參考精講講義

AlternativeInvestments--

2018Instructor:

JieBrief

IntroductionTopic

weight:SS1Ethics

&

Professional

Standards15%SS2

-

SS3tative

ysis12%SS4

-

SS6Economics10%SS7

-

SS10Financial

Reporting

and

ysis20%SS11Corporate

Finance7%SS12Portfolio

Management7%SS13

-SS14Equity

Investment10%SS15

-SS16Fixed

e10%SS17Derivatives5%SS18Alternative

Investments4%Weights:100%Brief

IntroductionContent:?

Study

Session

18:

Alternative

InvestmentsReading

58:

Introduction

to

Alternative

InvestmentsBrief

Introduction考綱對(duì)比:?

與2017年相比，2018年的考綱沒(méi)有變化。Brief

Introduction學(xué)習(xí)建議:?

本門(mén)課程難度相對(duì)不大，知識(shí)點(diǎn)較少，以概念為主；?

注意對(duì)比傳統(tǒng)投資和另類(lèi)投資；?

重點(diǎn)掌握四種另類(lèi)投資的基本特征；?

掌握

的費(fèi)用和回報(bào)率計(jì)算方法；?

建議放在其他課程之后學(xué)習(xí)本課程；Brief

Introduction博觀而約取，厚積而薄發(fā)！Fundamentals

of

Alternative

InvestmentsTasks:?

Compare

alternative

investments

and

traditionalinvestments.?

Describe

categories

of

alternative

investments.?

Describe

potential

benefits

of

alternative

investmentsin

portfolio

managementFundamentals

of

Alternative

Investments?

可從兩個(gè)維度來(lái)區(qū)分傳統(tǒng)和另類(lèi)投資：投資標(biāo)的Underlying

Investments投資頭寸Position傳統(tǒng)投資(Traditional)Public

stocksBondsCashLongposition(多頭頭寸)另類(lèi)投資(Alternative)Traditional

assets

(publicstocks,

bonds,

cash)Other

assets

(Private

stocks,real

estate,

commodities,Infrastructure,

collectibles,patents,

etc.)Long

positionShort

position(空頭頭寸)Leveragedposition(杠桿頭寸)?

Narrow

manager

specialization(精細(xì)的專(zhuān)業(yè)化管理)?

Low

correlation

with

traditional

investments?

Less

regulation

and

less

transparency?

Limited

and

potentially

problematic

historical

risk

andreturn

data

(survivorship

bias,

etc)?

Unique

legal

and

tax

considerationsFundamentals

of

Alternative

InvestmentsCharacteristics

ofAlternative

Investments?

Illiquidity

of

underlying

investmentsCategories

of

Alternative

Investments?

Hedge

Funds

()?

Private

Equity

Funds

(私募股權(quán)基金)?

Real

estate

(不動(dòng)產(chǎn))?

Commodities

(大宗商品)注意：?

和私募股權(quán)基金是投資媒介(Investing

Vehicles)?不動(dòng)產(chǎn)和大宗商品是投資標(biāo)的，后面會(huì)介紹這兩類(lèi)資產(chǎn)的投資媒介種類(lèi)Fundamentals

of

Alternative

InvestmentsAlternative

Investment

Strategies?

Alternative

investments

are

generally

actively

managed.Absolute

Return(絕對(duì)回報(bào)):ü

Seeking

to

generate

returns

independent

ofmarket

returns

(close

to

zero

beta)ü

Typically

no

market

index

specified

to

beatü

Performance

objective

is

stated

relative

to

a

cashrate(e.g.

Libor),

or

inflation

rateFundamentals

of

Alternative

InvestmentsAlternative

Investment

Strategies

(Cont.)Market

Segmentation(市場(chǎng)細(xì)分):ü

Segmentation

results

from

institutional,

or

regulatoryrestrictions

on

traditional

asset

managers,

or

fromdifferences

across

investors

in

investment

objectives

orliabilitiesü

Examples

of

restrictions:

portfolios

managed

relative

tomarket

indices,

limitations

on

the

use

of

derivatives,restrictions

on

foreign

securitiesü

These

restrictions

provide

an

opportunity

for

activemanagers

to

move

into

higher

returning

segmentsFundamentals

of

Alternative

InvestmentsAlternative

Investment

Strategies

(Cont.)Concentrated

Portfolios(集中投資):ü

Concentrating

assets

among

fewer

securities,strategies,

or

managersü

Resulting

in

less

diversification

but

potentially

higherreturnsFundamentals

of

Alternative

InvestmentsBenefits

in

Portfolio

Management?

Combining

alternative

investments

and

traditionalinvestment

in

a

portfolio

has

the

following

benefits:Diversification

opportunities

due

to

low

correlationswith

traditional

investmentsPotentially

higher

returns

due

to

higher

returns

thantraditional

investments.Potentially

higher

shape

ratio(夏普比值)Fundamentals

of

Alternative

InvestmentsInvestment

Structures?

The

common

structure

is

partnership(合伙制):Limited

partners

(LP)有限

:

are

investors

whounderstand

and

be

able

to

assume

the

risks

associated

withthe

investments.General

partner

(GP)一般

:

runs

the

fund

and

bearsunlimited

liability

for

anything

that

might

go

wrong.Fee

structures):

Based

on

assets

under?

Management

fee(management?

Incentive

fee(激勵(lì)費(fèi)):Based

on

realized

profits.Fundamentals

of

Alternative

InvestmentsPracticeCompared

with

traditional

investments,

alternativeinvestments

are

most

likely

to

be

characterized

by

high:leverage.liquidity.regulation.A

is

correct.Alternative

investments

are

likely

to

use

more

leverage

thantraditionalinvestments.

Alternativeinvestments

are

likely

tobe

more

illiquid

and

subject

to

less

regulation.?

Importance:

☆☆?

Content:Comparison

of

alternative

and

traditional

investmentsCharacteristics

of

alternative

investmentsCategories

of

alternative

investmentsBenefits

in

portfolio

managementInvestment

strategies,

Investment

and

fee

structures?

Exam

tips:能夠識(shí)別傳統(tǒng)和另類(lèi)投資重點(diǎn)掌握：另類(lèi)投資的特征，另類(lèi)投資在組合管理中的益處SummaryHedge

Funds

(1)Tasks:?

Describe

hedge

funds

including

strategies,

sub-categories,

and

potential

benefits

and

risksHedge

FundCharacteristics

of

Hedge

Funds?

Aggressively

managed

portfolio

across

asset

classes,

useleverage

and/or

derivatives,

take

long

and

short

positions?

Aimed

at

high

returns,

with

few

investment

restrictions?

Private

partnership

open

to

a

limited

number

of

investorswilling

and

able

to

make

a

large

initialinvestment?

Imposes

restrictions

on

redemptions(贖回)Lockup

period(鎖定期):a

minimum

period

beforeinvestors

are

allowed

to

make

withdrawalsNotice

period(通知期):the

amount

of

time

to

fulfill

aredemption

request

after

receiving

the

requestFunds

of

Hedge

Funds(FOFs)

(母基金)?

FOFs

are

funds

that

hold

a

portfolio

of

hedge

fundsBenefitsü

Making

hedge

funds

accessible

to

smaller

investorsü

Diversificationü

Expertise

in

conducting

due

diligence

on

hedge

fundsü

Able

to

negotiate

better

redemption

termsü

Possible

access

to

closed

funds(封閉式基金)Drawbacksü

More

complex

(higher)

fees

structuresHedge

FundHedge

Fund

Strategies?

Event-Driven

Strategies(事件驅(qū)動(dòng)策略)seek

to

profitfromshort

term

events

such

as

acquisition

or

restructuringMerger

arbitrage(并購(gòu)

):

long

the

stock

of

thecompany

being

acquired,

and

short

the

stock

of

theacquiring

companyDistressed

securities( ):

focus

on

securities

ofcompanies

either

in

bankruptcy

or

perceived

to

be

nearto

bankruptcy.Hedge

FundHedge

Fund

Strategies?

Event-Driven

Strategies(Cont.)Activist

shareholder(積極股東):purchase

sufficient

equityto

influence

a

company‘s

policies

or

directionü

Distinct

from

private

equity

because

it

invests

in

thepublic

equity

marketSpecial

situations:

focus

on

companies

that

are

currentlyengaged

in

restructuring

activities

other

than

merger

/acquisitions

and

bankruptcyHedge

FundHedge

Fund

Strategies?

Relative

ValueStrategies(相對(duì)價(jià)值策略)seek

to

profitfrom

a

pricing

discrepancy

between

related

securitiesFixed e

convertible

arbitrage:

market

neutral(zero

beta)

strategies

that

seek

to

exploit

a

perceivedmispricing

between

a

convertible

bond

and

itscomponent

parts.Fixed e

Asset

Backed:

seek

to

take

advantage

ofmispricing

across

different

asset

backed

securitiesHedge

FundHedge

Fund

Strategies?

Relative

Value

Strategies

(Cont.)Fixedthe

fixede

General:

focus

on

the

relative

value

withine

markets.ü

E.g.,

trades

between

two

corporate

issuers,

betweencorporate

and ernment

issuers,

etc.Volatility:

use

options

to

go

long

or

short

market

volatilityMulti-Strategy:

look

for

opportunities

within

and

acrossasset

classesHedge

FundHedge

Fund

Strategies?

Macro

Strategies

(宏觀策略)seek

to

profit

from

expectedmovements

in

economic

variables

influenced

by

majoreconomic

trends

and

eventsTrade

opportunistically

in

the

fixed e,

equity,currency,

derivatives,

and

commodity

marketsHedge

FundHedge

Fund

Strategies?

Equity

Hedge

Strategies

(權(quán)益對(duì)沖策略)focus

on

public

equity

marketsand

take

long

and

short

positions

and

equity

derivative

securitiesMarket

Neutral:

Maintains

a

net

position

that

is

neutral

with

respectto

market

risk.

Long

positions

in

undervalued

securities

and

shortpositions

in

overvalued

securities.Fundamental

Growth:

uses

fundamental ysis

to

identifycompanies

expected

to

have

high

growth

,

and

take

long

positions

inthese

companiesHedge

FundHedge

Fund

Strategies?

Equity

Hedge

Strategies

(Cont.)Fundamental

Value:

uses

fundamental ysis

to

identifyundervalued

companies,

and

take

long

positions

in

thesecompanies

tative

Directional:

uses

technical ysis

to

identifyovervalued

or

undervalued

companies,

typically

varieslevels

of

net

long

or

short

exposure

depending

on

theanticipated

direction

of

the

marketShort

Bias:

shorts

overvalued

equity

securitiesSector

Specific:

exploits

expertise

in

a

particular

sectorHedge

FundPracticeAn

investor

may

prefer

a

single

hedge

fund

to

a

fund

of

fundsif

he

seeks:Due

diligence

expertise.Better

redemption

terms.A

less

complex

fee

structure.C

is

correct.Hedge

funds

of

funds

have

multi-layered

fee

structures,

whilethe

fee

structure

for

a

single

hedge

fund

is

less

complex.?

Importance:

☆☆☆?

Content:Characteristics

of

hedge

fundsFunds

of

hedge

fundsHedge

fund

strategies?

Exam

tips:重點(diǎn)掌握

的基本特征重點(diǎn)掌握母基金的優(yōu)缺點(diǎn)理解并能夠識(shí)別

的投資策略SummaryHedge

Funds

(2)Tasks:?

Describe

hedge

funds

including

fee

structures,valuation

issues,

and

due

diligence?

Calculate

and

interpret

management

and

incentivefees

and

net-of-fees

returns

on

hedge

fundsHedge

FundFees

Structure?

Common

fee

structure

is

"2

and20“2%

management

fee

and

20%

incentive

fee.Management

Fees()?

Calculated

on

either

thebeginning-of-period

orend-ofperiod

values

of

assets

under

management,

regardless

ofinvestment

performance.Incentive

Fees(激勵(lì)費(fèi))?

Calculated

on

profits

net

of

management

fee

or

on

profitsindependent

of

management

fees.Hedge

FundIncentive

Fees?

High

water

mark(高水位):The

incentive

fees

are

only

paidwhen

assets

under

management

are

above

the

highest

value(net

of

fees)previously

recorded?

Hurdle

rate(門(mén)檻回報(bào)率):The

incentive

fee

is

only

earnedafter

the

fund

achieves

a

specified

returnü

Hard

hurdle

rate:

The

incentive

fees

are

paid

only

onreturns

in

excess

of

the

ben

ark

returnü

Soft

hurdle

rate:

The

incentive

fees

are

paid

on

allprofits

only

if

return

achieves

hurdle

rateUnited

Capital

is

a

hedge

fund

with

$250

million

of

initialcapital.

United

charges a

2%

management

fee

based

onassets

under

management

at

year

end,

and

a

20%

incentivefee

based

on

returns

in

excess

of

an

8%

hurdle

rate.

In

itsyear,

United

appreciates

16%.

Assume

management

feesare

calculated

using

end-of-period

valuation.

The

investor'snet

return

assuming

the

performance

fee

is

calculated

net

ofthe

management

fee

is

closest

to:11.58%.12.54%.12.80%.PracticeSolutionB

is

correct.The

net

investor

return

is

12.54%,

calculated

as:End

of

year

capital

=

$250

million

x

1.16

=

$290

million;Management

fee

=

$290

million

x

2%

=

$5.8

million;Hurdle

amount

=

8%

of

$250

million

=

$20

million;Incentive

fee

=

($290

-

$250

-

$20

-

$5.8)

million

x

20%

=

$2.84million;Total

fees

=

($5.8

+

$2.84)

million

=

$8.64

million;Investor

net

return:

($290

-

$250

-

$8.64)

/

$250

=

12.54%.Valuation

Issues?

Using

market

prices

or

quotes

for

valuationCommon

approach:

the

average

quote,

(bid

+

ask)/2.Conservative

approach:

bid

prices

for

long

position

andask

prices

for

short

position.Hedge

FundValuation

Issues

(Cont.)?

Valuation

in

highly

illiquid

or

non-traded

investmentsNo

reliable

market

values:

Estimated

values

may

becomputed

using

statistical

models.Trading

NAV:

incorporates

liquidity

discounts,

based

onthe

size

of

the

position

held

relative

to

the

total

amountoutstanding

in

the

issue

and

its

trading

volume.Hedge

FundDue

Diligence?

Investment

strategy?

Investment

process?

Source

of

competitive

advantages?

Historical

returns?

Valuation

and

returns

calculation

methods?

Longevity(基金

)?

Amount

of

assets

under

management?

Management

style?

Key

riskHedge

Fund?

Importance:

☆☆☆?

Content:Fees

structure

and

returnValuation

issuesDue

diligence?

Exam

tips:的費(fèi)用和回報(bào)率計(jì)算方法的估值問(wèn)題必須掌握了解了解的盡職

過(guò)程中需要考慮的因素SummaryPrivate

Equity

(1)Tasks:?

Describe

private

equity

including

categories,potential

benefits

and

risks,

fees

structure,

andportfolio

company

valuationPrivate

EquityCategories

of

Private

Equity?

Private

equity

(PE)(私募股權(quán)投資):

invests

either

in

priva

yowned

companies

or

in

public

companies

with

the

intent

totake

them

private.Leverage

buyouts(LBOs)(杠桿收購(gòu)):acquire

publiccompanies

or

established

private

companies

with

asignificant

percentage

of

the

purchase

price

financedthrough

debtVenture

capital

(風(fēng)險(xiǎn)投資):invests

in

or

provide

financing

toprivate

companies

with

high

growth

potentialPrivate

EquityCategories

of

Private

Equity

(Cont.)Developmental

capital(發(fā)展資本):minority

equityinvestment

in

mature

firms

that

are

looking

for

capital

toexpand

or

restructure,enter

new

markets,

or

financeacquisitions.Distressed

investing

(

投資):invests

debt

of

maturecompanies

in

financial

difficulties

in

expectation

of

theirdebt

increasing

in

value.Higher

average

return

than

overall

stock

returns.Low

correlation

with

traditional

investments

providesdiversification

opportunities.?

Risks:PE

indices

are

subject

to

survivorship

bias(生存偏差)andbackfill

bias(回填偏差)PE

firms

may

not

regularly

value

their

investments,leading

to

underestimation

of

volatility

and

correlationswith

other

investment.Private

EquityBenefits

and

Risks?

Benefits:Fees

Structure?

Management

fees:

are

calculated

on

committed

capital(承諾投額)(the

amount

that

LPs

have

agreed

toprovide

to

the

private

equity

fund)?

Incentive

fees:

GP

does

not

earn

an

incentive

fee

until

theLPs

have

received

initial

investment

back.Claw

back

provision(回?fù)軛l款):requires

the

GP

to

returnany

incentive

fees

previously

received

until

the

LPs

havereceived

back

initial

investment

and

80%of

the

totalprofit.Private

EquityPortfolio

Company

Valuation?

parables

approach:

Value

a

company

usingestimate

multiples

of

EBITDA,

net e

or

revenue.?

Discounted

after-tax

cash

flow

approach:

values

acompany

as

the

present

value

of

the

relevant

expectedfuture

cash

flows?

Asset-basedapproach:

Based

on

the

values

of

itsunderlying

assets

less

the

value

of

any

related

liabilities.Private

Equity?

Importance:

☆☆?

Content:Categories

of

private

equityBenefits

and

risks

of

private

equityFees

structurePortfolio

company

valuation?

Exam

tips:了解私募股權(quán)投資的種類(lèi)，好處和風(fēng)險(xiǎn)，費(fèi)用結(jié)構(gòu)，和組合公司的估值方法SummaryPrivate

Equity

(2)Tasks:?

Describe

leveraged

buyouts,

Venture

capital,

Exitstrategies

of

private

equity,

and

due

diligencePrivate

EquityLeveraged

Buyouts(LBOs)(杠桿收購(gòu))?

Management

Buyouts(管理層收購(gòu)):a

company’s

managementteam

acquires

the

business

they

manage?

Management

Buy-ins

(管理層換購(gòu)):an

external

managementteam

acquires

a

company

and

replace

the

existingmanagement

teamPrivate

EquityCharacteristics

of

Attractive?

Undervalued/depressed

stock

priceCompanies

for

LBOs?

Willing

management

(willing

to

make

the

deal)?

Inefficient

companies?

Strong

and

sustainable

cash

flow?

Lowleverage?

Assets

(used

as

security)Private

EquityVenture

Capital

(風(fēng)險(xiǎn)投資)?

Formative

stage

(成型階段)Angel

investing(天使投資):provided

at

idea

stage,fundsmay

be

used

to

transform

the

idea

into

a

business

planand

to

assess

market

potential.Seed

stage(

期)financing:

Supports

productdevelopment

and/or

marketing

efforts,generally

thestage

at

which

VC

funds

investEarly

stage(早期)financing:

Financing

may

be

provided

toinitiate

commercial

production

and

sales.Private

EquityVenture

Capital

(Cont.)?

Later

stage(后期)financing:

used

for

expansion

of

productionand

increasing

sales.?

Mezzanine-stage(成熟期/夾層融資)financing:

Provided

toprepare

to

go

public.Private

EquityExit

Strategies

(退出策略)?

Trade

Sale(

出售):Sale

of

a

company

to

a

strategic

buyersuch

as

a

competitor

of

the

company?

IPO(Initial

Public

Offerings):

potential

for

the

highest

price?

Recapitalization(資本結(jié)構(gòu)調(diào)整):A

company

issues

debt

to

funda

dividend

distribution

to

equity

holders.Not

a

true

exit

strategy

as

PE

maintains

controlPopular

strategy

when

interest

rates

are

lowA

prelude

to

a

later

exit?

Secondary

Sales(二次出售):sale

to

another

PE/other

investors.?

Write-off/Liquidation(

)Private

EquityDue

Diligence?

GP's

experience

and

knowledge

on

finance

and

operation?

Valuation

methodology

used?

The

alignment

of

GP's

incentives

with

the

interests

of

LPs?

The

plan

to

draw

on

committed

capital?

The

planned

exit

strategiesPracticeAngel

investing

capital

is

typically

provided

in

which

stage

offinancing?later-stage.formative-stage.mezzanine-stage.B

is

correct.Formative

stage

financing

occurs

when

the

company

is

still

inthe

process

of

being

formed.

Angel

investing

capital

istypically

raised

in

this

early

stage

of

financing?

Importance:

☆☆☆?

Content:Leverage

buyoutsVenture

capitalExitstrategiesDue

diligence?

Exam

tips:重點(diǎn)掌握LBOs的理想收購(gòu)公司的特征，區(qū)別風(fēng)險(xiǎn)投資的不同階段，區(qū)別不同的退出策略。SummaryReal

EstateTasks:?

Describe

real

estate

including

benefits

and

risks,forms

of

investment,

returns,

valuationReal

EstateKey

reasons

for

investing

in

real

estate?

Competitive

long-term

total

returns

driven

by

bothgeneration

and

capital

appreciation?

Prospect

that

multiple-year

leases

with

fixed

rents

maylessen

cash

flow

impact

from

economic

shocks.?

Diversification

benefits

may

be

provided

by

less

thanperfect

correlation

with

other

asset

classese?

Providing

inflation

hedge

if

rents

can

be

adjusted

quickly

forinflationReal

EstateForms

of

Real

Estate

InvestmentDebtEquityPrivate(Direct)MortgagesConstruction

lendingDirect

ownership

of

realestate

(sole

ownership,

jointventures,

real

esta

imitedpartnerships,

etc)PublicMortgage-backedsecurities

(MBS)Shares

in

real

estatecorporations(Indirect)Collateralizedmortgage

obligationsShares

of

real

estateinvestment

trusts

(REITs)Real

EstateAppraisal

index?

Use

estimates

of

value

as

inputs

to

the

indices.?

Data

from

comparable

sales

and

cash

flow?

Subjective,

understate

volatility.Repeat

sales

(transaction-based)

indexysis

techniques.?

Use

repeat

sales

of

properties

to

construct

the

indices.?

Sample

selection

bias.REITindex?

Use

the

prices

of

publicly

traded

shares

of

REITs

to

constructthe

indices.?

More

frequently

traded,

more

reliable

is

the

index.Real

EstateValuation

Method?

Comparable

sales

approachApproximate

value

based

on

recent

sales

of

similarpropertiesAdjustments:

Condition,

age,

location,

and

sizee

approachCalculating

the

present

value

of

expected

future

cashflow

from

property

ownership?Dividing

the

net

operating e

(NOI)

byacapitalization

rateReal

EstateValuation

Method

(Cont.)?

Cost

approachEvaluate

the

replacement

cost

of

the

property

byestimating

the

value

of

the

land

and

the

costs

ofrebuilding

using

current

construction

costs

andstandards.Adjustments:

Condition,

age,

locationReal

EstateReal

Estate

Investment

Risks?

Property

values

are

subject

to

variability

based

on

nationaland

global

economic

conditions,

local

real

estate

conditions,and

interest

ra

evels?

Property

development

is

subject

to

regulatory

issues,construction

delays,

and

cost

overruns?

Leverage

increases

the

risk

to

equity

investors

and

alsodebt

investors?

Importance:

☆☆?

Content:Reasons

for

investing

real

estateForms

of

real

estate

investmentsPerformance

measurements

using

indexValuation

methodsReal

estate

investment

risks?

Exam

tips:了解不動(dòng)產(chǎn)投資的優(yōu)勢(shì)和風(fēng)險(xiǎn)，投資方式，業(yè)績(jī)計(jì)算方法，和估值方法SummaryCommoditiesTasks:?

Describe

commodities

including

benefits

and

risks,forms

of

investment,

returns

of

commodity

futuresCommoditiesIntroduction

to

Commodities

Investment?

Investment

returns

are

based

on

changes

in

price

ratherthan

on e

stream

such

as

interest,

dividends

or

rent?

Holding

commodities

incurs

costs

for

transportation

andstorage,

thus

most

investors

trade

commodity

derivatives?

Diversification

benefits

due

to

lower

correlation

withtraditional

investments?

Hedge

against

inflationCommoditiesCommodity

Investment

Vehicles?

Commodity

derivatives?

Commodity

Exchange-traded

Funds

(ETF)?

Equities

directly

linked

to

a

commodity

(e.g.,

shares

ofcommodity

producer)?

Managed

futures

funds?

Individual

managed

accounts

(Managed

on

behalf

of

high)net

worth

individuals

or

institutional

investors.?

Specialized

funds

in

specific

commodity

sectors

(e.g.,private

energy

partnerships)CommoditiesCommodity

FuturesFutures

price

≈

Spot

price(1

+

r)

+

storage

costs

-

convenienceyield?

Futures

prices

may

be

higher

or

lower

than

spot

pricesdepending