CFA课后习题：另类投资

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PracticeProblems65

PRACTICEPROBLEMS

।Whichofthefollowingisleastlikelytobeconsideredanalternative

investment?

ARealestate

BCommodities

CLong-onlyequityfunds

2PrivateequityfundsaremostLikelytouse:

八mergerarbitragestrategies.

Bleveragedbuyouts.

Cmarket-neutralstrategies.

3Aninvestorisseekinganinvestmentthatcantakelongandshortpositions,

mayusemulti-strategies,andhistoricallyexhibitslowcorrelationwithatra­

ditionalinvestmentportfolio.Theinvestorsgoalswillbebestsatisfiedwithan

investmentin：

Arealestate.

Bahedgefund.

Caprivateequityfund.

4Relativetotraditionalinvestments,alternativeinvestmentsareleastlikelytobe

characterizedby:

Ahighlevelsoftransparency.

Blimitedhistoricalreturndata.

(significantrestrictionsonredemptions.

5Alternativeinvestmentfundsaretypicallymanaged:

Aactively.

Btogeneratepositivebetareturn.

(assumingthatmarketsareefficient.

6Comparedwithtraditionalinvestments,alternativeinvestmentsaremorelikely

tohave:

Agreateruseofleverage.

Blong-onlypositionsinliquidassets.

(moretransparentandreliableriskandreturndata.

7Thepotentialbenefitsofallocatingaportionofaportfoliotoalternativeinvest­

mentsinclude:

Aeaseofmanagerselection.

Bimprovementintheportfolio'srisk-returnrelationship.

(accessibleandreliablemeasuresofriskandreturn.

8Aninvestormaypreferasinglehedgefundtoafundoffundsifheseeks:

,Aduediligenceexpertise.

Bbetterredemptionterms.

Calesscomplexfeestructure.

9Hedgefundsaresimilartoprivateequityfundsinthatboth:

Aaretypicallystructuredaspartnerships.

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66Reading50IntroductiontoAlternativeInvestments

Bassessmanagementfeesbasedonassetsundermanagement.

♦donotearnanincentivefeeuntiltheinitialinvestmentisrepaid.

10Aninvestorseeksacurrentincomestreamasacomponentoftotalreturn,

anddesiresaninvestmentthathistoricallyhaslowcorrelationwithotherasset

classes.Theinvestmentmostlikelytoachievetheinvestorsgoalsis:

Atimberland.

Bcollectibles.

Ccommodities.

11Bothevent-drivenandmacrohedgefundstrategiesuse:

Along-shortpositions.

Batop-downapproach.

(long-termmarketcycles.

12Hedgefundlossesaremostlikelytobemagnifiedbya：

Amargincall.

Blockupperiod.

Credemptionnoticeperiod.

13Thefirststageoffinancingatwhichaventurecapitalfundmostlikelyinvestsis

the:

Aseedstage.

Bmezzaninestage.

(angelinvestingstage.

14Whatisthemostsignificantdrawbackofarepeatsalesindextomeasure

returnstorealestate?

ASampleselectionbias

BUnderstatementofvolatility

IRelianceonsubjectiveappraisals

15Comparedwithdirectinvestmentininfrastructure,publiclytradedinfrastruc­

turesecuritiesarecharacterizedby:

Ahigherconcentrationrisk.

Bmore-transparentgovernance.

(greatercontrolovertheinfrastructureassets.

16Anequityhedgefundfollowingafundamentalgrowthstrategyusesfundamen­

talanalysistoidentifycompaniesthataremostlikelyto:

Abeundervalued.

Bbeeitherundervaluedorovervalued.

Cexperiencehighgrowthandcapitalappreciation.

17Whichofthefollowingismostlikelytobeavailablewhenconductinghedge

fundduediligence?

•AIliebenchmarkusedbythefund

BInformationonsystemsriskmanagement

(Detailsofinvestmentstrategiesandprocesses

18Aprivateequityfunddesiringtorealizeanimmediateandcompletecashexit

fromaportfoliocompanyismostlikelytopursuea(n):

AIPO.

Btradesale.

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PracticeProblems67

Crecapitalization.

19Astheloan-to-valueratioincreasesforarealestateinvestment,riskmostlikely

increasesfor:

Adebtinvestorsonly.

Bequityinvestorsonly.

(bothdebtandequityinvestors.

20Whichofthefollowingformsofinfrastructureinvestmentsisthemostliquid?

AAnunlistedinfrastructuremutualfund

BAdirectinvestmentinagreenfieldproject

CAnexchange-tradedmasterlimitedpartnership(MLP)

21Aninvestorchoosestoinvestinabrownfieldratherthanagreenfieldinfra­

structureproject.Theinvestorismostlikelymotivatedby:

Agrowthopportunities.

Bpredictablecashflows.

(higherexpectedreturn5.

22Theprivatizationofanexistinghospitalisbestdescribedas:

Aagreenfieldinvestment.

Babrownfieldinvestment.

(aneconomicinfrastructureinvestment.

23Ahedgefundinvestsprimarilyindistresseddebt.Quotedmarketpricesare

availablefortheunderlyingholdingsbuttheytradeinfrequently.Whichofthe

followingwillthehedgefundmostlikelyuseincalculatingnetassetvaluefor

tradingpurposes?

AAveragequotes

BAveragequotesadjustedforliquidity

(Bidpricesforshortpositionsandaskpricesforlongpositions

24Angelinvestingcapitalistypicallyprovidedinwhichstageoffinancing?

ALater-stage.

BFormative-stage.

CMezzanine-stage.

25Ifacommodity'sforwardcurveisincontango,thecomponentofacommodi­

tiesfuturesreturnmostlik?lytoreflectthisis:

Aspotprices.

Btherollyield.

Cthecollateralyield.

26UnitedCapitalisahedgefundwith$250millionofinitialcapital.United

chargesa2%managementfeebasedonassetsundermanagementatyearend,

anda20%incentivefeebasedonreturnsinexcessofan8%hurdlerate.Inits

hrstyear,Unitedappreciates16%.Assumemanagementteesarecalculated

usingend-of-periodvaluation.Tieinvestorsnetreturnassumingtheperfor­

mancefeeiscalculatednetofthemanagementfeeisclosestto:

A11.58%.

B12.54%.

C12.80%.

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68Reading50IntroductiontoAlternativeInvestments

27CapricornFundofFundsinvestsGBP100millionineachofAlphaHedge

FundandABCHedgeFund.CapricornFOFhasa"1and10"feestructure.

Managementfeesandincentivefeesarecalculatedindependentlyattheend

ofeachyear.Afteroneyear,netoftheirrespectivemanagementandincen­

tivefees,theinvestmentinAlphaisvaluedatGBP80millionandtheinvest­

mentinABCisvaluedatGBP140million.Theannualreturntoaninvestorin

Capricorn,netoffeesassessedatthefundoffundslevel,isclosestto：

A7.9%.

B8.0%.

C8.1%.

28ThefollowinginformationappliestoRotundaAdvisors,ahedgefund：

$288millioninassetsundermanagement(AUM)asofprioryear-end

2%managementfee(basedonyear-endAUM)

20%incentivefeecalculated：

netofmanagementfee

usinga5%softhurdlerate

usingahigh-watermark(high-watermarkis$357million)

Currentyearfundreturnis25%

ThetotalfeeearnedbyRotundainthecurrentyearisclosestto：

A$7.20million.

B$20.16million.

C$21.60million.

29Ahedgefundhasthefollowingfeestructure:

Annualmanagementfeebasedonyear-endAUM2%

Incentivefee20%

Hurdleratebeforeincentivefeecollectionstarts4%

Currenthigh-watermark$610million

Thefundhasavalueof$583.1millionatthebeginningoftheyear.Afterone

year,:thasavalueof$642millionbeforefees.Ihenetreturntoaninvestorfor

thisyearisclosestto:

A6.72%.

B6.80%.

C7.64%.

30AshLawnPartners,afundofhedgefunds,hasthefollowingfeestructure:

2/20underlyingfundfeeswithincentivefeescalculatedindependently

AshLawnfeesarecalculatednetofallunderlyingfundfees

1%managementfee(basedonyear-endmarketvalue)

10%inctnLivvftccalculdLudnetofJiaiia^eniciilfee

Thefundandallunderlyingfundshavenohurdlerateorhigh-watermark

feeconditions

Inthelatestyear,AshLawnsfundvalueincreasedfromSI0()millionto

$133millionbeforedeductionofmanagementandincentivefeesofthefundor

underlyingfunds.Basedontheinformationprovided,thetotalfeeearnedbyall

fundsintheaggregateisclosestto：

A$11.85million.

PracticeProblems69

B$12.75million.

CS12.87million.

31Risksininfrastructureinvestingaremostlikelygreatestwhentheproject

involves:

Aconstructionofinfrastructureassets.

Binvestmentinexistinginfrastructureassets.

Cinvestinginassetsthatwillbeleasedbacktoagovernment.

32Aninvestorinaprivateequityfundisconcernedthatthegeneralpartnercan

receiveincentivefeesinexcessoftheagreed-onincentivefeesbymakingdistri­

butionsovertimebasedonprofitsearnedratherthanmakingdistributionsonly

atexitfrominvestmentsofthefund.Whichofthefollowingismostlikeyto

protecttheinvestorfromthegeneralpartnerreceivingexcessfees?

AAhighhurdlerate

BAclawbackprovision

CAlowercapitalcommitment

33Untilthecommittedcapitalisfullydrawndownandinvested,themanagement

feeforaprivateequityfundisbasedon：

Ainvestedcapital.

Bcommittedcapital.

Cassetsundermanagement.

34Ananalystwantingtoassessthedownsideriskofanalternativeinvestmentis

leastlikelytousetheinvestment's:

ASortinoratio.

Bvalueatrisk(VaR).

(standarddeviationofreturns.

35Aneffectiveriskmanagementprocessusedbyalternativeinvestmentfunds

mostlikelyincludes:

Ain-housevaluations.

Binternalcustodyofassets.

(segregationofriskandinvestmentprocessduties.

70Reading50IntroductiontoAlternativeInvestments

SOLUTIONS

1Ciscorrect.Long-onlyequityfundsarctypicallyconsideredtraditionalinvest­

mentsandrealestateandcommoditiesaretypicallyclassifiedasalternative

investments.

2Biscorrect.Themajorityofprivateequityactivityinvolvesleveragedbuyouts.

Mergerarbitrageandmarketneutralarestrategiesusedbyhedgefunds.

3Biscorrect.Hedgefundsmayuseavarietyofstrategies(event-driven,relative

value,macroandequityhedge),generallyhavealowcorrelationwithtradi­

tionalinvestments,andmaytakelongandshortpositions.

4Aiscorrect.Alternativeinvestmentsarecharacterizedastypicallyhavinglow

levelsoftransparency.

5Aiscorrect.Therearemanyapproachestomanagingalternativeinvestment

fundsbuttypicallythesefundsareactivelymanaged.

6Aiscorrect.Investinginalternativeinvestmentsisoftenpursuedthroughsuch

specialvehiclesashedgefundsandprivateequityfunds,whichhaveflexibility

touseleverage.Alternativeinvestmentsincludeinvestmentsinsuchassetsas

realestate,whichisanilliquidasset,andinvestmentsinsuchspecialvehicles

asprivateequityandhedgefunds,whichmaymakeinvestmentsinilliquid

assetsandtakeshortpositions.Obtaininginformationonstrategiesusedand

identifyingreliablemeasuresofriskandreturnarechallengesofinvestingin

alternatives.

7Biscorrect.Addingalternativeinvestmentstoaportfoliomayprovidediver­

sificationbenefitsbecauseoftheseinvestments'lessthanperfectcorrelation

withotherassetsintheportfolio.Asaresult,allocatingaportionofone'sfunds

toalternativescouldpotentiallyresultinanimprovedrisk-returnrelationship.

Challengestoallocatingaportionofaportfoliotoalternativeinvestments

includeobtainingreliablemeasuresofriskandreturnaswellasselectingport­

foliomanagersforthealternativeinvestments.

8Ciscorrect.Hedgefundsoffundshavemulti-layeredfeestructures,whilethe

feestructureforasinglehedgefundislesscomplex.Fundsoffundspresum

ablyhavesomeexpertiseinconductingduediligenceonhedgefundsandmay

beabletonegotiatemorefavorableredemptiontermsthancouldanindividual

investorinasinglehedgefund.

9Aiscorrect.Privateequityfundsandhedgefundsaretypicallystructured

aspartnershipswhereinvestorsarelimitedpartners(LP)andthefundisthe

generalpartner(GP).Themanagementfeeforprivateequityfundsisbasedon

committedcapitalwhereasforhedgefundsthemanagementfeesarebasedon

assetsundermanagement.Formostprivateequityfunds,thegeneralpartner

doesnotearnanincentivefeeuntilthelimitedpartnershavereceivedtheir

initialinvestmentback.

10Aiscorrect.Timberlandoffersanincomestreambasedonthesaleoftimber

productsasacomponentoftotalreturnandhashistoricallygeneratedreturns

nothighlycorrelatedwithotherassetclasses.

11Aiscorrect.Long-shortpositionsareusedbybothtypesofhedgefundsto

potentiallyprofitfromanticipatedmarketorsecuritymoves.Event-driven

strategiesuseabottom-upapproachandseektoprofitfromshort-termevents

typicallyinvolvingacorporateaction,suchasanacquisitionorarestructuring.

Macrostrategiesseektoprofitfromexpectedmovementsinevolvingeconomic

variables.

Solutions71

12Aiscorrect.Margincallscanmagnifylosses.Tomeetthemargincall,the

hedgefundmanagermaybeforcedtoliquidatealosingpositioninasecurity,

which,dependingonthepositionsize,couldexertfurtherpricepressureonthe

security,resultinginfurtherlosses.Restrictionsonredemptions,suchaslockup

andnoticeperiods,mayallowthemanagertoclosepositionsinamoreorderly

mannerandminimizeforced-saleliquidationsoflosingpositions.

13Aiscorrect.Theseedstagesupportsmarketresearchandproductdevelopment

andisgenerallythefirststageatwhichventurecapitalfundsinvest.Theseed

stagefollowstheangelinvestingstage.Intheangelinvestingstage,fundsarc

typicallyprovidedbyindividuals(oftenfriendsorfamily),ratherthanaventure

capitalfund,toassessanideaspotentialandtotransformtheideaintoaplan.

Mezzanine-stagefinancingisprovidedbyventurecapitalfundstopreparethe

portfoliocompanyforitsIPO.

14Aiscorrect.Arepeatsalesindexusesthechangesinpriceofrepeat-saleprop­

ertiestoconstructtheindex.Sampleselectionbiasisasignificantdrawback

becausethepropertiesthatsellineachperiodvaryandmaynotberepresenta­

tiveoftheoverallmarkettheindexismeanttocover.Thepropertiesthattrans­

actarenotarandomsampleandmaybebiasedtowardpropertiesthatchanged

invalue.Understatedvolatilityandrelianceonsubjectiveappraisalsbyexperts

aredrawbacksofanappraisalindex.

15Biscorrect.Publiclytradedinfrastructuresecurities,whichincludeshares

ofcompanies,exchange-tradedfunds,andlistedfundsthatinvestininfra­

structure,providethebenefitsoftransparentgovernance,liquidity,reasonable

fees,marketprices,andtheabilitytodiversifyacrossunderlyingassets.Direct

investmentininfrastructureinvolvesalargecapitalinvestmentinanysingle

project,resultinginhighconcentrationrisks.Directinvestmentininfrastruc­

tureprovidescontrolovertheassetsandtheopportunitytocapturetheassets'

fullvalue.

16Ciscorrect.Fundamentalgrowthstrategiestakelongpositionsincompanies

identified,usingfundamentalanalysis,tohavehighgrowth2ndcapitalappreci­

ation.Fundamentalvaluestrategiesusefundamentalanalysistoidentifyunder­

valuedcompanies.Market-neutralstrategiesusequantitativeand/orfundamen­

talanalysistoidentifyunder-andovervaluedcompanies.

17Aiscorrect.Itshouldbepossibletoidentifythebenchmarkagainstwhichthe

fundgaugesitsperformanceinthehedgefundduediligenceprocess.Itshould

alsobepossibletoestablishtherangeofmarketsinwhichthefundinvests

aswellasthefund'sgeneralstrategy.Hedgefundsconsidertheirstrategies,

systems,andprocessestobeproprietaryandareunwillingtoprovidemuch

informationtopotentialinvestors.

18Biscorrect.Privateequityfundscanrealizeanimmediatecashexitinatrade

sale.Usingthisstrategy,theportfoliocompanyistypicallysoldtoastrategic

buyer.

19Ciscorrect.Thehighertheloan-to-valueratio,thehigherleverageisforareal

estateinvestment,whichincreasestherisktobothdebtandequityinvestors.

20Ciscorrect.Apubliclytradedinfrastructuresecurity,suchasanexchange-

tradedMLP,providesthebenefitofliquidity.

21Biscorrect.Abrownfieldinvestmentisaninvestmentinanexistinginfrastruc­

tureasset,whichismorelikelytohaveahistoryofsteadycashflowscompared

withthatofagreenfieldinvestment.Growthopportunitiesandreturnsare

expectedtobelowerforbrownfieldinvestments,whicharelessriskythan

greenfieldinvestments.

72Reading50IntroductiontoAlternativeInvestments

22Biscorrect.Investinginanexistinginfrastructureassetwiththeintentto

privatize,lease,orsellandleasebacktheassetisreferredtoasabrownfield

investment.Aneconomicinfrastructureassetsupportseconomicactivityand

includessuchassetsastransportationandutilityassets.Hospitalsaresocial

infrastructureassets,whicharefocusedonhumanactivities.

23Biscorrect.Manypractitionersbelievethatliquiditydiscountsarenecessaryto

reflectfairvalue.ThishasresultedinsomefundshavingtwoNAVs-fortrading

andreporting.Thefundmayuseaveragequotesforreportingpurposesbut

applyliquiditydiscountsfortradingpurposes.

24Biscorrect.Formative-stagefinancingoccurswhenthecompanyisstillinthe

processofbeingformedandencompassesseveralfinancingsteps.Angelinvest­

ingcapitalistypicallyraisedinthisearlystageoffinancing.

25Biscorrect.Rollyieldreferstothedifferencebetweenthespotpriceofacom­

modityandthepricespecifiedbyitsfuturescontract(orthedifferencebetween

twofuturescontractswithdifferentexpirationdates).Whenfuturespricesare

higherthanthespotprice,thecommodityforwardcurveisupwardsloping,and

thepricesarereferredtoasbeingincontango.Contangooccurswhenthereis

littleornoconvenienceyield.

26Biscorrect.Thenetinvestorreturnis12.54%,calculatedas:

Endofyearcapital=$250million>:1.16=$290million

Managementfee-$290millionx2%-$5.8million

Hurdleamount=8%of$250million=$20million;

Incentivefee=($290-$250-$20-$5.8)millionx20%=$2.84million

TotalfeestoUnitedCapital=($5.8+$2.84)million=$8.64million

Investornetreturn:($290-$250-$8.64)/$250=12.54%

27Aiscorrectbecausethenetinvestorreturnis7.9%,calculatedas:

First,notethatH1and100referstoa1%managementfee,anda10%incentive

fee.

Endofyearcapital=GBP140million十GBP80million=GBP220million

Managementfee=GBP220millionx1%=GBP2.2million

Incentivefee=(GBP220-GBP200)millionx10%=GBP2million

TotalfeestoCapricorn=(GBP2.2+GBP2)million=GBP4.2million

Investornetreturn:(GBP220-GB?200-GBP4.2)/GBP200=7.9%

28Aiscorrect.Rotundaearnsamanagementfeeof$7.20millionbutdoesnot

earnanincentivefeebecausetheyear-endfundvaluenetofmanagementfee

doesnotexceedthehigh-watermarkof$357million.

Rotundafees:

End-of-yearAUM=Prioryear-endAUMx(1+Fundreturn)=$288mil­

lionx1.25=$360million

S360millionx2%=$7.20millionmanagementfee

S360million-$7.2million=$352.3millionAUMnetofmanagementfee

Theyear-endAUMnetoffeesdoesnotexceedthe$357millionhigh-water

markIhercfore,noincentivefeeisearned.

Solutions73

29Ciscorrect.Themanagementfeefortheyearis

S642x0.02=S12.84million.

Becausetheendingvalueexceedsthehigh-watermark,thehedgefundcan

collectanincentivefee.Theincentivefeeis

{$642-($610x(1+0.04)]}x0.20=$1.52million.

Thenetreturntotheinvestorfortheyearis

[($642-S12.84-$1.52)/$583.1]-1«0.07638«7.64%.

30Biscorrect.Totalfeespaidtoallfunds(underlyingfundsardAshLawn)arc

$12.75million,consistingofunderlyingfundfeesofS9.26trillionandAsh

LawnfeesofS3.49million,calculatedasfollows:

Underlyingfiindfees:

Managementfee=$133millionx0.02=$2.66million.

Incentivefee=($133-$100)millionx0.20=$6,60million.

Totalunderlyingfundfees($2.66+$6.60)m