CFA Level I 另类投资知识点整理

Study Session 18

Reading 60

1. 另类投资 定义:除了股票债券实物资产之外的投资资产.

2.Alternatives 分类

Hedge funds

Private equity funds

Real estate

Commodities

3.Characteristics of Alternatives

流动性差

高杠杆

对基金经理要求更专业化

监管少,透明度不高

历史数据少

法律税务问题

4.Potential Benefits of Alternatives: 和 传 统 投 资 品 的 相 关 系 数 小 , 高 杠 杆 ,

suivivorship bias,backfill bias

5.Hedge funds:

1)对冲基金管理费的计算: A common fee “2 and 20”;

2) Hedge Fund Strategies: Merger arbitrage, Distressed/restructuring, Activist

shareholder, Special situations, Convertible arbitrage fixed income, Asset-backed fixed
income, General fixed income, Volatility, Multi-strategy, Macro strategies, Equity
hedge fund strategies, Market neutral, Fundamental growth, Fundamental value,
Quantitative directional, Short bias

3) Due Diligence for Hedge Fund

Investment strategy and process

Track record

Size and Longevity

Systems for risk management

Management style

Key person risk

Reputation

Growth plans

Appropriateness of benchmarks

6. Private Equity

1) Leveraged buyouts (LBOs)

Venture capital (VC):不同阶段(Formative stage, Later stage, Mezzanine-stage)

Developmental capital or minority equity investing

Distressed investing

2) Exit Strategies:

IPO, Recapitalization

Trade sale

Secondary sale

Write-off/liquidation

3)PE 估值:比较法,DCF, asset based approach

7.real estate:

1) 3 types of index: Appraisal index, Repeat sales index, REIT indices

2)估值:对于 private,用 income approach, cost approach, sales comparison approach;

对 于 public: 用 DCF,FFO,AFFO

3)risk:杠杆,宏观经济波动,基金经理的能力,税收的变化,

8.commodity

1) 分 类 :

Derivatives 衍生品

ETF

与商品投资相关的 equity

管理期货

单独管理账户 2)

特点:return 比股票债券低,高波动性,低相关性,抗通胀3)futures

return= Roll yield+ Collateral yield+ Change in spot prices

4) Contango: FP>SP Backwardation: FP<SP

9. Risk Management of Alternatives 1)

风险指标:标准差,VAR, Sortino ratio

2)风险指标特点:透明度不高,风险收益的错误理解,相关系数不稳定