CFA二级知识精讲-集训营直播-另类-讲义.docx

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1、款Qn(9610Z) W-So 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Advantagesanddisadvan

2、tagesNAVPSvaluationRelativeValue(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:AnIntroduct

3、ionCommodityfuturesreturnsComponentsofcommoditiesfuturesreturns重点：大宗商品置货回报理论和计苴Case1ThefollowinginformationrelatestoQuestions16GoldenFinanceInc.isaboutiqueassetmanagementcompanywhoseclientscomefromvariouscountries.AmirJohnson,oneofthehigh-net-worthclientsofGoldenFinanceInc.hasbuiltalongrelationshipw

4、ithGoldenFinanceIncformanyyears.Inheritinghisparentshugefortune,Johnsonissittingonidlecash.Totakefulladvantageoftheidlecash,heandhisfinancialadvisoryteamplantodiscusspotentialinvestmentopportunities.Beforethemeeting,Johnsonexpresseshisinterestinalternativeinvestments.TheleaderofJohnsonsadvisoryteam,

5、AndrewHarrisontellsJohnsonthattherearefourtypesofalternativeinvestmentsavailable,includingprivaterealestateinvestments,publiclytradedrealestateinvestments,privateequityandcommodities.Johnsonwantstodiscusseachofthemonebyone.Firstly,HarrisonasksforJohnsonswillingnesstoinvestintheprivaterealestate.Scre

6、eningseveraldeals,Harrisonfinallychoosesanofficebuildingpropertywitha$3,215,000expectednetoperatingincome.Johnsonisgladtopurchasetheproperty.Then,HarrisonintroducespubliclytradedrealestateinvestmentstoJohnson,suchasrealestateinvestmenttrusts(REITs)andrealestateoperatingcompanies(REOCs).Johnsonwonder

7、sthedistinctionsbetweenREITsandREOCs.Inresponse,AlexisAjinca,ajunioralternativeanalystmakesthefollowingthreestatements,including:Statement1:BothofREITsandREOCscanavoidthedoubletaxationofincome.Statement2:REITshasmorepredictableearningsthanREOCs.Statement3:ForREOCs,therearestrictrestrictionsontheappl

8、icationoffinancialleverageintheiractivities.FiguringoutthedifferencesbetweenREITsandREOCs,JohnsonpreferstoaddREITsintohisportfolio.HarrisonrecommendsanofficeequityREITtoJohnson,andtherelevantfinancialinformationisdemonstratedinExhibit1.Exhibit1SelectedfinancialdatafortheOfficeEquityREITNetoperatingi

9、ncome(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.Althoughbuyoutsandventurecapitalfunds

10、arebothmajortypesofprivateequityinvestments,theyhavetheirowncharacteristics.Basedonthefactsheknowsabout,Johnsonliststhefollowingthreefeatures,including:Feature1:Steadyandpredictablecashflows.Feature2:Measurablerisk.Feature3:Weakassetbase.Havingarelativelowcorrelationwithfinancialassets,commoditiesar

11、eunmissableforJohnson.Comparedwithholdingphysicalcommodities,HarrisonadvisesJohnsontoinvestincommoditymarketsthroughcommodityfutures.HarrisoncollectsthefollowingdataillustratedinExhibit2fromthecommoditymarket.Exhibit2SpotandfuturespricesPZincLeadpNickleSpotprices(perton)p$34,290-$2,655,$16,905“Septe

12、mber$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-iMJOOgPoluodxoSI9UIOU.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 H-噢破后cpum-sOAnqH-

13、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JsuScosipIIUIOUIUoilnSCLla.ShNBiscorrect.Theinvestmentcommitteeiscorrectinthatdirectrealinvestmentwilllikelygenerateincomeandpriceappreciation,buttheirviewonthediversificationisincorrect.Reales

14、tatereturnsgenerallyhavelowcorrelationswithreturnsonotherassetsclasses,suchasstocksandbonds,andthusallowtheendowmenttodiversifyportfoliorisk.Aisincorrect.Investorsindirectrealestatecanexpecttogenerateincomebyleasingorrentingtheproperty.Cisincorrect.Investorsindirectrealestatecanexpectpriceappreciati

15、onontherealestateinvestment.DSnOqBHBAVPUEIEyjSnPurnoqB3BnoU.SCoNU.SBdSUBJOJJnoqB3CLlSIOqONVZSOdXl-AiIodo-IdOMSoIBaIlEU1OUIUIODJUaIJJlPJOJPUBuIoPs20rtoqiOJPXSDOqEMIDaUOUAIoIOUIBnaSIAiscorrect.Duaiscorrectaboutfactorsthatdrivedemandforofficespaceandindustrialandwarehousespacebutincorrectaboutretailspa

16、ce.Employmentgrowthdrivesdemandforofficespace,whilewarehousespacedemanddependsbroadlyoneconomicstrength.Thelevelofimportandexportactivityismoredirectlyrelatedtodemandforindustrialandwarehousespace,notretailspace.Demandforretailspacedependsonconsumerspending,jobgrowth,andeconomicstrength.Bisincorrect

17、.Duaiscorrectaboutfactorsthatdrivedemandforofficespaceandindustrialandwarehousespacebutincorrectaboutretailspace.Cisincorrect.DuaiscorrectaboutfactorsthatdrivedemandforandindustrialandwarehousespaceBI8E6IISDsm6耳1SV-OjjSSopSlLPBo-IddBHDaOqjUoPOSEqXEodo-IdOUyjoJo9nIB-MPUBPoPodU-S1BUI1OJ.SJu。pJSBqAisco

18、rrect.UndertheDCFapproachthevalueoftheofficepropertyisthesumofthepresentvalueofleasepayments(NOI)of$750,000peryearfor4yearsplusthepresentvalueoftheestimateresalevalueinYear4.PVoflevelNOIover4years:$750,000$750,000$750,000$750,000.”+=$2,511,994.701.0751.0751.07531.0754Year5NOI=750000X(1.15)=$862,500E

19、stimatedresalevalueafter4years=($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qlqxPOSBqAEOdOJdOUyJOOqIJoOnIBAPoJBuIpSoortIsou

20、OLP8三sn0ICiscorrect.Thecalculationoftheestimatedpropertyvalueusingthecostapproachisshowninthefollowing:Marketvalue(MV)ofland$2,500,000Replacementbuildingcosts$20,000,000Curablephysicaldepreciationcosts$500,000Incurablephysicaldepreciationcosts$3,500,000Costofmodernizingheatingandcoolingsystem$1,200,

21、000Estimatedpropertyvalue$17,300,000*Estimatedpropertyvalue=MVofland+Replacementbuildingcosts-Curablephysicaldepreciationcosts-Incurablephysicaldepreciationscosts-Costofmodernizingheatingandcoolingsystem.UdISDss000寸m9V-O二SOqlPOPIAOldUoPBULIoJ.三lcOPUBZEqItPUoPOSBqIIAiscorrect.Usingthesalescomparisona

22、pproach,thepricePSFofthecomparablepropertiesisadjustedrelativetothesubjectpropertytoaccountforageandcondition.Forexample,Property1is10yearsold,andthesubjectpropertyis7yearsold.Becausethesubjectpropertyisnewerbythreeyears,thepricePSFofProperty1isadjustedupby3%peryearforthreeyears,or9%.Property1isinav

23、eragecondition,butthesubjectpropertyisinexcellentcondition.Thus,thevalueofProperty1isadjustedup14%,theadjustmentfactorprovidedfortheconditionadjustment.Thus,thepricePSFofProperty1isadjustedupby23%from$1,150:AdjustedpricePSFforProperty1=$1,1501.23=$1,415.50.AsimilarcalculationismadeforProperty2.Theav

24、erageadjustedpricePSFofbothpropertiesis$1,403.Thevalueofthesubjectpropertyiscalculatedbyapplying$1,402.88tothesizeoftheproperty(12,000squarefeet):Valueofsubjectproperty=$1,402.8812,000=$16,834,500Answer(Cont.)Thefollowingtableshowsthecalculations:AdjustmentProperty1Property2PricePSF$1,150$1,325Age9.

25、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.AlthoughLiniscorrecttha

26、ttheDCFmethodtakesintoaccountthecashflowsthatinvestorscareabout,sheisnotcorrectinstatingthatDCFtakesintoaccountthecyclicalnatureoftherealestatemarket.Cisincorrect.Liniscorrectaboutthecostapproach.Bisincorrect.Liniscorrectaboutthesalescomparisonapproach.Case3ThefollowinginformationrelatestoQuestions1

27、318JenniferMartin,CFA,istheownerofMartinInvestmentManagementInc.,aboutiquefirmthatspecializesinmanagingmoneyforhigh-net-worthindividuals.Thefirmspecializesinrealestateandprivateequityinvestments.Martinhasthreeclientmeetingstoday.ThefirstmeetingiswithLarrySmith.Smithisinterestedinaportfolioofprivatee

28、quityrealestateasalong-terminvestment.Specifically,heisinterestedintherisk-returncharacteristicsofprivateequityrealestateportfoliosversusthoseofstockportfolios.MartinadvisesSmiththatprivateequityrealestateportfoliosaregenerallyriskierthanstockportfoliosandtheexpectecreturnsarelower.MartinlearnsthatSmith,slong-termgoalwhenheretiresistopurchasea