另类投资.ppt

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另类投资 1级 第17学习单元 12道题 另类投资 核心概念： 描述以下另类投资的特征： 投资公司 交易型开放式指数基金 房地产 风险投资 对冲基金 封闭型控股公司 债务危机证券 商品 （共同基金） – 热点 另类投资 投资公司 开放式基金：无论投资者何时购买或赎回基金，投资公司承诺随时发行和赎回其份额。 封闭式基金：基金份额只发行一次，然后在二级市场上的投资者之间进行交易。 共同基金的价值： 开放式基金根据每股资产净值定价。 封闭式基金的定价则以资产净值为基础，溢价或折价进行交易。 仅在每天交易结束时 另类投资 投资公司收费 申购赎回费：按向基金投资的金额的百分比来收取的佣金。 首次申购费在做出投资时收取。 赎回费是投资者赎回份额时支付的费用。 年费：基金管理、营运费用、管理费用和分销费用(12b-1) 年费：基金管理、营运费用、管理费用和分销费用(12b-1) 另类投资 L1-03459 Jim Noel正在考虑为两位投资者设计不同的投资期限，来投资于Orchid共同基金(OMF)。投资者A计划一年期投资，投资者B计划三年期投资。OMF提供三支种类不同但预期收益率均为12%的股票。下表已经列出每支股票的费用结构。请问JIM将如何为两个不同期限的投资选择股票？ A类 首次申购费为5%。 B类 赎回费起始为5%，每年递减1%。 C类 %的年分销费。   1年期投资 3年期投资 a. B类 A类 b. B类 C类 c. C类 B类 d. C类 C类   另类投资 交易型开放式指数基金 如同以指数为基础进行的股票交易。 标准普尔500 = SPDRS 道琼斯工业平均指数 = DIAMONDS 纳斯达克100 = QQQQ 相对于共同基金的优点： 便于交易 连续定价 低成本 股利再投资 可以卖空 与指数化共同基金的风险基本相同。 – 相对于每天收盘的资产净值 另类投资 L1-03460 Colin Bash是一位富有经验的投资者，目前有一个30,000美元的投资组合。Colin非常关注对投资收益收取费用产生的影响，但是他对权益市场的远景非常看好。他还非常年轻，计划进行长期投资。请问以下四种投资方式中，那一种最适合Colin？ a. 购买一个市场综合指数交易型开放式指数基金(ETF)。 b. 投资于一个积极管理的共同基金。 c. 直接投资于某项投资组合。 d. 购买银行定期存款。 另类投资 房地产投资的形式 无杠杆权益 杠杆式权益 抵押 按揭抵押的证券 集合工具： 有限合伙人制(RELPs) 房地产投资信托基金(REITs) 费用简单/权益独立明确 – 购买债务 另类投资 房地产投资的特点 不可移动、不可分割、独一无二 缺乏可比性 缺乏流通性 房地产市场缺乏统一性 交易成本高 信息效率低 – 独特性 花费一定时间才能退出 可能需要在价格上做出让步 另类投资 房地产估价 成本计算法：估计建造房屋的成本，加上房屋所占土地的价值，减去当前构造的折旧。 比较销售法：获得相同区域中和待评估对象类似的房地产最近的平均交易价格，再根据房屋的特点进行调整。 Hedonic模型：运用回归分析法，将所评估的房地产的房间数，与学校、游泳池的距离等因素设为变量，进行运算得出房屋价值。 – 最差的方法 另类投资 房地产估价（续） 收益计算法：根据该房地产的预期营业净收入估计其价值。 营业净收入(NOI) = 息税折旧摊销前利润(EBIT) + 折旧 R是市场资本化比率，这一比率是根据类似房地产的平均营业净收入与价格之比得出。 税前现金流量 * 房地产估价独立于融资方式 另类投资 L1-03461 一家房地产投资公司采用模型对特定区域内的各类房地产进行估价。他们用来决定一座房地产价值的回归模型是： 其中： XRooms  房间数目 XSize  建筑面积 Xseptic  排污系统设置 Xshopping  购物距离 目前，公司正在寻找一座拥有12个房间、占地英亩，并且与城市排污系统相连的房子。如果距离最近的购物中心为3英里，那么房地产的价值是多少？ a. $97,050 b. $148,100 c. $160,100 d. $170,100 另类投资 L1-03462 M&M房地产投资公司正在审核一项准备投资的房地产。房产所有人向M&M提供了如下试算表： 总租金收入 $500,000 营业费用 129,000 财产税 35,000 管理费用 18,000 折旧 50,000 抵押利息 100,000 税前收入 $168,000 所得税费用 84,000 净收益 $ 84,000 附近有一类似的房屋，最近出售的价格为1,200,000美元，并且形成年营业净收入为96,000美元。运用收益计算法估计出的该项投资的价值最接近： a. $3,180,000 b. $2,100,000 c. $1,050,000 d. $3,975,000 另类投资 风险投资的特点 缺乏流通性 长期承诺 难以估值 几乎没有关于风险和收益的历史数据 用于估计的信息非常有限 企业家和风险投资家可能存在分歧 基金经理的动机可能扭曲投资目标 竞争结构的不确定性 年份将导致有些年份资金充足而有些年份资金短缺 风险投资家会将财务技能和经营经验引入到投资中 （处于首次公开发行的培育期） 基金规模 影响到哪个公司取得基金 另类投资 风险投资的估价 要求三项评估： 公司的退出价值 至首次公开发行所需时间 破产的概率 基于成功和失败的概率计算预期净现值。 另类投资 L1-03465 National Investment Analysis (NIA)公司正在测算一项为期五年的应用生物学方面的风险投资的净现值。如果项目投资成功，则首次公开发行时初始投资1000万美元将升值为1亿美元。根据分析，NIA认为初始投资失败的可能性为25%，此后在投资期内每年递减5%（开始为25%，第二年为20%，依此类推）。对于这项投资，权益资本的成本通常为20%。则这项风险投资的净现值(NPV)是多少？ a. $7,520,000 b. $13,160,000 c. $12,660,000 d. $30,190,000 另类投资 对冲基金的特点 多重目标 其中一些进行对冲活动，而另一些则进行高杠杆投机以获得超额回报。 很大程度上不受监管 限制投资者人数 限制投资者的最高投入资本 限制公开宣传 较高的费用结构 管理费用 业绩报酬 另类投资 对冲基金的分类 买/卖空基金(Long/short)：这些基金基于对单支股票低估或高估的预期，而买入或卖空这些股票。 市场中性基金(Market-neutral)：使用买空和卖空策略使投资组合的β值为零。 环球宏观基金(Global macro)：面向若干宏观经济变量方向进行投机交易的基金，这些变量包括：货币、商品及利息率等。 事件驱动基金(Event-driven)：对特别的情形或机会（例如兼并、破产等）进行投机交易。 *取决于选择股票的能力 另类投资 基金中的基金 投资于对冲基金的共同基金 优点： 给小投资者提供了投资对冲基金的机会 FOF基金经理有选择基金的经验 FOF带来分散化的好处 缺点： 费用高 未来业绩令人怀疑 （是所有费用之最大值） 另类投资 对冲基金的风险和业绩 杠杆作用能够扩大收益和损失。 大多数策略取决于特定市场的流动性。 策略的复杂性和头寸的不稳定性可能引起较大的买卖差价。 不经清算所进行的交易会造成对手方信贷风险和结算风险。 如果市场变动与基金方向相反，则会造成轧空风险和资金压力。 内部形成的业绩报告，与实际可能有偏差。 一旦流动性突然消失，则会损失惨重！ -生存偏差、自我选择的偏差 另类投资 L1-03466 一笔养老金投资于ABC全球对冲基金。 基金的收费结构为“2和20”，其中，2%是管理费，20%是指基金收益率相对于国库券利率的超额收益的业绩报酬比例。如果基金的绝对收益率为15%，而当期的国库券利率为3%，那么投资者的净收益率是多少？ a. % b. % c. % d. % 另类投资 L1-03467 TTT对冲基金投资于一个由多头权益投资和空头权益投资组成的投资组合。 该对冲基金的经理们可以成功地辨别任一特定部门中哪些股票优于市场，也可以发现任一部门中被高估的股票。通常，他们买入预期走势优于市场的股票，卖出预期走势将低于市场的股票。他们每天调整投资组合中多/空头股票的结构，目的是使多/空头股票的β值相等。基于这些信息，界定这一基金的类型。 a. 买/卖空基金 b. 市场中性基金 c. 全球宏观基金 d. 事件驱动基金 另类投资 其他类型的另类投资 封闭型控股公司 交易不活跃 估价方法： 成本（重置成本法） 比较（相对估价法） 收益（现金流贴现法） 市场流动性及控制溢价/贴现 债务危机证券 以很高的折扣购买即将破产企业的债务 商品 期货合同（农产品、能源、金属） 商品相关的证券 法律问题很重要 - 清算或债转股 另类投资 L1-03470 Peter Pickett的家族拥有一家从事包装业务的企业，企业年平均销售收入为500万美元。其中，Peter Pickett拥有25%的股份，他的父亲拥有55%的股份，他的弟弟拥有20%的股份。近日，一家经营类似业务、公开交易的广泛持股企业评估价格为年销售收入的2倍。请问，Peter拥有股份的公平股价最有可能是以下哪项？ a. $2,500,000 b. 根据缺乏流动性因素调整后，股价低于250万美元 c. 根据少数股东权益因素调整后，股价低于250万美元 d. 根据少数股东权益和缺乏流动性因素调整后，股价低于250万美元 另类投资 L1-03472 AM Plastics (AMP)是一家生产花园类塑料制品的公司，公司财务稳健、生产发展良好。Garden Tools公司(GTI)是AMP的强大竞争对手，他们与主要发行商签有长期合约。不幸的是，GTI公司由于一项扩张计划失败而陷入财务危机，财务报表显示其背负沉重的债务。分析师预期，GTI将在6个月内破产。因此，GTI的股票价格已从最高点下跌了95%，而且该公司的债券正在以9 1/4平价交易。AMP和其他竞争者打算购买GTI股票，但是GTI管理者仍旧控制绝大部分公司股本。你对AMP的管理层有何建议？ a. 坐待GTI破产 b. 买入GTI的股票 c. 买入GTI流通在外的债券 d. 卖空GTI的股票 资本市场理论 请注意： 本节课接下来是第18学习单元，资本市场理论。 Title Slide: 1 min Study Session 17, Alternative Investments is approximately 5% of the CFA exam.   ANNOTATION #1: Expect about 12 Alternative Investment questions on the exam, about 4 or 5 of which will likely be calculations, and 4-6 will be on the topic of Real Estate. Title Slide: 1 min There are seven types of alternative investments covered in the readings:   ANNOTATION #1: Investment companies are mutual funds. ANNOTATION #2: Hedge funds are a hot topic. Theory slide: 3-4 min There are two types of mutual funds: open-end and closed-end, explain the difference. ANNOTATION #1: Explain the NAV and how open-end mutual funds are priced once per day. Theory slide: 2-3 min Explain each of the fees charged by mutual funds and note that fees are a drag on realized returns. ANNOTATION #1: Note the calculation of dollar returns after mutual fund fees. The expense ratio is not simply deducted from the fund return, but is compounded separately. Question Slide: 3-4 min Theory Slide: 2-3 min Describe what ETFs are and who uses them. ANNOTATION #1: explain the advantage of ETFs over mutual funds and note that they are priced continuously throughout the trading day versus mutual funds that are priced only at the end of each day. Also note that ETFs, like stocks, can be sold short. Question Slide: 3-4 min 1. An ETF is appropriate for Bash.   2. Actively managed funds charge high fees.   3. Direct investments cannot be well diversified on $30,000/   4. CDs are too conservative.   Choice "a" is the best answer. Theory Slide: 2-3 min ANNOTATION #1: Owning a property outright is called "fee simple" or free and clear. ANNOTATION #2: You can also invest in debt secured by real estate. REITS trade on exchanges like closed end mutual funds. Theory Slide: 3-4 min Discuss the characteristics of real estate investments. ANNOTATION #1: Each property has unique features that make direct comparisons difficult. ANNOTATION #2: Real estate is illiquid. It might take time to exit and therefore might require the seller to make price concessions if he wants out quickly. Real estate markets tend to be influenced by regional and local factors, so there is not “national” auction to provide transparent pricing information. Lack of freely available information creates informational imbalances between buyers and sellers. Theory Slide: 3-4 min Explain each approach. ANNOTATION #1: The cost approach is used when the other two methods are impractical. The comparative sales approach is commonly used to value residential real estate. ANNOTATION #2: A hedonic model is basically a regression of recent home sales where the independent variables are the various features of the homes that sold and the regression coefficients assign dollar values to each to arrive at a property value. Theory Slide: 3-4 min The income approach is applicable to revenue generating properties. Note that we’re looking at expected (next period) NOI. ANNOTATION #1: It is based on the net operating income (EBIT – Depr), which is similar to a free cash flow or pre-tax cash flow concept. ANNOTATION #2: Note that the value of the property is independent of the method used to finance it, so mortgage interest is excluded from NOI. The capitalization rate is inferred from similar property sales. Question Slide Question Slide 1. First, calculate the NOI of the property:   NOI = EBIT + DEPR = $318,000   (Bracket the revenues, less the costs up to depreciation in the income statement data).   2. Second, determine the cap rate:   Cap rate = $96,000/$1,200,000 = 8% (based on the information given).   3. The fair market value of the property is:   VRE = NOI/cap rate = $318,000/.08 = $3,975,000   Therefore, Choice "d" is correct. Theory Slide: 2-3 min Explain what Private Equity, in general, and Venture Capital, specifically, are and basically how firms progress from seed to IPO stages. These investments, like most alternative investments, present liquidity problems. Once you’re in, it might be difficult to get out without making price concessions. ANNOTATION #1: The time from seed to IPO can take many years. ANNOTATION #2: Manager incentives that compensate based on fund size (percent of assets) can encourage poor investment choices that increase size, but not necessarily returns. ANNOTATION #3: If the VC market gets hot, there’s a lot of money chasing projects. Under these conditions, projects that probably shouldn’t be funded get money. When the market goes cold, there is a shortage of money and projects that should be funded are left out in the cold. Theory Slide: 3-4 min The valuation of VC investments requires a few heroic estimates: What will we get when we exit? How long until we exit? What is the probability of success (and, by inference, failure)? VC investments can be valued based on the probability weighted NPV. ANNOTATION #1: Note that the project will either succeed or fail, so the probabilities must sum to . Therefore, by knowing the probability of failure, you also know the probability of success and vice versa. Question Slide: 1. It is very possible that a quantitative question assessing the attractiveness of a venture capital investment may be on the exam. This question is indicative of what such a question could be.   2. The probability of failure for the venture is given in the problem as 25% in the first year, subsequently falling by 5% per year thereafter for 5 years. Therefore, the probability of success in the first year is 75% and this probability will increase 5% per year every year thereafter for up to 5 years. Therefore, the probability that the firm will be successful for 5 years and reach the IPO stage is, according to the multiplication rule of probability (to reach the IPO stage, the firm has to be successful in Year 1 AND Year 2 AND Year3 AND Year 4 AND Year 5):   P(success) = (.75)(.80)(.85)(.90)(.95) = .4361   3. If the firm reaches the IPO stage, the problem states that the investor will receive an estimated $100 million from the sale of shares to the public. Since the investor is investing $10 million today into the venture and requires a 20% return to compensate for the high risk, the net present value (NPV) of a successful venture would be:   NPVSuccess = $100 million/()5 - $10 million = $ million   If the venture fails anywhere along the line, the investor loses the entire $10 million investment. Thus, the NPV of a failed venture is $10 million:   NPVFailure = -$10 million/()0 = -$10 million   4. The expected NPV of the venture is the weighted average of the NPVSuccess and the NPVFailure, with the weights being the P(success) and the P(failure), respectively. If the probaility of the venture being a success is .4361, then the probability of it being a failure is .5639. Therefore, the expected NPV of the venture is:   E(NPV) = .$ million(.4361) - $10 million(.5639) = $ million   Therefore, Choice "a" is correct. The venture is a worthwhile investment because it is expected to generate a positive NPV. Theory Slide: 3-4 min Hedge funds proliferated through the late 1990’s. They employ a wide variety of strategies that are focused on high absolute returns as opposed to returns relative to a benchmark. Hedge fund managers want freedom to pursue strategies that are geared toward high absolute returns. These strategies often involve leverage and the use of derivatives. Hedge funds are usually organized as limited partnerships or as offshore entities. By an large they are exempt from most regulation. To qualify as an "unregulated hedge fund," it must comply with certain restrictions: Only allow accredited investors to be partners in the fund (individuals worth $1 million or with incomes above $200,000). They are prohibited from advertising, and the number of partners is restricted (usually to around 1,000). Because of these restrictions, the minimum investment is usually fairly big. Because they are seeking high absolute returns (and presumably succeeding) hedge fund managers demand high fees for their services (which should also attract the best and the brightest). ANNOTATION #1: In addition to a management fee taken as a percentage of total assets, the hedge fund manager also claims an incentive fee as a percent of the profit. Theory Slide: 3-4 min Describe each of the general strategies of hedge funds. ANNOTATION #1: Market neutral strategies balance the betas of the long positions against the betas of the short positions to stay "market-neutral" and rely solely on stock picking ability to generate returns. Theory Slide: 2-3 min Funds of funds are mutual funds that invest in hedge funds. Explain the advantages and disadvantages of FOF. Because of the high minimum investments for most hedge funds, FOF offer small investors the opportunity to pool their money and get access to hedge funds. ANNOTATION #1: FOF investors get hit with the FOF manager fees plus the individual hedge fund managers’ fees. That’s a double whammy. Theory Slide: 3-4 min Explain the risks implicit in hedge fund strategies, particularly the use of leverage through margin, borrowing, and derivatives. ANNOTATION #1: Because many strategies use large amounts of leverage to exploit small mispricings, they are very dependent on the liquidity in the specific markets they’re targeting. If liquidity suddenly evaporates because of some crisis (as happened to Long-term Capital), the resulting losses can be catastrophic. Explain a short squeeze. Performance of hedge funds is difficult to pin down because of the unregulated nature of the industry. Most empirical evidence does suggest that hedge funds do generate excess returns. However, performance databases are subject to a variety of biases: ANNOTATION #2: Explain Survivorship bias, self-selection bias, and management incentives to take big risks. Question Slide 1. This question is answered by a simple calculation:   Total Fee = .02 + .20(,15 - .03) = %   Investor Return = % - % = %   The answer is Choice "c". Question Slide 1. The best answer to this question is that the fund is a market neutral fund (Choice "b"). This is because the manager attempts to maintain an overall beta of zero. While this might be accomplished by having both long and short positions, the purpose is not simply to be long the undervalued securities and short the overvalued ones; the purpose is to have a beta of zero so that the direction of the market is neutralized in affecting the overall return.   2. All market neutral portfolios might have long/short positions, but not all long/short portfolios are market neutral!   3. There is nothing in the facts presented in the problem that should lead to the conclusion that this is an event driven or global macro fund. Theory Slide: 3-4 min This slide rounds out the list of alternative investments. Explain some of the pros and cons of each. ANNOTATION #1: Note that extensive knowledge of the law is often required when investing in closely held companies because of issues surrounding incorporation, taxes, ownership rights, minority interests, etc. ANNOTATION #2: There are several potential outcomes to distressed debt: If the firm is liquidated in a bankruptcy, the debt holders are at the front of the line for the distribution of assets. If the firm is reorganized, it might trade the debt for equity. If the firm is acquired, the acquirer may assume the debt (increasing the credit quality) or simply pay it off. If the firm turns around, the credit quality will improve and the value of the debt along with it. Commodities offer diversification benefits and inflation protection. Question Slide: 3-4 min Question Slide 1. If you do nothing, you cannot gain from the distress.   2. If you buy the stock and the company goes bankrupt, your position is precarious.   3. If you buy the bonds at a distressed price, there are several ways you could profit from the situation:   ·         In a liquidation, you could get a larger payoff than you paid for the bonds. ·         In a reorganization, you could get equity. ·         If there is a takeover, the new owner might pay off the bonds. ·         If there is a turnaround, the bond prices would likely rise.   The best answer is Choice "c", buy the bonds. Load the next lecture (L1S18)