CFA二級知識(shí)精講-集訓(xùn)營直播-另類-講義

科目集訓(xùn)營（2019.06）另類Case1ThefollowinginformationrelatestoQuestions1—6GoldenFinanceInc.isaboutiqueassetmanagementcompanywhoseclientscomefromvariouscountries.AmirJohnson,oneofthehigh-net-worthclientsofGoldenFinanceInc.hasbuiltalongrelationshipwithGoldenFinanceIncformanyyears.Inheritinghisparents’hugefortune,Johnsonissittingonidlecash.Totakefulladvantageoftheidlecash,andfinancialadvisoryteamplantodiscusspotentialinvestmentopportunities.Beforethemeeting,Johnsonexpresseshisinterestinalternativeinvestments.TheleaderofJohnson’sadvisoryteam,AndrewHarrisontellsJohnsonthattherearefourtypesofalternativeinvestmentsavailable,includingprivaterealestateinvestments,publiclytradedrealestateinvestments,privateequityandcommodities.Johnsonwantstodiscusseachofthemonebyone.Firstly,HarrisonasksforJohnson’swillingnesstoinvestintheprivaterealestate.Screeningseveraldeals,Harrisonfinallychoosesanofficebuildingpropertywitha$3,215,000expectednetoperatingincome.Johnsonisgladpurchasetheproperty.Then,HarrisonintroducespubliclytradedrealestateinvestmentstoJohnson,suchasrealestateinvestmenttrusts(REITs)andrealestateoperatingcompanies(REOCs).JohnsonwondersthedistinctionsbetweenREITsandREOCs.Inresponse,AlexisAjinca,ajunioralternativeanalystmakesthefollowingthreestatements,including:Statement1:BothofREITsandREOCscanavoidthedoubletaxationofincome.Statement2:REITshasmorepredictableearningsthanREOCs.Statement3:ForREOCs,therearestrictrestrictionsontheapplicationoffinancialleverageintheiractivities.FiguringoutthedifferencesbetweenREITsandREOCs,JohnsonpreferstoaddREITsintohisportfolio.HarrisonrecommendsanofficeequityREITtoJohnson,andtherelevantfinancialinformationisdemonstratedinExhibit1.1datatheOncompletionofvaluingtheofficeequityREIT,theyturntheireyestoprivateequityinvestments.Althoughbuyoutsandventurecapitalfundsarebothmajortypesofprivateequityinvestments,theyhavetheirowncharacteristics.Basedonthefactsheknowsabout,Johnsonliststhefollowingthreefeatures,including:Feature1:Steadyandpredictablecashflows.Feature2:Measurablerisk.Feature3:Weakassetbase.Havingarelativelowcorrelationwithfinancialassets,commoditiesareunmissableforJohnson.Comparedwithholdingphysicalcommodities,HarrisonadvisesJohnsontoinvestincommoditymarketsthroughcommodityfutures.HarrisoncollectsthefollowingdataillustratedinExhibit2fromthecommoditymarket.Exhibit2Spotandfuturesprices1.Ifthediscountrateis10.5%andthenetoperatingincomeisexpectedtoincreaseperpetuallyata2.5%growthrate,theappraisalvalueoftheofficebuildingisclosestto:A.$30,619,047B.$40,187,500C.$41,192,188Answer直接資本化法（Directcapitalizationmethod）對不動(dòng)產(chǎn)估值的公式為：??????Value==??????????????????????根據(jù)文中信息可得：???=$3,215,000;????=10.5%;??????????=2.5%。代入公式可得：$3,215,000Value==$40,187,50010.5%?2.5%因此正確答案為B。2.WhichofAjinca’sunderstandingregardingthedifferencesbetweenREITsandREOCsismostlikelycorrect?A.Statement3B.Statement1C.Statement2Answer因?yàn)榈膃arnings很大一部分來自rentalincome，而rentalincome通常由合約所確定。所以，相比于REOCs，的earning有更強(qiáng)的可預(yù)測性。因此，Statement的說法正確，正確選項(xiàng)為。對于選項(xiàng)，相較于，REOCs所面臨的限制更少。REOCs可以更自由地使用財(cái)務(wù)杠桿為投資者創(chuàng)造更高的回報(bào)。因此，Statement的說法錯(cuò)誤。對于選項(xiàng)，減免了corporate/trust相關(guān)的incometaxes,避免了corporateincometax和personalincometax的雙重稅收（Doubletaxation）。但是，REOCs沒有相關(guān)的稅收減免。因此，Statement1的說法錯(cuò)誤。3.BasedupontheExhibit1,thenetassetvalueshare(NAVPS)isclosestto:A.$24.23B.$27.84C.$30.25Answer的具體計(jì)算過程如下4.WhichofthefollowingfeatureslistedbyJohnsonleastlikelybelongstoabuyoutfund?A.Feature1B.Feature3C.Feature2Answer一般而言，buyoutdeals所涉及的公司都較為成熟，現(xiàn)金流相對穩(wěn)定且可預(yù)測，風(fēng)險(xiǎn)可測。因此，F(xiàn)eature1和Feature2都有可能屬于buyoutfund。所以，選項(xiàng)和錯(cuò)誤。由于公司相對成熟且擁有相當(dāng)數(shù)量的資產(chǎn)，因此，F(xiàn)eature3不屬于buyoutfund,而是屬于venturecapital。所以，正確選項(xiàng)為。5.AccordingtothedatainExhibit2,whichofthefollowingcommodities’marketsismostlikelyinbackwardation?A.LeadB.NickleC.ZincAnswer若較遠(yuǎn)期的期貨價(jià)格比較近期的期貨價(jià)格低，則期貨市場處于現(xiàn)貨溢價(jià)（backwardation）。在Exhibit2中，Nickle的期貨價(jià)格從9月到12月持續(xù)降低。因此，正確答案為。6.WhichofthefollowingtheoriesregardingfuturesreturnsisleastlikelyusedtoexplainZinc’sfuturesmarket?A.InsurancetheoryB.HedgingpressurehypothesisC.TheoryofstorageAnswer保險(xiǎn)理論（Insurancetheory）是指大宗商品生產(chǎn)者擁有實(shí)物商品，從而會(huì)賣出商品期貨來對沖風(fēng)險(xiǎn)。由于大量的生產(chǎn)者持續(xù)賣出商品期貨合約，從而使得大宗商品的價(jià)格在未來面臨下行壓力，造成期貨市場處于現(xiàn)貨溢價(jià)的狀態(tài)。因此，該理論無法解釋期貨溢價(jià)的現(xiàn)象，正確選項(xiàng)為A。對于選項(xiàng)B，套保壓力理論（Hedgingpressurehypothesis）認(rèn)為商品期貨價(jià)格受到來自生產(chǎn)者和消費(fèi)者雙方的壓力，而最終的市場狀態(tài)取決于雙方壓力的強(qiáng)弱關(guān)系。商品生產(chǎn)者擁有實(shí)物商品，會(huì)通過賣出商品期貨來對沖風(fēng)險(xiǎn)。而消費(fèi)者會(huì)通過買入商品期貨來鎖定未來的購買成本。若整個(gè)期貨市場上的生產(chǎn)者賣出期貨合約比消費(fèi)者買入期貨合約的意愿更強(qiáng)，則期貨市場處于現(xiàn)貨溢價(jià)；反之，期貨市場處于期貨溢價(jià)。因此，該理論可以解釋期貨溢價(jià)的現(xiàn)象，為錯(cuò)誤選項(xiàng)。對于選項(xiàng)，倉儲(chǔ)理論（Theoryofstorage）認(rèn)為遠(yuǎn)期價(jià)格由三部分組成，即：Futuresprice=spotprice+directstoragecosts－convenienceyield。若生產(chǎn)者的倉儲(chǔ)成本大于消費(fèi)者的便利性收益，則期貨價(jià)格高于現(xiàn)貨價(jià)格，期貨市場處于期貨溢價(jià)；反之，期貨市場處于現(xiàn)貨溢價(jià)。因此，該理論可以解釋期貨溢價(jià)的現(xiàn)象，為錯(cuò)誤選項(xiàng)。Case2ThefollowinginformationrelatestoQuestions7—EricSilvermanisaseniorportfoliomanagerfortheendowmentofSawyerUniversitybasedinCalifornia.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%increaseinNOI.InformationabouttheevaluationisprovidedinExhibits1and2.Toadjustforage,thepricepersquarefoot(PSF)ofthecomparablepropertyisadjustedby3%peryearofagedifference.Theadjustmentfortheconditionoftheofficepropertyis14%forpropertiesinaveragecondition.Silvermanasksthegrouptoprovidesomecharacteristicsofthethreevaluationmethods.Linresponds,“theDCFmethodtakesintoaccountcashflowsthatarerelevanttoinvestorsandincorporatesthecyclicalnatureoftherealestatemarket.Thecostapproachworksbestfornewerproperties,whereasthesalescomparisonapproachprovidesreliablevalueestimatesinanactiverealestatemarketinwhichtherearenumeroustransactions.”7.Theinvestmentcommittee’sviewondirectrealestateinvestmentisleastlikelycorrectwithregardto:Aincome.Bportfoliorisk.Ccapitalappreciation.AnswerBiscorrect.Theinvestmentcommitteecorrectthatdirectinvestmentlikelygenerateincomeandpriceappreciation,buttheirviewonthediversificationisincorrect.estatereturnsgenerallyhavelowcorrelationsreturnsonotherassetsclasses,suchasstocksbonds,andthustheendowmenttodiversifyportfoliorisk.Aincorrect.InvestorsindirectrealestatetogenerateincomebyorrentingtheCisincorrect.Investorsindirectrealestatecanexpectpriceappreciationontherealestateinvestment.8.IsDuamostlikelycorrectwithregardtothefactorsthatdrivedemandfordifferentcommercialrealestatepropertytypes?ANo,heisincorrectaboutretailspace.BYes.Cheisincorrectaboutindustrialandwarehousespace.AnswerAcorrect.iscorrectfactorsthatdrivedemandforspaceandindustrialandwarehousespacebutincorrectaboutretailspace.Employmentgrowthdrivesdemandforspace,whilewarehousespacedemandbroadlyoneconomicstrength.Thelevelofimportactivityismoredirectlyrelatedtodemandforindustrialandwarehousespace,notretailspace.Demandforretailspaceonconsumerspending,jobgrowth,economicstrength.Bisincorrect.iscorrectaboutfactorsthatdrivedemandforspaceandindustrialandwarehousespacebutincorrectaboutretailspace.Cisincorrect.iscorrectaboutfactorsthatdrivedemandforindustrialandwarehousespace9.BasedontheinformationprovidedandExhibit1,thevalueoftheofficepropertybasedontheapproachisclosestto:A$14,254,549B$16,265,226C$18,193,813AnswerAiscorrect.Undertheapproachthevaluethepropertyisthesumthepresentvalueleasepayments(NOI)$750,000yearfor4yearsplusthepresentvaluetheestimatedresalevalueinPVoflevelNOIover4years:5=750,000×(1.15)=$862,500Estimatedresalevalueafter4years=($862,500/0.055)=$15,681,818.18PVofestimatedresalevalue=[$15,681,818.18/(1.0754)]=Currentvalueproperty=+=$14,254,548.4610.Usingthecostapproach,theestimatedvalueoftheofficepropertybasedonExhibit1andotherinformationprovidedisclosestto:A$14,800,000.B$15,300,000.C$17,300,000.AnswerCiscorrect.Thecalculationoftheestimatedpropertyvalueusingthecostapproachisshowninfollowing：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.11.BasedonExhibit2andotherinformationprovided,thevalueoftheofficepropertyusingthesalescomparisonapproachisclosestto:A$16,834,500.B$17,023,500.C$13,875,000.AnswerAiscorrect.Usingthesalescomparisonapproach,thepricePSFofthecomparablepropertiesisadjustedrelativethesubjectpropertytoaccountforageandcondition.Forexample,Property1is10yearsold,andthesubjectpropertyis7yearsold.Becausethesubjectpropertyisnewerbythreeyears,thepricePSFofProperty1isadjustedupby3%peryearforthreeyears,or9%.Property1isinaveragecondition,butthesubjectpropertyisinexcellentcondition.Thus,thevalueofProperty1isadjustedup14%,theadjustmentfactorprovidedfortheconditionadjustment.Thus,thepricePSFofProperty1isadjustedupby23%from$1,150:AdjustedpricePSFProperty1=$1,150×1.23=$1,415.50.AsimilarcalculationismadeforProperty2.TheaverageadjustedpricePSFofbothpropertiesis$1,403.Thevalueofthesubjectpropertyiscalculatedbyapplying$1,402.88tothesizeoftheproperty(12,000squarefeet):ofsubjectproperty=$1,402.88×12,000=$16,834,500Answer（Cont.）Thefollowingtablethecalculations:12.InherresponsetoSilvermanregardingthecharacteristicsofthethreevaluationapproaches,Linisleastlikelycorrectwithrespecttothe:ADCFapproach.Bsalescomparisonapproach.Ccostapproach.AnswerAcorrect.AlthoughiscorrectthattheDCFmethodtakesintoaccounttheflowsthatinvestorscareabout,sheiscorrectinstatingthattakesaccountthenatureoftherealestatemarket.Cincorrect.iscorrectthecostapproach.Bisincorrect.iscorrectaboutthecomparisonapproach.Case3ThefollowinginformationrelatestoQuestions13—JenniferMartin,CFA,istheownerofMartinInvestmentManagementInc.,aboutiquefirmthatspecializesinmanagingmoneyforhigh-net-worthindividuals.Thefirmspecializesinrealestateandprivateequityinvestments.Martinhasthreeclientmeetingstoday.ThefirstmeetingiswithLarrySmith.Smithisinterestedinaportfolioofprivateequityrealestateasalong-terminvestment.Specifically,heisinterestedintherisk–returncharacteristicsofprivateequityrealestateportfoliosversusthoseofstockportfolios.MartinadvisesSmiththatprivateequityrealestateportfoliosaregenerallyriskierthanstockportfoliosandtheexpectedreturnsarelower.MartinlearnsthatSmith’slong-termgoalwhenheretiresistopurchaseamultifamilyproperty.Forexample,thereisonesuchpropertycurrentlylistedonthemarket.Heplansonlivinginoneunitandrentingouttherest.TherentalincomewouldprovideSmithwiththecashflowthatheneedsinhisretirement.HeasksMartintovaluethepropertybasedontheassumptionsthatthenetoperatingincomeis$125,000,thediscountrateis11%,andthegrowthrateis6%.Martindecidestousethedirectcapitalizationmethodtovalueproperty.Martin’ssecondmeetingiswithAndreMetcalfe,anexecutiveatalargenationalbank.Metcalfeisinterestedininvestinginpubliclytradedrealestatesecurities.Inparticular,heisinterestedininvestinginsecuritiesthatgeneratecashflowprimarilyfromthesaleofproperties.Martinmakesarecommendationafterdoingsomeresearch.MetcalfeasksMartinabouteconomicfactorsthataffectthevalueofrealestateinvestmenttrusts(REITs)thatinvestindifferenttypesofproperties.MartinmakesthefollowingstatementsregardingkeyeconomicdriversofthevalueofvariousREITsavailableinthemarket:Statement1:JobcreationislessofadriverofvalueforindustrialREITsthanforofficeandstorageREITs.Statement2:RetailsalesgrowthislessofadriverofvalueforofficeREITsthanforindustrialandstorageREITs.Statement3:PopulationgrowthislessofadriverofvalueforstorageREITsthanforindustrialandofficeREITs.Martin’sthirdmeetingiswithJamesWolfe,whoisinterestedininvestinginventurecapitalorprivateequityfunds.Heisfinanciallyverycomfortableandisthuswillingtotakeonrisk.MartinhasrecentlyreceivedsomeinformationaboutanewventurecapitaldealinvolvingasoftwarecompanythatmaybeofinteresttoWolfe.InformationaboutthesoftwarecompanyfortheventurecapitaldealisprovidedinExhibit1.Wolfeisalsointerestedininvestinginprivateequityfundsbutisnotfamiliarwithhowtheirmanagementcompensationsystemswork.Hewantstomakesurethatmanagementstaysmotivatedandisfocusedonmaximizingprofits.MartintellsWolfethatmostprivateequityfundshaveamechanisminplacethatenablesthemanagementteamtoincreaseitsequityallocationdependingonthecompany’sactualperformanceandthereturnachievedbytheprivateequityfirm.13.IsMartin’swarningaboutinvestinginprivateequityrealestateportfoliostrue?A.YesB.No,privateequityrealestateportfoliosarelessriskythanstockportfoliosandhavelowerexpectedreturnsC.privateequityrealestateportfoliosaremoreriskythanstockportfoliosandhavehigherexpe