CFA Lv2 另类

CFA 2级 另类 思维导图 习题，包含M1 Introduction to Commodities and Commodity Derivatives、M2 Overview of Types of Real Estate Investment、M3 Publicly Traded Securities。

CFA Lv2 另类

• M1 Introduction to Commodities and Commodity Derivatives
  • Basics
    • 例题
      • Samantha Kelsen manages the commodities desk at SL Investments (SL). Her team advises institutional, corporate, and high-net-worth clients regarding investments in commodities. The team is evaluating potential and existing positions for several of SL's clients. An institutional client would like to obtain a diversified commodity position that has limited exposure to energy. The client is considering several commodity index funds that apply differing weighting and rebalancing approaches. Kelsen expects individual commodities to maintain their current price trends for the next several months. What is the best commodity index fund for Kelsen to recommend for the institutional client? A. An equal-weighted index fund that rebalances monthly B. An equal-weighted index fund that rebalances annually C. A production-weighted index fund that rebalances annually
        • B is correct A.Incorrect because in a trending market the more frequent rebalancing will move into (out of) the commodities with worst (best) performance. Rebalancing less frequently is advantageous in a market that is trending. Kelsen expects commodity prices to trend for the next several months. "However, frequent rebalancing can lead to underperformance in a trending market because the outperforming assets are sold but continue up in price, whereas the underperforming assets are purchased but still drift lower. B.Correct because an equal-weighted fund will be equally distributed across commodities, whereas a production-weighted fund will have a heavy exposure to energy. In addition, Kelsen expects commodities to trend for the next several months, so a fund that rebalances less frequently is preferred. A monthly rebalance would keep moving into (or moving out of) the worst (best) preforming commodity as the trend continues. "However, frequent rebalancing can lead to underperformance in a trending market because the outperforming assets are sold but continue up in price, whereas the underperforming assets are purchased but still drift lower. C.Incorrect because production-weighted index funds have a heavy allocation to energy commodities. The institutional client expressed an interest in keeping a limited exposure to energy. In the curriculum, an example states the following: "It uses a production value-weighting scheme that gives the largest weight to the most valuable commodity on the basis of physical trade value. It should be no surprise that crude oil has the highest single weight and energy has the highest sector weight (historically as high as 80%) in this index."
          • 这题的点可能有一点点偏。首先客户说不喜欢频繁动，所以应该选每年，然后这里的production-weighted，潜台词是能源的产量其实挺高的，所以我们应该用equal weighted。至于equal weighted天生需要频繁调整这一点，因为选项强行说了每年平衡一次，所以可以无视。
    • 分类
      • 能源
      • 谷物
      • 工业金属
      • 贵金属
      • 牲畜
      • 经济作物
    • 生命周期
    • 商品期货市场的参与者
      • 套期保值者
      • 交易和投资者
      • 交易所
      • 分析师
      • 监管者
    • 指数
      • 大宗商品指数构建的特征
  • Valuation
    • 与传统资产估值的区别
  • Commodity Future Returns
    • calendar spread
      • 例题
        • Nabli and Yamata then discuss potential new investments in the energy sector. They review Brent crude oil futures data, which are presented in Exhibit 1. Based on Exhibit 1, Yamata should conclude that the: A. calendar spread for Brent crude oil is $3.97. B. Brent crude oil futures market is in backwardation. C. basis for the near-term Brent crude oil futures contract is $0.05 per barrel.
          • 答案：B 解析： B is correct. The Brent crude oil futures market is in a state of backwardation. Commodity futures markets are in a state of backwardation when the spot price is greater than the price of near-term (i.e., nearest-toexpiration) futures contracts and, correspondingly, the price of near-term futures contracts is greater than that of longer-term contracts. The calendar spread is the difference between the near-term futures contract price and the longer-term futures contract price, which is $73.64 − $73.59 = $0.05. The basis for the nearterm Brent crude oil futures contract is the difference between the spot price and the near-term futures price: $77.56 − $73.64 = $3.92.
            • 注意calendar spread是日历上的近减远，剩下的是basis。
    • Basic concepts
      • Basis
        • spot - future
      • Calendar spread
        • near - long
        • 例题
          • Owen Adams, the portfolio manager of a pension fund, is looking at possible commodities investments. He is considering an actively managed futures fund making focused directional investments in precious metals. Adams first reviews selected futures contract data of the three precious metals markets presented in Exhibit 1. Based on the three precious metals futures contracts, the market for: A. gold is in backwardation, and its calendar spread is –$3.00 per ounce. B. silver is in backwardation, and its calendar spread is $0.20 per ounce. C. platinum is in contango, and its calendar spread is $3.90 per ounce.
            • B is correct Because the calendar spread is the difference between the near-term and the longer-term futures contract price, therefore the calendar spread of silver is $27.98 – $27.78 = $0.20 per ounce. The silver market is in backwardation, as when the near-term (i.e., closer to expiration) futures contract price is higher than the longer-term futures contract price, the futures market for the commodity is in backwardation. As the 1-month futures price is higher than the 3-month futures price, the futures market of silver is in a state of backwardation.
              • 要注意，calendar spread是短期减长期
      • Backwardation
        • S > N > L
        • 例题
          • Nabli and Yamata then discuss potential new investments in the energy sector. They review Brent crude oil futures data, which are presented in Exhibit 1. Yamata presents his research related to the energy sector, which has the following conclusions: ■ Consumers have been more concerned about prices than producers have. ■ Energy is consumed on a real-time basis and requires minimal storage. Based on Exhibit 1 and Yamata’s research on the energy sector, the shape of the futures price curve for Brent crude oil is most consistent with the: A. insurance theory. B. theory of storage. C. hedging pressure hypothesis.
            • 答案：B 解析： B is correct. The Brent crude oil futures market is in a state of backwardation: The spot price is greater than the price of near-term (i.e., nearest-to-expiration) futures contracts. Commodities (in this case, Brent crude oil) are physical assets, not virtual assets, such as stocks and bonds. Physical assets have to be stored, and storage incurs costs (rent, insurance, inspections, spoilage, etc.). According to the theory of storage, a commodity that is consumed along a value chain that allows for just-in-time delivery and use (i.e., minimal inventories and storage) can avoid these costs. Yamata’s research concluded that energy is consumed on a real-time basis and requires minimal storage. In this situation, demand dominates supply, and current prices are higher than futures prices (state of backwardation).
              • 首先consumer更关系，所以理论上应该contango，但是是backwardation，先排除C。 insurance theory的确也是backwardation，但是题目特别说了consumed on real-time basis，说明convenient yield比较高，相对于A，C是一个更佳合适的选项。
      • Contango
        • S < N < L
      • Cash settlement
        • higher involvement of speculators and arbitrageurs
      • Physical settlement
        • convergence of future and spot
    • 现货和期货价格
    • 期货合约的收益理论
      • Insurance theory
        • Backwardation
        • not explain contango
      • Hedging pressure hyphthesis
      • Theory of storage
        • Future price = spot price + storage costs - convenience yield
        • 例题
          • Based on Exhibit 1 and Yamata’s research on the energy sector, the shape of the futures price curve for Brent crude oil is most consistent with the: A. insurance theory. B. theory of storage. C. hedging pressure hypothesis.
            • 答案：B 解析： B is correct. The Brent crude oil futures market is in a state of backwardation. Commodity futures markets are in a state of backwardation when the spot price is greater than the price of near-term (i.e., nearest-toexpiration) futures contracts and, correspondingly, the price of near-term futures contracts is greater than that of longer-term contracts. The calendar spread is the difference between the near-term futures contract price and the longer-term futures contract price, which is $73.64 − $73.59 = $0.05. The basis for the nearterm Brent crude oil futures contract is the difference between the spot price and the near-term futures price: $77.56 − $73.64 = $3.92.
              • 注意calendar spread是日历上的近减远，剩下的是basis。
        • 例题
          • Menlc Bank recently released a report on the coffee market. Brown shares the key conclusion from the report with Musicale: "The coffee market had a global harvest that was greater than expected. Despite the large harvest, coffee futures trading activity is balanced between producers and consumers. This baianced condition is not expected to change over the next year." Based on the key conclusion from the Menlo Bank coffee market report, the shape of the coffee futures curve in Exhibit 2 is most consistent with the: A. insurance theory. B. theory of storage. C. hedging pressure hypothesis.
            • B is correct. The theory of storage focuses on the level of commodiw inventories and the state of supply and demand. A commodiw that is regularly stored should have a higher price in the future (contango) to account for those storage costs. Because coffee isa commodity that requires storage, its higher future price is consistent with the theory of storage
              • 这种题目就是逐个套，首先contango，先排除insurance。然后pressure是balanced，排除Hedging pressure，最后只剩一个storage
    • 商品期货收益率的来源
      • Price return
        • Price return = (current - previous) / previous
      • Collateral return
        • 不管是long还是short，都是正回报
      • Roll return
        • Roll return = (near - father) / near
      • Total return
        • Total return = price + collateral + roll
          • 例题
            • Brown shows Musicale the total return of a recent trade executed by the Apex Fund. Brown explains that the Apex Fund took a fully collateraiized long futures position in nearby soybean futures contracts at the quoted futures price of 865.0 (US cents/bushel). Three months later, the entire futures position was rolled when the near-term futures price was 877.0 and the farther-term futures price was 883.0. During the three-month period between the time that the initial long position was taken and the rolling of the contract, the collateral earned an annualized rate of 0.60%. The Apex Fund' s three-month total return on the soybean futures trade is closest to: A. 0.85%. B. 130%. C. 222%.
              • A is coirect. The total return on the trade represents the sum of three components: price return, roll return, and collateral retuni. Price Hetum = (Current price- Previous prke)/Previous price = (877.0- 865.O)''865.O = 1.387%. Rd! retuni = [(Near-term, futuies contract dosing price - Farther-term fatures contract dosing price).'Near-term futures contract dosing price] * Percentage of the position in the futures conttact being rolled. Because the entire po-sition is being rolled, the percentage of the position in the futures contract being rolled is equal to 100%. So: RoU return = [(877.0 - SS3.0>877.0] x 100°6 =-0.684%. Collateral return = [3 months/12 months] * 0.60% = 0.15% Total return = 1387%- 0.684%+ 0.15% = 0.853%.
                • 核心基本送分题，必须熟练掌握
  • Other Commodity Derivatives
    • Commodity swaps
      • 基本特征
      • 类别
        • Excess return swap
        • Total return swap
        • Basis swap
          • 例题
            • Because of a substantial decline in drilling activity in the North Sea, Nabli believes the price of Brent crude oil will increase more than that of heavy crude oil. The actual price volatility of Brent crude oil has been lower than its expected volatility, and Nabli expects this trend to continue. Nabli also expects the level of the ICE Brent Index to increase from its current level. Nabli and Yamata discuss how to use swaps to take advantage of Nabli's expectations. The possible positions are (1) a basis swap long on Brent crude oil and short on heavy crude oii, (2) a long volatility swap on Brent crude oil, and (3) a short position in an excess return swap that is based on a fixed level (i.e., the current level) of the ICE Brent Index. Given Nabli's expectations for crude oil, the most appropriate swap position is the: A. basis swap. B. volatility swap. C. excess return swap.
              • A is correct. Nabli expects the price of Brent crude oil to increase more than that of heavy crude oil, and Nabli can take advantage of this predictioii by entering into a basis swap that is long Brent crude oil and short heavy crude oil. Nabli should take a short (not long) position in a volatility swap to take advantage of his prediction that Brent crude oiFs price volatility will be lower than its expected volatility- Nabli should take a long (not short) position in an excess return swap to take advantage of his expectation that the level of the ICE Brent Index will increase faster than leading oil benchmarks
                • 这题的唯一难点就是读懂题目问什么。题目给了3种分析，然后给了3个应对措施，要在中间找一个合适的。并且3个直接没任何关联。只要能读明白题目，这题就是送分。
        • Variance swap
        • Volatility swap
    • Commodity index
    • 例题
      • Nabli and Yamata meet to discuss a variety of factors that affect commodity values in the two sectors they manage. Yamata tells Nabli the following: Statement 1 Storage costs are negatively related to futures prices. Statement 2 In contrast to stocks and bonds, most commodity investments are made by using derivatives. Statement 3 Commodities generate future cash flows beyond what can be realized through their purchase and sale. Which of Nabli's statements regarding the valuation and storage of commodities is correct? A. Statement 1 B. Statement 2 C. Statement 3
        • 答案：B 解析： B is correct. The most common way to invest in commodities is via derivatives, and commodities do not generate future cash flows beyond what can be realized through their purchase and sale. Also, storage costs are positively related to futures prices. Physical assets have to be stored, and storage incurs costs (rent, insurance, spoilage, etc.). Therefore, a commodity that is regularly stored should have a higher price in the future to account for those storage costs
          • 这题B很好选，关键是A和C。 仓储成本越高，期货价格越高，正相关，所以A是错误。 大宗商品未来产生的现金流，不会超过他们买卖的价格，这个要知道，所以C也是错误的。
• M2 Overview of Types of Real Estate Investment
  • Basics of Real Estate Investment
    • 投资方式
      • 股权或者债券
      • 公开或非公开
        • 例题
          • After reviewing her research materials, Rodriguez formulates the following two conclusions: Conclusion 1: Benefits of private equity real estate investments include the owners' ability to attain diversification benefits, to earn current income, and to achieve tax benefits. Rodriguezr's Conclusion 1 is: A. correct. B. incorrect, because tax benefits do not apply to tax-exempt entities. C. incorrect, because private real estate is highly correlated with stocks.
            • A is correct. Benefits of private equity real estate investments include the owners' ability to attain diversification benefits, to earn current income, and to achieve tax benefits
              • 这里是一个重要结论，私有房地产和股票相关性不强，可以起到分散化效果，并且还有税务优势
    • 投资特征
    • 风险与收益
      • Benefits
      • Risks
        • 不动产的供给和需求
        • 估值
        • 运营
        • 例题
          • After reviewing her research materials, Rodriguez formulates the following two conclusions: Conclusion 2: Risk factors of private equity real estate investments include business conditions, demographics, the cost of debt and equity capital, and financiai leverage. Rodriguezr s Conclusion 2 is: A. correct. B. incorrect, because inflation is not a risk factor, C. incorrect, because the cost of equity capital is not a risk factor.
            • A is correct. Business conditions, demographics, the cost of debt and equity capital, and financial leverage are characteristic sources of risk for real estate investments
              • 注意不动产和通胀都是私有房地产风险的一部分
  • Economic Drivers
    • 六大房地产板块
    • 三大影响因素
      • Marco factors
      • Individual
      • Business environment
  • Categories of Real Estate
    • Leases的分类
      • Net lease
      • Gross lease
        • 例题
          • • Which of the properties in Exhibit 1 exposes the owner to the greatest risk related to operating expenses? A. Property A B. Property B C. Property C
              • 答案：B 解析： B is correct. Property B is a gross lease, which requires the owner to pay the operating expenses. Accordingly, the owner, First Life, incurs the risk of Property B's operating expenses, such as utilities, increasing in the future.
                • Gross lease是owner来给operating expense，比如水电费，所以有风险。
            • Which property in Exhibit 1 is most likely to have percentage rent in its lease? A. Property A B. Property B C. Property C
              • 答案：B 解析： B is correct. Property B is a shopping center, a type of retail property. Percentage rent is a unique aspect of many retail leases that requires the tenant to pay additional rent once its sales reach a certain level. The lease will typically specify a "minimum rent" that must be paid regardless of the tenant's sales. Percentage rent may be paid by the tenant once the tenant's sales reach a certain level or breakpoint.
                • 商城会根据销售额抽成
    • 不动产的分类
      • 住宅
      • 非住宅
  • Real Estate Index
    • appraisal-based index
      • appraisal lag
      • overstate Sharpe ratios
      • overstate the diversification benefits
        • 例题
          • In addition to discussing the new allocation, the CIO informs Green that she wants to discuss the appropriate real estate index for the private equity real estate quadrant at the upcoming meeting. The CIO believes that the current index may result in over-allocating resources to the private equity real estate quadrant. The real estate index currently being used by First Life to evaluate private equity real estate investments is most likely: A. an appraisal-based index. B. a transaction-based index. C. the NCREIF Property Index.
            • 答案：A 解析： A is correct. An appraisal-based index is most likely to result in the over-allocation mentioned by the CIO due to the appraisal lag. The appraisal lag tends to “smooth” the index, meaning that it has less volatility. It behaves somewhat like a moving average of what an index would look like if it were based on values obtained from transactions rather than appraisals. Thus, appraisal-based indexes may underestimate the volatility of real estate returns. Because of the lag in the index, appraisal-based real estate indexes will also tend to have a lower correlation with other asset classes. This situation is problematic if the index is used in asset allocation models; the amount allocated to the asset class that appears to have lower correlation with other asset classes and less volatility will be greater than it should be.
              • appraisal-based会比较平稳，所以导致过于乐观
    • transaction-based index
      • introduce noise in the index measurement
• M3 Publicly Traded Securities
  • Types
    • 不动产投资信托基金 (REITs)
      • REITs的结构
        • 例题
          • Maitha Smith is the CIO of the Westland Pension Fund (the “Fund”). Smith and her junior analyst are analyzing Bay Realty Corp. (“Bay”), a publicly traded REIT based in San Francisco, for a potential investment. Bay currently owns and operates 40 office buildings totaling 8 million square feet. These properties exhibit an average LTV (loan-to-value) ratio of 40%. Bay owns no other real estate–related assets. Bay’s senior executives are company employees who report to the board of directors, whose members are elected by shareholders. Which of the following best describes Bay? A. Mortgage REIT B. Internally managed REIT C. Real estate operating company (REOC)
            • 答案：B 解析： B is correct. Bay is internally managed, or self-managed. Bay’s senior executives are company employees who report to the board of directors, whose members are elected by shareholders. Fully integrated REITs, such as Bay, generally have fewer conflicts than REITs that are externally advised or externally managed. A is incorrect because Bay is an equity REIT, not a mortgage REIT. Bay currently owns and operates 40 office buildings totaling 8 million square feet. C is incorrect because REOCs are ordinary taxable real estate ownership companies, which are different from REITs. Businesses are organized as REOCs, as opposed to REITs, if they are located in countries that do not have a tax-advantaged REIT regime in place, if they engage to a large extent in the development of for-sale real estate properties, or if they offer other non-qualifying services, such as brokerage and third-party property management.
              • 题目说了REIT，先排除C选项REOC。 这里主要是高管都是股东选的，并且是公司员工，所以是B，内部管理。
      • 优点
      • 缺点
    • MBS
    • REOCs
  • Valuation
    • NAV approach
      • 例题
        • Rossi presents Patel with the valuation of a REIT. REIT A is a multi-family REIT and its NAV is calculated based on the net operating income (NOI) information in Exhibit 1 Exhibit 1: REIT A Property subsector: Multi-family Last-12-month real estate NOl: $280,000 Last-12-month non-cash rent: $9,800 Last-12-month capital expenditures: $40,000 Cash and equivalents: $69,300 Total debt: $823,000 Discount rate: 6.5% Estimated growth rate: 1.5% Shares outstanding: 50,000 The NAV per share for REIT A is closest to: A. $69.31 B. $78.39 C. $94.63
          • C is correct Because the value of $94.63 is calculated as follows: Cap rate = discount rate – estimated growth rate = 6.5% – 1.5% = 5.0% Last-12-month NOI = $280,000 Less: Non-cash rents = $9,800 Last-12-month cash NOI = $270,200 Next-12-month growth in NOI = $270,200 × 1.5% = $4,053 Estimated next-12-month cash NOI = $270,200 + $4,053 = $274,253 Estimated value of operating real estate = Estimated next-12-month cash NOI/cap rate = $274,253/5.0% = $5,485,060. Plus: Cash and equivalents: $69,300 Estimated gross asset value = $5,554,360 Less: Total debt = $823,000 Net asset value (NAV) = $4,731,360 NAV per share = $4,731,360/50,000 = $94.63.
            • 这里要注意几个关键： 1. Last-12-month capital expenditures是干扰项，不要被其影响 2. 给的是T0，需要先算出T1 3. 算出NOI/Cap后，Cash要加上去，Debt要扣减掉
      • 例题
        • Based on Exhibit 1 and Exhibit 2, the value per share for REIT A using valuation Method 1 is closest to: A. $51.26. B. $62.40. C. $98.30.
          • B is conect. The NAV is $62.40. (350000/0.07+308700+205800-2014000)/56100=62.397504
            • 注意除了要减去debt之外，还得加上cash.
      • 例题
        • Smith first instructs her junior analyst to conduct a NAVPS (net asset value per share) analysis on Bay. The junior analyst makes the following three statements: Statement 1: NAVPS should not include investors' assessments of the value of any non asset-based income streams, the value of non–real estate assets, or the value added by management. Statement 2: REITs whose shares trade below NAVPS or have high leverage might have a more difficult time raising new capital to fund acquisitions and development, which could limit long-term growth. Statement 3: Shares priced at discounts to NAVPS are interpreted as indications of potential overvaluation. Which of the junior analyst’s three statements regarding NAVPS is correct? A. Statement 1 B. Statement 2 C. Statement 3
          • 答案：B 解析： B is correct. REITs whose shares trade below NAVPS or have high leverage might have a more difficult time raising new capital to fund acquisitions and development, which in turn could limit long-term growth, in contrast to REITs that trade at or above NAVPS. A is incorrect because NAVPS should include investors' assessments of the value of any non-asset-based income streams, the value of non–real estate assets, and the value added by management. C is incorrect because shares priced at discounts to NAVPS are interpreted as indications of potential undervaluation.
            • A说反了，NAVPS是需要人为判断的。 C选项问题在于价格低，那肯定是低估。 B选项的难点在于below NAVPS，这里可能错误理解所以低估，大家会愿意买。这里B应该站投资人的视角，价格低是结果，说明市场情绪觉得这个东西不好，所以大家不愿意投资，价格才会低。
    • Relative value (price multiple) approach
      • FFO
        • FFO = NI + Dep + Deferred Tax Expense - Gains from sales of property and debt restructing
        • 例题
          • After the discussion, the junior analyst obtains selected information on Bay, which is shown in Exhibit 1. Based on Exhibit 1, Bay' s P/FFO is closest to: A. 143x. B. 13.Ox. C* 20.7 x.
            • B is correct. FFO = AFFO + Non-cash (straight-lme) rent + Recurring maintenance-type capital expenditures and leasing commissions = $4,000,000 + $215,000 + $700,000 = $4,915,000. The number of shares outstanding = 4,000,000/5.00 = 800,000. FFO per share = $4,915,000 / 800,000 = $6.14. Current stock price = $80.00 per share. PTFO = $80.0(W$6.14 = 13.0x
              • 基本公式必须牢牢掌握
      • AFFO
        • AFFO = FFO - Non-cash rent - Recurring maintenance-type CAPEX and leasing commissions
        • 例题
          • Baldwin collects information on two REITs presented in Exhibit 1. All data is in USD millions except for per share data. To value the REIT shares, Baldwin uses the following ratios: price to adjusted funds from operations per share (P/AFFOPS), price to funds from operations per share (P/FFOPS), and net asset value per share (NAVPS). Paleo's policy states that if a REIT's market value lies within ± 5% of the estimated intrinsic value relative to its sub-sector average, the security is considered to be fairly valued.
          • REIT 1's AFFOPS is closest to: A. $8.95. B. $9.69. C. $10.78.
            • A is correct Because: FFO = 3,571 Less Non-cash rents = 65 Less Recurring Cap expenditures = 267 AFFO = 3,239 AFFOPS = AFFO / Shares Outstanding = 3,239 / 362 = $8.95
              • AFFO计算必须掌握
      • 优点和缺点
  • Private vs. Public
    • 优点
      • 例题
        • First Life Insurance Company, Ltd., a life insurance company located in the United Kingdom, maintains a stock and bond portfolio and also invests in all four quadrants of the real estate market: private equity, public equity, private debt, and public debt. Each of the four real estate quadrants has a manager assigned to it. First Life intends to increase its allocation to real estate. The chief investment officer (CIO) has scheduled a meeting with the four real estate managers to discuss the allocation to real estate and to each real estate quadrant. Leslie Green, who manages the private equity quadrant, believes her quadrant offers the greatest potential and has identified three investment properties to consider for acquisition. The most effective justification that Green could present for directing the increased allocation to her quadrant would be that relative to the other quadrants, her quadrant of real estate investments: A. provides greater liquidity. B. requires less professional management. C. enables greater decision-making control
          • 答案：C 解析： C is correct. Private equity investments in real estate enable greater decision-making control relative to real estate investments in the other three quadrants. A private real estate equity investor or direct owner of real estate has responsibility for the management of the real estate, including maintaining the properties, negotiating leases, and collecting rents. These responsibilities increase the investor’s control in the decisionmaking process. Investors in publicly traded REITs or real estate debt instruments would not typically have significant influence over these decisions.
            • 房地产PE的话，流动性比较差，需要专业的管理，但是好处是自主话语权比较高。
    • 缺点
• M4 Hedge Funds Strategies
  • Strategies
    • Characteristics of hedge funds
    • Equity strategies
      • Long/short equity
        • long undervalued
        • short overvalued
        • 例题
          • Clow then meets with one friend, Josh Lance, an alternatives portfolio manager at a foundation. Lance is researching equity long/short hedge funds and would like to develop a better understanding of their risk profile, liquidity and role in a total portfolio. After their discussion, Lance and Clow make the following comments: Comment 1: An important characteristic of equity long/short funds is their focus on security selection and reduction of market beta. Comment 2: Regarding equity long/short funds, the more market neutral the strategy, the less leverage is typically used by the manager. Comment 3: Alpha should be generated by both the long and short side of the portfolio, not just the long side. Comment 4: Due to the high amount of volatility with equity long/short funds, research should focus on low-volatility alternative investments. Which comments that Clow and Lance make after their discussion are most likely correct? A. Comment 1 and Comment 2 B. Comment 1 and Comment 3 C. Comment 3 and Comment 4
            • 答案：B 解析：B is correct. A desirable characteristic of equity long/short funds is their isolation of alpha derived from security selection and the reduction of market beta. Market risk is lowered and the concentration is on alpha being added by the portfolio manager and/or equity analysts. Alpha should be contributed on both the long and short side of the portfolio in order to justify the higher fees associated with hedge funds.
              • 多空策略一般会对冲掉beta，所以波动较低，但是会加杠杆来确保高收益。
        • 例题
          • while researching relative value strategies, Mukilteo considers a government bond strategy that involves buying lowerliquidity, off-the-run bonds and selling higher-liquidity, duration-matched, on-the-run bonds. The government bond strategy that Mukilteo considers is best described as a: A. carry trade. B. yield curve trade. C. fong/short credit trade.
            • A is correct. Carry trades involve going long a higher-yielding security and shorting a lower-yielding security with the expectation of receiving the positive cany and of profiting on long and short sides of the trade when the temporary felative mispricing reverts to normd. A classic example of a fixed-income arbitrage trade involves buying lower-liquidiity off-the-run govemment securities and selling higher-liquidity, duration-niatched, on-the-run government securities. Interest rate and credit risks are hedged because long and short positions have the same duration and credit exposure. So the key concern is liquidity7 risk. Under normal conditions, as time passes, the more (less) expensive on-the-run (off the-run) securities will decrease (increase) in price as the current on-the-iuns are replaced by a more liquid issue of new on-the-run bonds that then become off-the-runbonds. B is incorrect because Mukilteo considers a carry trade, not a yield curve trade. For yield curve trades, the prevalent calendar spread strategy involves taking long and short positions at different points on the yield curve where the relative mispricing of securities offers the best opportunities, such as in a curve flattening or steepening, to profit. Perceptions and forecasts of macroeconomic conditions are the backdrop for these types of trades. The positions can be in fixed-income secmities of the same issuer: in that case, most credit and liquidity risks would likely be hedged, making interest rate risk the main concern. Altematively, longs and shorts can be taken in tiie securities of different issuers —but typically ones operating in the same industiy or sector. In this case, differences in credit quality, liquidity, volatiliw, and issue-specific ctiaracteristies would likely drive the relative mispricing. In either case, the hedge fund manager aims to profit as the mispricing reverses (mean reversion occurs) and the longs rise and shorts fall in value within the targeted time frame. C is incorrect because Mukilteo considers a carry trade, not a long-short credit trade. In a long/short credit trade, valuation differences result from differences in credit quality—for example, investment-grade versus non-investment-grade securities. It involves the relative credit risks across different security issuers and tends to be natuially more volatile than the exploitation of small piidng differences within sovereign debt alone.
              • Carry trade是买high yield，卖low yield Yield curve trade是在一个curve上的不同点低买高卖 Long/short credit trade是基于不同的credit quality低买高卖
      • Dedicated short selling and short-biased
        • 例题
          • Many of Castle's clients expect that there will be an increase in monetary policy support from the central bank. Clow considers three hedge fund strategies that may be appropriate additions for these clients: short-biased, global macro, and life settlements. Clow decides to prepare a presentation that will summarize the key characteristics of each strategy. Statement 1: Short-biased managers focus on short equity beta through index shorting. Statement 2: Use of options by global macro strategies often adds convexity to the returns. Statement 3: Life settlements can provide liquidity to the original policyholder. Which of Clow’s statements in his presentation is least likely to be accurate? A. Statement 1 B. Statement 2 C. Statement 3
            • 答案：A 解析：A is correct. Dedicated short sellers and short-biased strategies tend to focus on single equity stock selection, as opposed to index shorting. The other two statements are correct.
        • 例题
          • The IC member also informs Mukilteo that for equity-related strategies, the IC considers low volatility to be more important than negative correlation. Based on what the IC considers important for equity-related strategies, which strategy should Mukilteo most likely avoid? A. Long/short equity B. Equity market neutra! C. Dedicated short selling and short biased
            • C is correct. For equity-related strategies, the IC considers low volatiliw to be more important than negative correlation. Dedicated short selling and short-biased strategies have return goals that are typkally less than those for most other hedge fund strategies but with a negative corelation benefit. In addition, they are more volatile than a typical long- short equity hedge fund because of their short beta exposure. As a result, Mukilteo should avoid dedicated short sellmg and short-biased strategies. A is incorrect because long/short equity is a lower-volatiliw strategy. A long'short equity manager aims to achieve a standard deviation that is 50% lower than a long-only approach while achieving average annual returns rougMy equivalent to a long-only approach. Since the IC considers low volatility important, this is not a strategy that Mukilteo should necessarily avoid. B is incorrect because equity market-neutral strategies generally have high levels of diversifycation and lower standard deviations of returns than many other strategies across normal market conditions. Because they typically deliver returns that are steadier and less volatile than those of many o±er hedge strategy areas, equity market-neutral managers generally are more useful for portfolio location during periods of non-trending or declining markets. Equity market-neutral managers neutralize market risk by constructing their portfolios such that the expected portfolio beta is approximately equal to zero. Over time, their consmralLive and constrained approach typically results in less volatile overall returns than those of managers who accept beta exposure. (The exception to this norm is when the use of significant leverage may cause forced portfolio downs说ing) Since the IC considers low voktiliw important, this is not a strategy that Mukilteo should necessarily avoid.
              • Dedicated short是负相关，并且更波动
      • Equity market neutral
        • relative value approach
    • Event-driven strategies
      • Merger arbitrage
        • long being acquired
        • short acquiring
        • 例题
          • Mukilteo researches various hedge fund strategies. First, Mukilteo analyzes an event-driven strategy involving two companies, Algona Applications (AA) and Tukwila Technologies (TT). AAr s management, believing that its own shares are overvalued, uses its shares to acquire TT. The IC has expressed concern about this type of strategy because of the potential for loss if the acquisition unexpectedly fails. Mukilteo, s research reveals a way to use derivatives t。protect against this loss, and he beHeves that such protection will satisfy the IC, s concern. Which of the following set of derivative positions will most likely satisfy the ICr s concern about the event-driven strategy involving AA and TT? A. Long out-of-the-money puts on AA shares and long out-of-the-money calls on TT shares B. Long out-of-the-money calls on AA shares and long out-of-the-money puts on TT shares C. Long risk-free bonds, short out-of-the-money puts on AA shares, and long out-of-the-money calls on TT shares
            • B is correct. The event-driven strategy that Mukilteo researches is a stock-for-slock merger arbitrage strategjL In this strategy, because the management of the acquiring company (AA) believes its shares to be ovenralued. it will offer AA shares in exchange for target company (TT) shares in a specified ratio. The merger arbitrage fund manager will then buy TT shares and sell AA shares in the same ratio as the offer, hoping to earn the spread on successful deal completion. For most acquisitions, the initial aimouncement of a deal will cause the target's share price to rise toward the acquisition price and the acquirer 's share price to fall (either because of the potential dilution of its outstanding shares or the use of cash for purposes other than a dividend payment)- If the acquisition is unsuccessful, the manager faces losses if the target's share price has already risen and/or the acquirer's share price has already fallen in anticipation of the acquisition. If merger deals do fail, the initial price rise of the target's shares and the initial price fall of the acquirer's shares are typically reversed. Arbitrageurs who jumped into the merger situation after its initial aimouncement stand to incur substantial losses on their long positions in the target's shares and their short positions in the acquirer's shares. To manage the risk of the acquisition failing, the manager can buy out-of-the-money calls on AA shares (to cover the short position) and buy out-of-the money puts on TT shares (to protect against loss in value). Such a position will provide protection that would likely satisfy the ICs concern about losses with this strawgy. A is mconect because protectmg against loss with this 血akegy requires buying out-of-the-money calls (not puts) on AA and buying out-of-the-monejr puts (not calls) on TT. C is incorrect because it represents the payoff profile of this merger arbitrage stra拄gy, not a way to protect the strategy against loss should the acquisition fail. The payoff profile of this merger arbitrage strategy resembles that of a riskless bond combined with a shoft put option on AA shares and a long call option on TT shares. The short put on the AA stiares reflects the need to cover the short position in AA when the share price rises. The long call on TT stiaies becomes valuable if and when another interested acquirer makes a higher bid for TT before the initial merger proposal is completed.
              • 这题关键是理解风险敞口，担心并购失败，也就是AA上涨，TT下跌，只要找一个担心情况发生时可以获利的策略就可以。
      • Distressed securities
        • bankcruptcy
      • equity market beta risk
        • 例题
          • Snohomish Mukilteo is a portfolio analyst for the Puyallup-Wenatchee Pension Fund (PWPF). PWPF' s investment committee (IC) asks Mukilteo to research adding hedge funds to the PWPF portfolio. A member of the IC meets with Mukilteo to discuss hedge fund strategies. During the meeting, the IC member admits that her knowledge of hedge fund strategies is fairly limited but tells Mukifteo she believes the following: Statement 1 Equity market-neutral strategies use a relative value approach. Statement 2 Event-driven strategies are not exposed to equity market beta risk. Statement 3 Opportunistic strategies have risk exposure to market directionality. Which of the IC member's statements regarding hedge fund strategies is incorrect? A. Statement 1 B. Statement 2 C. Statement 3
            • B is correct. Statement 2 is incorrect: Event-driven strategies, such as merger arbitrage, tend to be exposed to some natural equity market beta risk. Overall market risk can potentially disrupt a merger's consummation (though hedging may be possible). To ±e extent that deals are more likely to fail in market stress periods, event-driven merger arbitrage strategies have market sensitivity and left-tail risk attributes. Al&o? while event-driven strategies may have less beta exposure than simple, long-only beta allocations, the higher hedge fund fees effectively result in a particularly expensive form of embedded beta. Equity market-neutral strategies do use a relative value approadi, because sudi strategies hold balanced long and sfcoil equity exposures to maintain zero (or close to zero) net exposure to the equity market and such factors as sector and size. Also, opportunistic strategies do have risk exposure to market directionaliw, also called trendiness. A is inconect because equity market-neutral strategies do use a relative value approach. Equity market-neutral strategies hold balanced long and short equity exposures to maintain zero (or dose to zero) net exposure to the equity market and such factors as sector and size market cap). They ±en focus on? for example, pairs of long and short securities whose pikes are out of historical alignment and are expected to experience mean reversion. To take advantage of idioperatic short-term mispricing between securities whose prices should otherwise be co-integrated, equity market-neutral hedge fund strategies take opposite (ie., long and short) positions in similar or related equities that have divergent valuations, while also attempting to maintain a near net zero portfolio exposure to the market. C is incorrect because oppoministic strategies do have risk exposure to market directionality, also called trendiness. Opportimistic strategies are based on macro themes and multi-asset relationships on a global basis: therefore, broad themes, global relationships, market trends, and cycles affect ±eir returns. Generally, the key source of returns in global macro strategies revolves around correctly discerning and capitalizing on trends in global markets. For example, global macro managers typically hold view on trends in inflation (among other things). Global macro strategies are typically top down and use a range of macro-economic and fundamental models to express a view regarding the direction qt relative value of an asset 01 asset class. If the hedge fund manager is making a directional bet, then directional models will use fundamental data regarding a specific market or asset to determine whether it is undervalued or overvalued relative to history and the expected macro trend.
    • Relative value strategies
      • Fixed-income arbitrage
        • debt securities
      • Convertible bond arbitrage
        • embedded optionality of convertible
        • 例题
          • Faro is considering convertible arbitrage strategies for the portfolio and believes that the convertible bonds issued by Marble Company are undervalued relative to its equity. She wants to implement a convertible bond arbitrage strategy based on data in Exhibit 1 and assumes a 1-year holding period. Exhibit 1 Convertibie bond price (% of par value): 120 Annual coupon (%): 6 Conversion ratio (per 1.000 nominal): 60 Remaining maturity (years): 1 Annual stock dividend per share (EUR): 1 Annual cost of borrowing per share (EUR): 2 Current stock price (EUR): 26 Expected stock price after 1 year (EUR): 28 The expected profit per share (in EUR) on the convertible arbitrage strategy is: A. 4. B. 7. C. 8.
            • A.Correct because a classic convertible bond arbitrage strategy is to buy the relatively undervalued convertible bond and take a short position in the relatively overvalued underlying stock. ■Therefore Faro could buy 1,000 nominal of the convertible bond @ 120% = 1,200 ■The conversion price (effective price of buying shares) is 1,200/60 = EUR 20 per share. ■This is effectively going long 60 shares at EUR 20 per share and selling 60 shares at the current stock price of EUR 26 per share ■The net position is long 60 shares at EUR 20 and short 60 shares at EUR 26 locking in a gross profit of: 26 - 20 = EUR 6 per share Add the coupon payable by the convertible bond and received during the year: 1,000 x 0.06 = EUR 60 equivalent to (60/60) EUR 1 per share 6 + 1 = EUR 7 gross profit per share From this gross profit we deduct the estimated costs per share: Stock borrow costs: EUR 2 Stock dividend payable on the short shares position: EUR 1 Total costs = EUR 3 Net profit: 7 - 3 = 4
              • 这题的关键是理解套利的方法，低买高卖，是买债卖股。但是卖的话要借，所以借的中间产生的利益不归你，借的成本你还得给。最后，价格都是按T0算，所以你做空卖也是按T0卖。 套利就是单纯的看2边的价差。 从债的角度，20元买，有1块钱的coupon，相当于19元的成本 从股的角度，26元卖，但是借过来时候发的股息1元你得给人家，借的成本2元你也要给，所以相当于你23元卖 差价23-19=4
        • 例题
          • Based on comparisons with industry ratios, Xu believes that AVC’s shares are overvalued in relative terms and the convertible bonds are undervalued. Anderson analyzes the potential profit outcomes of a long position in the convertible bond combined with a short stock position, assuming small changes in the share price and ignoring dividends and borrowing costs. She offers the following conclusion to Xu: “The profit earned on the convertible arbitrage trade will be the same regardless of whether the share price of AVC decreases or increases. Anderson's conclusion about the profitability of the AVC convertible arbitrage trade is: A. correct. B. incorrect, because the profit will be higher if the share price decreases. C. incorrect, because the profit will be higher if the share price increases.
            • 这里要注意，题目是assmue small change，所以这个时候低买高卖是固定收益
    • Opportunistic strategies
      • Global marco strategies
        • derivative contracts, currencies, precious and base metals, indexes, sovereign debt securities, bonds, stocks
      • Managed futures
        • futures, options, forwards, swaps, commodities, currencies
        • 例题
          • Mukilteo examines an opportunistic strategy implemented by one of the hedge funds under consideration. The hedge fund manager selects 12 AAA rated corporate bonds with actively traded futures contracts and approximately equal durations. For each corporate bond, the manager calculates the 30-day change in the yield spread over a constant risk-free rate. He then ranks the bonds according to this spread change. For the bonds that show the greatest spread narrowing (widening), the hedge fund will take long (short) positions in their futures contracts. The net holding for this strategy is market neutral. The opportunistic strategy that Mukilteo considers is most likely to be described as a: A. global macro strategy. B. time-series momentum strategy. C. cross-sectional momentum strategy.
            • C is correct. The strategy under consideration is a managed futures strategy-specifically, across-sectional momentum approach. Such an approach is generally implemented with securitiesin the same asset class, which is corporate bonds in this case. The strategy is to take long positionsin contracts for bonds that have risen the most in value relative to the others (the bonds with thenarrowing spreads) and short positions in contracts for bonds that have fallen the most in valuerelative to the others (the bonds with the widening spreads). Cross-sectional momentum strategiesgenerally resuit in holding a net zero or market-neutral position. In contrast, positions for assets intime-series momentum strategies are determined in isolation, independent of the performance ofthe other assets in the strategy and can be net long or net short depending on the current pricetrend of an asset. A is incorrect because the opportunistic strategy under consideration is more likely to be describedas a managed futures strategy-specifically, a cross-sectional momentum approach-rather than aglobal macro strategy, Global macro strategies are typically top down and generally focus oncorrectly discering and capitalizing on trends in global financial markets, which does notdescribe the strategy under consideration, In contrast, managed futures strategies that use across-sectional momentum approach are implemented with a cross-section of assets (generallywithin an asset class, which in this case is highly rated corporate bonds) by going long those thatare rising in price the most and by shorting those that are falling the most. B is incorrect because the strategy under consideration is a managed futures strategy-specifically,a cross-sectional (not time-series) momentum approach, Time-series trading strategies are drivenby the past performance of the individual assets. The manager will take long positions for assetsthat are rising in value and short positions for assets that are falling in value. Positions are takenon an absolute basis, and individual positions are determined independent of the perfomance ofthe other assets in the strategy, This approach is in contrast to cross-sectional strategies, where theposition taken in an asset depends on that asset's performance relative to the other assets. WVithtime-series momentum strategies, the manager can be net long or net short depending on thecurrent price trend of an asset.
              • Global是top-down，managed是bottom up. 时间序列是对比过去，横截面是相互对比。
      • risk exposure to market directionality
        • 例题
          • Mukilteo also plans to recommend a specialist hedge fund strategy that would allow PWPF to maintain a high Sharpe ratio even during a financial crisis when equity markets fall. The specialist hedge fund strategy that Mukilteo plans to recommend is most likely: A. cross-asset volatility trading between the US and Japanese markets. B. selling equity volatility and collecting the volatility risk premium. C. buying longer-dated out-of-the-money options on VIX index futures.
            • C is correct. Mukilteo needs to recommend a specialist hedge fumd strategy that can helpPWPF maintain a high Sharpe ratio even in a crisis when equity markets fall. Buying longer-datedout-of-the-money options on VlX index futures is a long equity volatility position that works as aprotective hedge, particularly in an equity market crisis when volatility spikes and equity pricesfall. A long volatility strategy is a useful potential diversifier for long equity investments (albeit atthe cost of the option premium paid by the volatility buyer). Because equity volatility isapproximately 80% negatively correlated with equity market retus, a long position in equity volatility can substantially reduce the portfolio's standard deviation, which would serve toincrease its Sharpe ratio. Longer-dated options will have more absolute exposure to volatilitylevels (i.e, vega exposure) than shorter-dated options, and out-of-the-money options will typicallytrade at higher implied volatility levels than at-the-money options. A is incorrect because cross-asset volatility trading, a type ofrelative value volatility trading, mayoften involve idiosyncratic, macro-0riented risks that may have adverse effects during an equitymarket crisis. B is incorrect because the volatility seller is the provider of insurance during crises, not thebeneficiary of it. Selling volatility provides a volatility risk premium or compensation for takingon the risk of providing insurance against crises for holders of equities and other securities. On theshort side, option premium sellers generally extract steadier returns in normal marketenvironments.
              • 一般高买低卖大概率收益低，要加杠杆，在经济环境恶化的时候这种策略容易遭受巨大损失
    • Specialist strategies
      • Volatility trading
        • volatility
      • Life settlements
        • life insurance contract
        • 例题
          • Xu and Anderson consider a hedge fund that specializes in reinsurance and life settlements. Xu tells Anderson about three characteristics that hedge fund managers look for when investing in life settlements: Characteristic 1 The surrender value offered to the insured individual is relatively high. Characteristic 2 The ongoing premium payments to keep the policy active are relatively low. Characteristic 3 There is a high probability that the designated insured person is likely to die within the period predicted by standard actuarial methods. Which of the three characteristics of life settlements noted by Anderson is correct? A. Characteristic 1 B. Characteristic 2 C. Characteristic 3
            • C is correct. AB都是站在承保人和保险公司的角度看，只有承保人觉得退保金额低，或者持续给的保费高，对冲基金才有机会介入，所以AB不对。 C是说晨报人有几率在对冲基金做的精算假设时间内死亡，所以对冲基金买这个保险才能获益。
      • Catastrophe Reinsurance
        • policy diversity
        • loan loss reserves
        • premium income
    • Multi-manager strategies
      • Fund-of-funds
        • portfolio of separate, individual hedge funds
        • 例题
          • The IC has been considering the benefits of allocating to a fund of funds (FoF) or to a multi-strategy fund (MSF). Mukilteo receives the foflowing email from a member of the IC: "From my perspective, an FoF is superior even though it entails higher manager-specific operational risk and will require us to pay a doubie layer of fees without being able to net performance fees on individual managers. I especially like the tactical allocation advantage of FoFs—that they are more likefy to be well informed about when to tactically reallocate to a particular strategy and more capable of shifting capital between strategies quickly." Based on the email that Mukilteo received, the IC member' s perspective is correct with regard to: A. layering and netting of fees. B. tactical aliocation capabilities. C. managerspecific operational risks.
            • A is correct. FoFs have double layers of fees without being able to net performance fees onindividual managers. The FoF investor always faces netting risk and is responsible for payingperformance fees that are due to winning underlying funds while suffering return drag from theperformance of losing underlying funds. Even ifthe FoF's overall perfomance (aggregated acrossall funds) is flat or down, FoF investors must still pay incentive fees that are due to the managersof the winning underlying, funds.The fee structure is more investor friendly at MSFs, where thegeneral parter absorbs the netting risk arising from the divergent performance of the fumd'sdifferent strategy teams. This is an attractive outcome for the MSF investor because (1) the Gp isresponsible for netting risk and (2) the only investor-level incentive fees paid are those due on thetotal fumd performance after netting the positive and negative performances of the various strategyteams. However, if the MSF operates with a pass-through fee model, the investor will pay for aportion of the netting risk, Using this model, the MSF may charge no management fee but insteadpass through the costs of paying individual teams (inclusive of salary and incentives fees earnedby each team) before an added manager-level incentive fee is charged to the investor on total fumdperformance. In this instance, the investor does implicitly pay for a portion of netting risk. B is incorrect because MSFs have a tactical allocation advantage over FoFs. MSFs can reallocatecapital into different strategy areas more quickly and efficiently than is possible in FoFs, allowingMSF's to react faster to real-time market impacts. This shorter tactical reaction time, combinedwith MSFs’ better strategy transparency, makes MSFs more resiient than FoFs in preservingcapital. C is incorrect because MSFs have higher manager-specific operational risks than FoFs. In MSFs,teams of managers dedicated to runing different hedge fud strategies share operational and riskmanagement systems under the same roof, This means that the MSF's operational risks are notwell diversified because all operational processes are performed under the same fund structure.FoF's, in contrast, have less operational risk because each separate underlying hedge fund isresponsible for its own risk management.
              • FoF的一个重要特征就是double fee。
      • Multi-strategy hedge funds
        • multiple
  • Portfolio contribution
    • Analysis
      • Conditional factor risk model
    • Portfolio contribution
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  • 的是重要知识点，颜色越深越重要
  • 是习题，颜色越深越重要
  • 该思维导图只用来努力覆盖70%基础知识点和常规考法，不覆盖任何拓展知识点和难题、进阶题。