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

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1、BriefIntroductionTopicweight:StudySession1-2Ethics&ProfessionalStandards10%-15%StudySession3QuantitativeAnalysis5%-10%StudySession4Economics5%-10%StudySession5-6FinancialReportingandAnalysis10%-15%StudySession7-8CorporateFinance5%-10%StudySession9-11EquityValuation10%-15%StudySession12-13FixedIncome

2、10%-15%StudySession14DerivativeInvestment5%-10%StudySession15AlternativeInvestment5%-10%StudySession16-17PortfolioManagement5%-15%Weights:100%*ut5npo=u-c,bLLl31e-d*s -nS ra -B HPepe=-U=q=dmbMU-PeH*SUluns三WelSw -e raZb craSIUE1SroEUGlPlSa-B8oSiiUoJ-SB8:lul02依guEt=odE-AlelprivateRealEstateInvestmentsI

3、nvestmentCharacteristicsandValuationApproachTasks:Explaintheroleinaportfolio,economicvaluedeterminants,investmentcharacteristics,andprincipalrisksofprivaterealestateComparetheincome,cost,andsalecomparisonapproachestovaluingrealestatepropertiesBenefitsofinvestinginRealEstateCurrentincome(affectedbyta

4、xesandfinancingcosts)CapitalappreciationBond-Iikeandstock-likecharacteristicsInflationhedgeBothrentsandrealestatepricestendtoriseinaninflationaryenvironment.Diversification(duetolowcorrelationwithotherassetclasses)TaxbenefitsRiskFactorsinRealEstateBusinessconditions(GDP,employment,income,interestrat

5、es,inflation,etc.)LongleadtimefornewdevelopmentCostandavailabilityofcapitalUnexpectedinflationDemographics(sizeandagedistributionofthepopulation,distributionofsocioeconomicgroups,etc.)LackofliquidityEnvironmentalissuesAvailabilityofinformationManagement(assetmanagement,andpropertymanagement)Leverage

6、ValuationApproachesDefinitionsofValuesMarketvalue:themostprobablesaleprice.Investmentvalue:thevaluetoaparticularinvestor,couldbehigherorlowerthanmarketvaluedependingonhowwellthepropertyfitsintotheinvestorsportfolio,theinvestorsrisktolerance,taxcircumstances.Valueinuse:thevaluetoaparticularuser.Mortg

7、agelendingvalue:thevalueexpectedtobegeneratedintheeventofsale,irrespectiveoftemporaryfluctuations.ValuationApproachesIncomeapproachThepresentvalueoftheexpectedincomefromtheproperty,includingproceedsfromresaleattheendofholdingperiod.CostapproachTheconceptisthatyoushouldnotpaymorethanthecostofbuyingva

8、cantlandanddevelopingacomparableproperty.Adjustmentsaremadetoreflectthedifferencesbetweenthesubjectpropertyandthenewproperty.ValuationApproachesSalescomparisonapproachTheconceptisyoushouldnotpaymorethanothersarepayingforsimilarproperties.Transactionpricesofcomparablepropertiesareusedasbenchmark,adju

9、stmentsaremadetoreflectthedifferences(sze,age,location,conditionoftheproperty,marketconditionsatthetimeofsale,etc.).HighestandbestUseThehighestandbestuseofavacantsiteistheusethatwouldresultinthehighestvalueforthelandImpliedlandvalue=valueaftercompletion-constructioncostTheconstructioncostincludesapr

10、ofittothedeveloperThehighestandbestuseisnotnecessarilytheusewiththehighesttotalvalue.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-BIBIS-

11、BU-SJOIQBjISOlelS元U-M-JosJoUog:UibuiouguEtodE-AlBUlulprivateRealEstateInvestmentsIncomeApproach(11Tasks:EstimateandinterprettheinputstothedirectcapitalizationanddiscountedcashflowvaluationmethodsCalculatethevalueofapropertyusingthedirectmethodsIncomeApproachThedirectcapitalizationmethodAcapitalizati

12、onrateisappliedtotheforecastedfirst-yearNOLTheDCFmethodApplyexplicitgrowthpatterntoexpectfutureNOIstreamfromwhichapresentvalueisderived.IncomeApproachNetoperatingincome(NOI)Incomeafterdeductingoperatingexpensessuchaspropertytaxes,insurance,maintenance,utilities,repairsbutbeforedeductinganycostsassoc

13、iatedwithfinancingandbeforedeductingincometaxes.NOIisabefore-taxunleveragedmeasureofincome.ItisnecessarytoconsiderleasetermswhenestimatingNOINetoperatingincome(NOI)=Rentalincomeatfulloccupancy+otherincome(suchasparking)-vacancyandcollectionloss-operatingexpensesmeApproachNOl-ExampleA50-unitapartment

14、buildingrentsfor$1,000perunitpermonth.Itcurrentlyhas45unitsrented.Operatingexpenses,includingpropertytaxes,insurance,maintenance,andadvertising,aretypically40percentofeffectivegrossincome.Thepropertymanagerispaid10percentofeffectivegrossincome.Otherincomefromparkingandlaundryisexpectedtoaverage$500p

15、errentedunitperyear.CalculatetheNOI.IncomeApproachNOl-SolutionRentalincomeatfulloccupancy50*1,000*12600,000Otherincome50*50025,000Potentialgrossincome625,000Vacancyloss5/50or10%*625z000-62z500Effectivegrossincome562,500Propertymanagement10%*562z500-56,250Otheroperatingexpenses40%*562,500-225,000Neto

16、peratingincome28250IncomeApproachThedirectcapitalizationmethodThemethodcapitalizesthefirst-year(current)NOIatarateknownasthecapitalizationrate,orcaprateforshort.Value=(first-yearNOI)caprateThecaprateislowerthanthediscountratebecauseitiscalculatedusingthefirst-yearNOIwhereasthediscountrateisappliedto

17、first-yearandfutureNOLWhenincomearegrowingataconstantcompoundgrowthrate:Caprate=discountrate-growthrate.-ro一EOINPWqBlS一Sn、-ONro(DAJS-M-PadAlJol5luSdoIoll-ONl-ro.2IlIAHuH3-OZpz三qes(s=11J-w=rooS-SqqBJBdlUOQJoS-BSlU。Aquu-p-pAq-0rac-dpSlSoUMUQeJBdO=fArodSIUPU3+j-qra-BdiUoUM-O8ds-es(NJeBAJMJ)H一fJde。-S11J

18、P一BE一一SeqU8d8ItLPolEUo4ez=el-deuIJaJ-PqlsuoaluUo4fZ-PI3roJ：PQ:l9u02依次依：8UBtodE-AllSPoIucuUo4nMo-Jsou04-d3:P3-paipo-EOUSPOlllUJMo-JPIUnoQ-pwAt=dod3o-ro七一nS:selIZSuea433三SUIBUnSMUI-Ss-三i三寸coUUaSBJdOI-B-BU-UJ-JS七PUBpopdWu-P-Olll30-ON七IUnooSQId一S.QUelSUOU?OC-M-ONJ-Polou0roN-row0l-0Sn)podd-0lOPU七一-BU-UJ包

19、ov-OM-1d3sPoiaEmom=qse。PSUnOJS-PWlooaVEOOS-IncomeApproachThediscountedcashflowmethod-ExampleNetoperatingincome(NOI)isexpectedtobelevelat$100,000peryearforthenextfiveyearsbecauseofexistingleases.StartinginYear6ztheNOIisexpectedtoincreaseto$120,000becauseofleaserolloversandincreaseat2percentperyearthe

20、reafter.Thepropertyvalueisalsoexpectedtoincreaseat2percentperyearafterYear5.Investorsrequirea12percentreturnandexpecttoholdthepropertyforfiveyears.Whatisthecurrentvalueoftheproperty?me ApproachThediscountedcashflowmethod-SolutionStep1Estimateresalepriceafterfiveyears.Resale(residual)orterminalcaprat

21、e=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%.IncomeApproac

22、hAdaptingtodifferentleasestructuresIftheappraisaldatefallsbetweenthelastrentreviewandthenextrentreview.Twomethodsareused:TermandreversionapproachThetermrentisthefixed(currentcontract)rent,thereversionistheestimatedrentalvalue.Thevaluesofthetwocomponentsareappraisedseparatelyusingdifferentcapitalizat

23、ionrates.ThelayermethodItassumesthatonesourceofincomeisthecurrentcontractrentasifitwouldcontinueindefinitely.Anothersourceistheincrementalrentexpectedaftertherentreview.IncoineApproachTermandreversionapproach-ExampleApropertywasletforafive-yeartermthreeyearsagoat400,000peryear.Rentreviewsoccureveryf

24、iveyears.Theestimatedrentalvalue(ERV)inthecurrentmarketis450,000,andtheallrisksyield(caprate)oncomparablefullyletpropertiesis6percent.Alowerrateof5percentisconsideredappropriatetodiscountthetermrentbecauseitislessriskythanmarketrent(ERV).Estimatethevalueoftheproperty.IncomeApproachTermandreversionap

25、proach-SolutionTermrentPV2yearsat5%Valueoftermrent400,000=743,764Reversion to ERVPV perpetuity at 6% Value at rent reviewPV 2 years at 6% Value OfreversionTotal capital value450,000450,0000.06=7,500,000=6,674,973=7,418,737IncomeApproachThelayermethod-Examplethecurrentcontractrentistobediscountedat5p

26、encent,andtheincrementalrentistobediscountedat6pencent.Estimatethevalueofthepropertyusingthelayermethod.IncomeApproachThelayermethod-SolutionTerm rentPV in perpetuity at 5%Value of indefinite rent400,000400,0000.05=8,000,000Incremental rentPV perpetuity at 6%PV 2 years at 6%Value of incremental rent

27、450,000-400,000=50,00050,000/0.06=833,333=741,664Totalcapitalvalue=8,741,664me ApproachAdvancedDCF:lease-by-leaseanalysisProjectincomefromexistingleasesMakeassumptionsaboutleaserenewalsMakeassumptionsaboutoperatingexpensesMakeassumptionsaboutcapitalexpendituresMakeassumptionsaboutabsorptionofanyvaca

28、ntspaceEstimateresalevalue(reversion)SelectdiscountratetofindPVofcashflowsDifferencesUnderthedirectcapitalizationmethod,acaprateisappliedtofirst-yearNOI.Implicitinthecaprateisanexpectedincreaseingrowth.UndertheDCFmethod,thefuturecashflows,includingthecapitalexpendituresandterminalvalue,areprojectedo

29、vertheholdingperiodanddiscountedtopresentatthediscountrate.FuturegrowthofNOIisexplicittotheDCFmethod.Choosingtheappropriatediscountrateandterminalcapratearecrucialassmalldifferencesintheratescansignificantlyaffectvalue.出昼忠。国定世3长烟三凶髭llg三M:Sd-IlUeXUJSPoiIIUJM-OQpuroSPOCIlaEUo43z-ro-dBQ：P-pJouos3duooUl

30、llSPOqWEM-OQUl:UISUCO依次依-JUBtOdE-AllprivateRealEstateInvestmentsCostApproachesTasks:CalculatethevalueofapropertyusingthecostapproachesApproachStepsinvolvedwithapplyingthecostapproach1.Estimatethemarketvalueoftheland.2.Estimatethebuildingsreplacementcost,assumingitwasbuilttodayusingcurrentconstructio

31、ncostsandstandards.3.Thereplacementcostisadjustedfor:physicaldeterioration(curableandincurable)functionalobsolescencelocationalobsolescenceeconomicobsolescence4.Theestimatedvalueofthelandisaddedtotheadjustedreplacementcosttoobtaintheestimatedtotalvalue.ApproachPhysicaldeteriorationisgenerallyrelatedtot