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编辑于2021-05-31 16:36:21另类
R39private real estate investment
1.相关概念
real estate two dimension
交易场所private&public
投资本身性质equity&debt
real estate特点:heterogeneity,high unit value;illiquidity
commerical real estate
office
demand depend on:employment growth;space per employee
gross lease(CF=rent-exp);net lease(expense reimbursement,CF=rent)
区别是net lease有reinbursement
Gross lease bear operating exp risk
retail零售中心
percentage lease:fixed + %
industrial and warehouse
mult-family
reasons and risk to invest real estate
投资房地产有tax benefit,个人所得税扣除
判断property risk 用discount risk
2.valuation
income approach
direct capitalization method
Gross lease
V0=NOI (下标1)/cap rate
NOI:net operating income计算包含几项
NOI=rental income at full occupancy+other income-vacancy and collection loss -operating exp
Cap rate 计算:1 r-g;2 房地产类似交易NOI/V
stabilized NOI未来某一年发生意外情况
假设没有发生V-多余的
net lease,V0=rent1/ARY
ART all risk yield
DCF method
1
stage1:NOI1,NOI2...NOIn的PV
直接卖掉
value=gross income*gross income multipiler
MVn/(1+r)n次方
MVn=NOIn+1/(r-g)
Use terminal cap rate
2
stage1:NOI1,NOI2...NOIn的PV
review rent
term and reversion approach
纵向切割
layer method
横向切割
r以折现的对象确定
计算注意对应CF的折现率
cost approach
replacement adjust
最后加土地
obsolescence(-)
sales comparsion approach
(单价)调整psf,size,age,condition,location,time
多个取平均,乘以面积
3.others
index
appraisal-based index(lag)
定期全部重估。quarterly data;value-weighted
drawback:tend to smooth the index and reduce volatility
transaction-based index
没有交易假设不变,有交易重新评估
max loan
debt service coverage ration DSCR=first-year NOI/debt service一年偿还的利息
loan-to-value LTV ratio=loan amount/appraisal value
同时满足,取min
投资者角度收益率
Equity div rate(cash on cash return=first year cash flow/equity
leverage IRR
base on 自有资金
unleverage IRR
base on all-cash,no debt
通过年金计算器
R40public traded real estate securities
1.概念相关
type
equity:REIT;REOCs debt:MBS hybird
优缺点
优
&direct investment:great liq;lower invest requirement;limited lia;access to superior quality and range of properties;diversification
&REOC:Taxation;earnings predictability;high income payout ratio 缺:operating flexibility
缺
taxation;control;costs;structural conflicts and related costs;realative moderate income growth potential;
subtype影响因素
most importment:national GDP growth
次要
retail&industrial(retail sales growth);hotel&office(job creation);mult-family(job creation,population growth);storage&health care(population growth)
2.valuation
单位份额净值NAVPS
(A-L)/#
A:real-estate=房地产NOI1/cap rate、A/R、cash
NOI adjust:last 12 month NOI —non cash rent+full year adjustment for acqiisitions
P/FFO,P/AFFO
求P(share)
FF0=accounting net earnings+depr and amort-gain/+loss from sales of porperty and debt reatructuring
实务中用的多
AFFO=FF0-non cash rent-maintenance type capital expenditures and leasing cost
投资者prefer
DDM
股利折现
折现计算时不能用cap rate ,是REIT所投资房子的折现率,用re
R41rprivate equity valuation 私募股权基金
1.概念相关
type
venure capiral
DCF不可用;风险不可衡量;unpredictable exit;high cash burn rate
buyout
DCF可;风险可衡量;predictable exit
mechanism相关条款
tag-alone,drag-along随售权;preferred dividends and liquidation preference;earn-outs(设置milestone);noncompete clause(performance达标);reserved matters
term
economic
management fee;transaction fee中介相关成本;carried interest(for GP);hurdle rate;ratchet股权激励;fund size ;vintage;term of fund
goverance
key man clause;disclosure and confidentiality;clawback provision;distribution waterfull:deal by deal(按项目)total return watergull 注:deal by deal+clawback provision=total return ;tag-alone;co-investment
退出方式
IPO;secondary market(卖给PE,战略投资者);management buyout;liquidation
2.valuation(基金角度
venure capiral
1 投资额0时点/share
single单轮融资
POST;PRE;F;持股数;每股金额
two-stage
原则:金额从后往前,股数从前往后
2IRR method
投资额未来的除以share
buyout(IRR)
两个时点项目罗列;计算PE或管理层IRR、payoff multiple=FV/PV
折现率调整
r*=[(1+r)/(1-q)]-1
q:prob of failure in a year,+,r+
3.performance valuation(投资者角度对pe)
计算:PIC;DPI(distributed to paid-in capital);RVPI(residal value);TVPI;注意高水位计算carried int(NAV before distribution
R42Commodity
1.sector
农产品
grains
demand:human,fuel and animal feed
livestock:hogs,cattle,sheep,poultry
soft(cash crops):cotton,coffee,suger
金属
industrial(base)metal
GDP growth and industrial production
precious metal:gold,silver,platinum
energy
crude oil/petrpleum
影响因素:quality,weather,technongy,politics(dramatic risk factor),business cycle
natural gas
supply原油的替代,demand,cost-effectivity,high storage cost and transportation cost
refined product
heating oil,gas oil,jet oil,propone,gasline,bunker fuel
2.VS stock bond
持有期间成本
Commodity有,S&B 无
持有期间收益
Commodity无,S&B 有
valuation
Commodity期货价格腿现货价格
S&B DCF
3.Participants
hedgers,speculators,arbitageurs,exchanges,analysts,regulators
4,theory
basis=spot price-futures price
<0,backwardation
>0,contango
calendar spread=near term future contracts-longer term future contracts
insurance theory(贴水)
套期保值,producer short,sell forward(害怕价格下降),导致期货价格下跌,贴水
hedging pressure hypothesis
取决于多空双方力量对比near term future contracts-longer term future contracts
producer害怕价格下跌 short;consumer害怕价格上涨 long
theory of storage(升水)
futures price=spot price+direct storage costs-convenience yield
convenience yield持有期间带来的收益
用成本和收益判断升水贴水
5.total return
price return=(current return-pervious return)/previous return
Current 题目中可能用near term 的FP计算
roll return转仓
=(near term future contracts price-longer term future contracts price)/near term future contracts price
转仓的收益,延长仓位
>0,backwardation
<0,contango
collateral return
计算要去年化;表示保证金账户产生的收益
rebalance return
有投资组合情况下,调整组合权重的收益
加起来是total return