments,privateequityandcommodities.Johnsonwantstodiscusseachofthemonebyone.Firstly,HarrisonasksforJohnson'swillingnesstoinvestintheprivaterealestate.Screeningseveraldeals,Harrisonfinallychoosesanofficebuildingpropertywitha$3,215,000expectednetoperatingincome.Johnsonisgladtopurchasetheproperty.Then,HarrisonintroducespubliclytradedrealestateinvestmentstoJohnson,suchasrealestateinvestmenttrusts(REITs)andrealestateoperatingcompanies(REOCs).JohnsonwondersthedistinctionsbetweenREITsandREOCs.Inresponse,AlexisAjinca,ajunioralternativeanalystmakesthefollowingthreestatements,including:Statement1:BothofREITsandREOCscanavoidthedoubletaxationofincome.Statement2:REITshasmorepredictableearningsthanREOCs.Statement3:ForREOCs,therearestrictrestrictionsontheapplicationoffinancialleverageintheiractivities.FiguringoutthedifferencesbetweenREITsandREOCs,JohnsonpreferstoaddREITsintohisportfolio.HarrisonrecommendsanofficeequityREITtoJohnson,andtherelevantfinancialinformationisdemonstratedinExhibit1.Exhibit1SelectedfinancialdatafortheOfficeEquityREITNetoperatingincome(NOl)$325,000.CaprateB8%,Cashaudequivalents$175,000Accountsreceivablep$55,000.Otherassets。$25,000.Totaldebtp$1,500,000“OtherliabilitiesQ$1,000,000“Sharesoutstandings$75,000；OncompletionofvaluingtheofficeequityREIT,theyturntheireyestoprivateequityinvestments.Althoughbuyoutsandventurecapitalfundsarebothmajortypesofprivateequityinvestments,theyhavetheirowncharacteristics.Basedonthefactsheknowsabout,Johnsonliststhefollowingthreefeatures,including:Feature1:Steadyandpredictablecashflows.Feature2:Measurablerisk.Feature3:Weakassetbase.Havingarelativelowcorrelationwithfinancialassets,commoditiesareunmissableforJohnson.Comparedwithholdingphysicalcommodities,HarrisonadvisesJohnsontoinvestincommoditymarketsthroughcommodityfutures.HarrisoncollectsthefollowingdataillustratedinExhibit2fromthecommoditymarket.Exhibit2SpotandfuturespricesPZincLeadpNickleSpotprices(perton)p$34,290-$2,655,$16,905“September$34,300$2,655+$16,873“October$34,339-$2,655+$16,862“Novembers$34,401，$2,655+$16,795-Decemberp$34,529-$2,655.$16,753-88IZ6r1-iMJOOg<8roM心m9ogsv-OJjSSopSlMUIPUrLqODyjoOLPJoOnHBSIE-IddBLPJmLPAVo.EIBEmOdJodSEaID-S04->PoluodxoSI9UIOU.SMUPRIOdOIoUOlPPUB%gOISIOmIlmoUSlPOqlJII直接资本化法(DireCtCaPitaliZationmethOd)对不动产估值的公式为：根据文中信息可得:割割驾=$3,215,000 ;代入公式可得： = 10.5%;嘤妾衽普浅h < =2,5%。Value =$3,215,00010.5% 2,5%=$40,187,500三1Sl弱FT31¥豆口-11闩VaIUC-妊=H人己立一1TAVXHSll立至KTA三.LX1VXA因此正确答案为B。2.WhichofAjinca,sunderstandingregardingthedifferencesbetweenREITsandREOCsismostlikelycorrect?A.Statement3B.Statement1C.Statement2因为R曰TS的earnings很大一部分来自rentalincome,而rentalincome通常由合约所确定。所以,相比于REoCs,RErrS的earning有更强的可预测性。因此，Statement2的说法正确，正确选项为C。对于选项A,相较于RErrs,REoCS所面临的限制更少。REc)CS可以更自由地使用财务杠杆为投资者创造更高的回报。因此，Statement3的说法错误。对于选项B,REITS减免了CorPOrate/trust相关的incometaxes,避免了corporateincometaxpersonalincometax的双重税收(Doubletaxation)o但是，REoCS没有相关的税收减免。因此，StatementI的说法错误。3.BasedupontheExhibit1,thenetassetvaluepershare(NAVPS)isclosestto:A.$24.23B,S27.84C.$30.25NAVPS的具体计算过程如下Netoperatingincome(NoI)“$325,000.Caprateq8%，Estimatedvalueofoperatingrealestate$325,000/8%=，$4.062,500,Cashandequivalentsd+$175,000。Accountsreceivabled+$55,00(bOtherassets2+$25.000,Estimatedgrossassetvaluer=$4.317,500«Totaldebt。-S1,500,000Otherliabilities-$1,000,000EstimatednetassetvalueU=$1,817,500NAVPS$1,817,500/75,000=，$24.23,Zam5HUCoSE工PQU11JJnoArLqOISMUOIOqAIO*=B9IUoSUqofXqPols=2BrtMUIMO=OJoJoUUIqMT代掴假曰-Kl位6-dE°n>H-噢破后cpum-sOAnqH-®KeaImBLLXEM咫£*右河要叫藤甘芸要值V+田。呸摩0总-3。PUn=noAnqH-噢混向.晶n三名u-tLJnLLXBl。藁向窗区W卷4廿叫蚀黑玄要宗明宫一族匿长®瑜值6s阳胎位S_Bpin。Anq-÷ltt后墨Jsu<UUNdPP艺PQPEJ7vZUopBPHBAVyPEqUIAI。*=JSO日SlSJO*EuISoiepoUIUIOUMuimoIIOJopJoIPIqMZEqIqXH.SBIOlMUlPIoDUvg若较远期的期货价格比较近期的期货价格低，则期货市场处于现货溢价(backwardation)。在EXhibit2中,NiCkle的期货价格从9月到12月持续降低。因此，正确答案为B。6.WhichofthefollowingtheoriesregardingfuturesreturnsisleastlikelyusedtoexplaintheZinc,sfuturesmarket?A.InsurancetheoryB.HedgingpressurehypothesisC.Theoryofstorage保险理论(InSUranCetheOry)是指大宗商品生产者拥有实物商品，从而会卖出商品期货来对冲风险。由于大量的生产者持续卖出商品期货合约，从而使得大宗商品的价格在未来面临下行压力，造成期货市场处于现货溢价的状态。因此，该理论无法解释期货溢价的现象，正确选项为A0对于选项B,套保压力理论(Hedgingpressurehypothesis)认为商品期货价格受到来自生产者和消费者双方的压力，而最终的市场状态取决于双方压力的强弱关系。商品生产者拥有实物商品，会通过卖出商品期货来对冲风险。而消费者会通过买入商品期货来锁定未来的购买成本。若整个期货市场上的生产者卖出期货合约比消费者买入期货合约的意愿更强，则期货市场处于现货溢价；反之，期货市场处于期货溢价。因此，该理论可以解释期货溢价的现象，为错误选项。对于选项C,仓储理论(TheOryOfStclage)认为远期价格由三部分组成，即：FUtUesprice=spotprice+directstoragecosts-convenienceyield0若生产者的仓储成本大于消费者各勺便利性收益，则期货价格高于现货价格，期货市场处于期货溢价；反之，期货市场处于现货溢价。因此，该理论可以解释期货溢价的现象，为错误选项。Case2ThefollowinginformationrelatestoQuestions?12EricSilvermanisaseniorportfoliomanagerfortheendowmentofSaWyerUniversitybasedinCalifornia.Sawyer,sinvestmentpolicycurrentlyonlyallowsallocationstodomesticequityandcorporatebonds.TheinvestmentcommitteehastaskedSilvermanwithassessingtheendowment'sforayintorealestateinvestments.Heismeetingwithtwoofhisteammemberstodiscusstheassignment:JennyLin,aseniorassociate,andRohanDua,aseniorfinancialanalyst.Theendowment'sinvestmentcommitteehasaskedSilvermantoconsidertheimplicationsofdirectrealestateinvestmentsintheendowmentportfolio.Thecommittee'sviewisthatsuchinvestmentswilllikelygenerateincomeandcapitalappreciationbuthavenosignificantimpactonportfolioriskbecauseoftheirhighcorrelationswiththeexistinginvestments.SilvermanhasaskedDuatocarryoutsomepreliminaryresearchoncommercialrealestateandtoreportonhisfindings.Duareportsthatcommercialrealestatepropertytypesincludeofficeproperties,industrialandwarehousespace,andretailspace.Duaindicatesthatdemandforofficespacedependsonemploymentgrowth,whereasastrongeconomydrivesdemandforwarehousespace.Demandforretailspacedependsonthelevelofimportandexportactivity.Silvermanandhisteamareevaluatinganinvestmentinanofficeproperty.Theyproposetousethreevaluationmethods:thediscountedcashflowmethod(DCF),thecostapproach,andthesalescomparisonapproach.Therearefouryearsremaininginthepropertylease,andannualnetoperatingincome(NOI)fromleasepaymentsis$750,000.WhentheleaserollsoverinYear5,thereisexpectedtobeaone-time15%increaseinNOLInformationabouttheevaluationisprovidedinExhibits1and2.Exhibit1SelectedInformationtoEvaluateSubjectPropertyDiscountrate7.50%Terminalcaprate5.50%MarketvalueoflandS2,5,OOOReplacementbuildingcostsS20r0,000CurablephysicaldepreciationcostsS5,000IncurablephysicaldepreciationcostsS3,5,OOOCostofmodernizingheatingandcoolingsystemSl,2,000Exhibit2SalesComparisonInformationtoEvaluateSubjectPropertySizePrice(squareAge(persquarefeet)(years)Conditionfoot)SubjectofficepropertyComparableofficeproperty1Comparableofficeproperty212,0007Excellent8,00010Average$1,15014,0004Average$1,325Toadjustforage,thepricepersquarefoot(PSF)ofthecomparablepropertyisadjustedby3%peryearofagedifference.Theadjustmentfortheconditionoftheofficepropertyis14%forpropertiesinaveragecondition.Silvermanasksthegrouptoprovidesomecharacteristicsofthethreevaluationmethods.Linresponds,utheDCFmethodtakesintoaccountcashflowsthatarerelevanttoinvestorsandincorporatesthecyclicalnatureoftherealestatemarket.Thecostapproachworksbestfornewerproperties,whereasthesalescomparisonapproachprovidesreliablevalueestimatesinanactiverealestatemarketinwhichtherearenumeroustransactions.,.UOPEPaIddEWdEDDas*OIIOJEOdgEOUV&sIPIMsooAIoIISBsS-uCLIUnSOAUIOJBJSOIBoljUO上PUo>ScosipIIUIOUIUoilnSCLla.ShNBiscorrect.Theinvestmentcommitteeiscorrectinthatdirectrealinvestmentwilllikelygenerateincomeandpriceappreciation,buttheirviewonthediversificationisincorrect.Realestatereturnsgenerallyhavelowcorrelationswithreturnsonotherassetsclasses,suchasstocksandbonds,andthusallowtheendowmenttodiversifyportfoliorisk.Aisincorrect.Investorsindirectrealestatecanexpecttogenerateincomebyleasingorrentingtheproperty.Cisincorrect.Investorsindirectrealestatecanexpectpriceappreciationontherealestateinvestment.DSnOqBHBAVPUEIEyjSnPurnoqB3BnoU.SCoNU.SBdSUBJOJJnoqB3CLlSIOqONVZSOdXl->AiIodo-IdOMSoIBaIlEU1OUIUIODJUaIJJlPJOJPUBuIoP>s20rtoqiOJPXSDOqEMIDaUOUAIoIOUIBnaSIAiscorrect.Duaiscorrectaboutfactorsthatdrivedemandforofficespaceandindustrialandwarehousespacebutincorrectaboutretailspace.Employmentgrowthdrivesdemandforofficespace,whilewarehousespacedemanddependsbroadlyoneconomicstrength.Thelevelofimportandexportactivityismoredirectlyrelatedtodemandforindustrialandwarehousespace,notretailspace.Demandforretailspacedependsonconsumerspending,jobgrowth,andeconomicstrength.Bisincorrect.Duaiscorrectaboutfactorsthatdrivedemandforofficespaceandindustrialandwarehousespacebutincorrectaboutretailspace.Cisincorrect.DuaiscorrectaboutfactorsthatdrivedemandforandindustrialandwarehousespaceBI8E6IISDsm6耳§1SV-OjjSSopSlLPBo-IddBHDaOqjUoPOSEqXEodo-IdOUyjoJo9nIB>-MPUBPoP>odU-S1BUI1OJ.SJu。pJSBqAiscorrect.UndertheDCFapproachthevalueoftheofficepropertyisthesumofthepresentvalueofleasepayments(NOI)of$750,000peryearfor4yearsplusthepresentvalueoftheestimateresalevalueinYear4.PVoflevelNOIover4years:$750,000$750,000$750,000$750,000.”÷+=$2,511,994.701.0751.075"1.07531.0754Year5NOI=750000X(1.15)=$862,500Estimatedresalevalueafter4years=($862,500/0.055)=$15,681,818.18PVofestimatedresalevalue=$15,681,818.18/(1.0754)=$11,742.553.76Currentvalueofproperty=$2,511,994.70+$11,742,553.76=$14,254,548.46Uo800HSD0000OmdISQ8ooo寸IgV:oJSSopS-pPIAOHdUoPBUuOJUIXBIPoPUEI七qlqxPOSBqAEOdOJdOUyJOOqIJoOnIBAPoJBuIpSoo½rtIsouOLP8三sn0ICiscorrect.Thecalculationoftheestimatedpropertyvalueusingthecostapproachisshowninthefollowing:Marketvalue(MV)ofland$2,500,000Replacementbuildingcosts$20,000,000Curablephysicaldepreciationcosts$500,000Incurablephysicaldepreciationcosts$3,500,000Costofmodernizingheatingandcoolingsystem$1,200,000Estimatedpropertyvalue$17,300,000*Estimatedpropertyvalue=MVofland+Replacementbuildingcosts-Curablephysicaldepreciationcosts-Incurablephysicaldepreciationscosts-Costofmodernizingheatingandcoolingsystem.UdISD>ss000寸m9V-O二S<DSOPSIqEcuddBUoSpIBdUloDSSBSOLPMUISnXEOdOXdusoOqJrt>OqlPOPIAOldUoPBULIoJ.三lcOPUBZEqItPUoPOSBqIIAiscorrect.Usingthesalescomparisonapproach,thepricePSFofthecomparablepropertiesisadjustedrelativetothesubjectpropertytoaccountforageandcondition.Forexample,Property1is10yearsold,andthesubjectpropertyis7yearsold.Becausethesubjectpropertyisnewerbythreeyears,thepricePSFofProperty1isadjustedupby3%peryearforthreeyears,or9%.Property1isinaveragecondition,butthesubjectpropertyisinexcellentcondition.Thus,thevalueofProperty1isadjustedup14%,theadjustmentfactorprovidedfortheconditionadjustment.Thus,thepricePSFofProperty1isadjustedupby23%from$1,150:AdjustedpricePSFforProperty1=$1,150×1.23=$1,415.50.AsimilarcalculationismadeforProperty2.TheaverageadjustedpricePSFofbothpropertiesis$1,403.Thevalueofthesubjectpropertyiscalculatedbyapplying$1,402.88tothesizeoftheproperty(12,000squarefeet):Valueofsubjectproperty=$1,402.88×12,000=$16,834,500Answer(Cont.)Thefollowingtableshowsthecalculations:AdjustmentProperty1Property2PricePSF$1,150$1,325Age9.0%-9.0%Condition14.0%14.0%Total23.0%5.0%AdjustedpricePSF$1,414.50$1,391.25AveragepricePSF$1,402.88Estimatedvalue$16,834,500.IPBO-IddBJSODUquB01ddpUoSyBduloUSSBSgIPEojddBHDaVSLPO2ndso£展usJSESSl.三uCSoqDBO-IddEUoDEnIBA29iJoSDpSHeUBJlBIPM.spxaa!UBUuCLlAusOjOSUOdSO=OqUIzIAiscorrect.AlthoughLiniscorrectthattheDCFmethodtakesintoaccountthecashflowsthatinvestorscareabout,sheisnotcorrectinstatingthatDCFtakesintoaccountthecyclicalnatureoftherealestatemarket.Cisincorrect.Liniscorrectaboutthecostapproach.Bisincorrect.Liniscorrectaboutthesalescomparisonapproach.Case3ThefollowinginformationrelatestoQuestions1318JenniferMartin,CFA,istheownerofMartinInvestmentManagementInc.,aboutiquefirmthatspecializesinmanagingmoneyforhigh-net-worthindividuals.Thefirmspecializesinrealestateandprivateequityinvestments.Martinhasthreeclientmeetingstoday.ThefirstmeetingiswithLarrySmith.Smithisinterestedinaportfolioofprivateequityrealestateasalong-terminvestment.Specifically,heisinterestedintherisk-returncharacteristicsofprivateequityrealestateportfoliosversusthoseofstockportfolios.MartinadvisesSmiththatprivateequityrealestateportfoliosaregenerallyriskierthanstockportfoliosandtheexpectecreturnsarelower.MartinlearnsthatSmith,slong-termgoalwhenheretiresistopurchasea