CFA二级知识精讲-集训营直播-另类-讲义

科目集训营（2019.06）另类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直接资本化法（Directcapitalizationmethod）对不动产估值的公式为：푁푂퐼푁푂퐼Value==퐶푎푝푟푎푡푒푟푎푡푒−퐺푟표푤푡ℎ푟푎푡푒根据文中信息可得：푁푂퐼=$3,215,000;푟푎푡푒=10.5%;퐺푟표푤푡ℎ푟푎푡푒=2.5%。代入公式可得：$3,215,000Value==$40,187,50010.5%−2.5%因此正确答案为B。2.WhichofAjinca’sunderstandingregardingthedifferencesbetweenREITsandREOCsismostlikelycorrect?A.Statement3B.Statement1C.Statement2Answer因为的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，的earning有更强的可预测性。因此，Statement的说法正确，正确选项为。对于选项，相较于，REOCs所面临的限制更少。REOCs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，Statement的说法错误。对于选项，减免了corporate/trust相关的incometaxes,避免了corporateincometax和personalincometax的双重税收（Doubletaxation）。但是，REOCs没有相关的税收减免。因此，Statement1的说法错误。3.BasedupontheExhibit1,thenetassetvalueshare(NAVPS)isclosestto:A.$24.23B.$27.84C.$30.25Answer的具体计算过程如下4.WhichofthefollowingfeatureslistedbyJohnsonleastlikelybelongstoabuyoutfund?A.Feature1B.Feature3C.Feature2Answer一般而言，buyoutdeals所涉及的公司都较为成熟，现金流相对稳定且可预测，风险可测。因此，Feature1和Feature2都有可能属于buyoutfund。所以，选项和错误。由于公司相对成熟且拥有相当数量的资产，因此，Feature3不属于buyoutfund,而是属于venturecapital。所以，正确选项为。5.AccordingtothedatainExhibit2,whichofthefollowingcommodities’marketsismostlikelyinbackwardation?A.LeadB.NickleC.ZincAnswer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。6.WhichofthefollowingtheoriesregardingfuturesreturnsisleastlikelyusedtoexplainZinc’sfuturesmarket?A.InsurancetheoryB.HedgingpressurehypothesisC.TheoryofstorageAnswer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A。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，仓储理论（Theoryofstorage）认为远期价格由三部分组成，即：Futuresprice=spotprice+directstoragecosts－convenienceyield。若生产者的仓储成本大于消费者的便利性收益，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。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