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1、PRACTICEPROBLEMS1Whichofthefollowingisleastlikelytobeconsideredanalternativeinvestment?ARealestateBCommoditiesILong-onlyequityfunds2Privateequityfundsaremostlikelytouse:Amergerarbitragestrategies.Bleveragedbuyouts.(market-neutralstrategies.3AninvestorisseekinganinvestmentthatcantakelongandshortPoSit
2、ions,mayusemulti-strategies,andhistoricallyexhibitslowcorrelationwithatraditionalinvestmentportfolio.Theinvestorsgoalswillbebestsatisfiedwithaninvestmentin:Arealestate.Bahedgefund.(aprivateequityfund.Relativetotraditionalinvestments,alternativeinvestmentsareleastlikelytobecharacterizedby:Ahighlevels
3、oftransparency.Blimitedhistoricalreturndata.Isignificantrestrictionsonredemptions.5Alternativeinvestmentfundsaretypicallymanaged:Aactively.Btogeneratepositivebetareturn.(assumingthatmarketsareefficient.6Comparedwithtraditionalinvestments,alternativeinvestmentsaremoreUkelytohave:Agreateruseofleverage
4、.Blong-onlypositionsinliquidassets.(moretransparentandreliableriskandreturndata.7Thepotentialbenefitsofallocatingaportionofaportfoliotoalternativeinvestmentsinclude:Aeaseofmanagerselection.Bimprovementintheportfoliosrisk-returnrelationship.(accessibleandreliablemeasuresofriskandreturn.8Aninvestormay
5、preferasinglehedgefundtoafundoffundsifheseeks:Aduediligenceexpertise.Bbetterredemptionterms.Ialesscomplexfeestructure.9Hedgefundsaresimilartoprivateequityfundsinthatboth:Aaretypicallystructuredaspartnerships.2019CFAInstitute.AUrightsreserved.Bassessmanagementfeesbasedonassetsundermanagement.Cdonotea
6、rnanincentivefeeuntiltheinitialinvestmentisrepaid.10Aninvestorseeksacurrentincomestreamasacomponentoftotalreturn,anddesiresaninvestmentthathistoricallyhaslowcorrelationwithotherassetclasses.Theinvestmentmostlikelytoachievetheinvestor,sgoalsis:Atimberland.Bcollectibles.(commodities,11Bothevent-driven
7、andmacrohedgefundstrategiesuse:Along-shortpositions.Batop-downapproach.(long-termmarketcycles.12Hedgefundlossesaremostlikelytobemagnifiedbya:Amargincall.Blockupperiod.Iredemptionnoticeperiod.13fefirststageoffinancingatwhichaventurecapitalfundmostlikelyinvestsisthe：Aseedstage.Bmezzaninestage.Cangelin
8、vestingstage.14Whatisthemostsignificantdrawbackofarepeatsalesindextomeasurereturnstorealestate?ASampleselectionbiasBUnderstatementofvolatility(Relianceonsubjectiveappraisals15Comparedwithdirectinvestmentininfrastructure,publiclytradedinfrastructuresecuritiesarecharacterizedby：Ahigherconcentrationris
9、k.Rmore-transparentgovernance.(greatercontrolovertheinfrastructureassets.16Anequityhedgefundfollowingafundamentalgrowthstrategyusesfundamentalanalysistoidentifycompaniesthataremostlikelyto:Abeundervalued.Bbeeitherundervaluedorovervalued.Cexperiencehighgrowthandcapitalappreciation.17Whichofthefollowi
10、ngismostlikelytobeavailablewhenconductinghedgefundduediligence?AQebenchmarkusedbythefundBInformationonsystemsriskmanagement(Detailsofinvestmentstrategiesandprocesses18AprivateequityfunddesiringtorealizeanimmediateandcompletecashexitfromaportfoliocompanyismostUkelytopursuea(n):AIPO.Btradesale.Crecapi
11、talization.19Astheloa-to-valueratioincreasesforarealestateinvestment,riskmostlikelyincreasesfor:Adebtinvestorsonly.Bequityinvestorsonly.(bothdebtandequityinvestors.20Whichofthefollowingformsofinfrastructureinvestmentsisthemostliquid?AAnunlistedinfrastructuremutualfundBAdirectinvestmentinagreenfieldp
12、roject(Anexchange-tradedmasterlimitedpartnership(MLP)21Aninvestorchoosestoinvestinabrownfieldratherthanagreenfieldinfrastructureproject.Theinvestorismostlikelymotivatedby:Agrowthopportunities.Bpredictablecashflows.(higherexpectedreturns.22Theprivatizationofanexistinghospitalisbestdescribedas：agreenf
13、ieldinvestmentBabrownfieldinvestment.Ianeconomicinfrastructureinvestment.23Ahedgefundinvestsprimarilyindistresseddebt.Quotedmarketpricesareavailablefortheunderlyingholdingsbuttheytradeinfrequently.Whichofthefollowingwillthehedgefundmostlikelyuseincalculatingnetassetvaluefortradingpurposes?AAveragequ
14、otesBAveragequotesadjustedforliquidity(Bidpricesforshortpositionsandaskpricesforlongpositions24Angelinvestingcapitalistypicallyprovidedinwhichstageoffinancing?ALater-stage.BFormative-stage.CMezzanine-stage*25Ifacommodity,sforwardcurveisincontango,thecomponentofacommoditiesfuturesreturnmostlikelytore
15、flectthisis：Aspotprices.Btherollyield.Cthecollateralyield.26UnitedCapitalisahedgefundwithS250millionofinitialcapital.Unitedchargesa2%managementfeebasedonassetsundermanagementatyearend,anda20%incentivefeebasedonreturnsinexcessofan8%hurdlerate.Initsfirstyear,Unitedappreciates16%.Assumemanagementfeesar
16、ecalculatedusingend-ofperiodvaluation.Theinvestorsnetreturnassumingtheperformancefeeiscalculatednetofthemanagementfeeisclosestto:A11.58%.B12.54%.C12.80%.27CapricornFundofFundsinvestsGBPI(X)millionineachofAlphaHedgeFundandABCHedgeFund.CapricornFOFhasa“】and10feestructure.Managementfeesandincentivefees
17、arecalculatedindependentlyattheendofeachyear.Afteroneyear,netoftheirrespectivemanagementandincentivefees,theinvestmentinAlphaisvaluedatGBP80millionandtheinvestmentinABCisvaluedatGBP140million,11annualreturntoaninvestorinCapricorn,netoffeesassessedatthefundoffundslevel,isclosestto:A7.9%.B8.0%.C8.1%.2
18、8TefollowinginformationappliestoRotundaAdvisors,ahedgefund:$288millioninassetsundermanagement(AUM)asofprioryear-end2%managementfee(basedonyear-endAUM)20%incentivefeecalculated:netofmanagementfeeusinga5%softhurdlerateusingahigh-watermark(high-watermarkis$357million)Currentyearfundreturnis25%Thetotalf
19、eeearnedbyRotundainthecurrentyearisclosestto:$7.20million.B$20.16million.C$21.60million.29Ahedgefundhasthefollowingfeestructure:Annualmanagementfeebasedonyear-endAUM2%Incentivefee20%4%$610 millionHurdleratebeforeincentivefeecollectionstartsCurrenthigh-watermarkThefundhasavalueof$583.1millionatthebeg
20、inningoftheyear.Afteroneyear,ithasavalueof$642millionbeforefees.Thenetreturntoaninvestorforthisyearisclosestto:A6.72%.B6.80%.C7,64%.30AshLawnPartners,afundofhedgefunds,hasthefollowingfeestructure:2/20underlyingfundfeeswithincentivefeescalculatedindependentlyAshLawnfeesarecalculatednetofallunderlying
21、fundfees1%managementfee(basedonyear-endmarketvalue)10%incentivefeecalculatednetofmanagementfeeThefundandallunderlyingfundshavenohurdlerateorhigh-watermarkfeeconditionsInthelatestyear,AshLawnsfundvalueincreasedfrom$100millionto$133millionbeforedeductionofmanagementandincentivefeesofthefundorunderlyin
22、gfunds.Basedontheinformationprovided,thetotalfeeearnedbyallfundsintheaggregateisclosestto:A$11.85million.B$12.75million.c$12.87miUion.31Risksininfrastructureinvestingaremostlikelygreatestwhentheprojectinvolves:Aconstructionofinfrastructureassets.Binvestmentinexistinginfrastructureassets.Cinvestingin
23、assetsthatwillbeleasedbacktoagovernment.32Aninvestorinaprivateequityfundisconcernedthatthegeneralpartnercanreceiveincentivefeesinexcessoftheagreed-onincentivefeesbymakingdistributionsovertimebasedonprofitsearnedratherthanmakingdistributionsonlyatexitfrominvestmentsofthefund.Whichofthefollowingismost
24、Iikeytoprotecttheinvestorfromthegeneralpartnerreceivingexcessfees?AAhighhurdlerateBAclawbackprovisionCAlowercapitalcommitment33Untilthecommittedcapitalisfullydrawndownandinvested,themanagementfeeforaprivateequityfundisbasedon:Ainvestedcapital.Bcommittedcapital.(assetsundermanagement.34Ananalystwanti
25、ngtoassessthedownsideriskofanalternativeinvestmentisleastlikelytousetheInvestmenCs:ASortinoratio.Bvalueatrisk(VaR).(standarddeviationofreturns.35Aneffectiveriskmanagementprocessusedbyalternativeinvestmentfundsmostlikelyincludes:Ain-housevaluations.Binternalcustodyofassets.(segregationofriskandinvest
26、mentprocessduties.SOLUTIONS1Ciscorrect.Long-onlyequityfundsaretypicallyconsideredtraditionalinvestmentsandrealestateandcommoditiesaretypicallyclassifiedasalternativeinvestments.2Biscorrect.Themajorityofprivateequityactivityinvolvesleveragedbuyouts.Mergerarbitrageandmarketneutralarestrategiesusedbyhe
27、dgefunds.3Biscorrect.Hedgefundsmayuseavarietyofstrategies(event-driven,relativevalue,macroandequityhedge),generallyhavealowcorrelationwithtraditionalinvestments,andmaytakelongandshortpositions.4Aiscorrect.Alternativeinvestmentsarecharacterizedastypicallyhavinglowlevelsoftransparency.5Aiscorrect.Ther
28、earemanyapproachestomanagingalternativeinvestmentfundsbuttypicallythesefundsareactivelymanaged.6Aiscorrect.Investinginalternativeinvestmentsisoftenpursuedthroughsuchspecialvehiclesashedgefundsandprivateequityfunds,whichhaveflexibilitytouseleverage.Alternativeinvestmentsincludeinvestmentsinsuchassets
29、asrealestate,whichisanilliquidasset,andinvestmentsinsuchspecialvehiclesasprivateequityandhedgefunds,whichmaymakeinvestmentsinilliquidassetsandtakeshortpositions.Obtaininginformationonstrategiesusedandidentifyingreliablemeasuresofriskandreturnarechallengesofinvestinginalternatives.7Biscorrect.Addinga
30、lternativeinvestmentstoaportfoliomayprovidediversificationbenefitsbecauseoftheseinvestments*lessthanperfectcorrelationwithotherassetsintheportfolio.Asaresult,allocatingaportionofone*sfundstoalternativescouldpotentiallyresultinanimprovedriskreturnrelationship.Challengestoallocatingaportionofaportfoli
31、otoalternativeinvestmentsincludeobtainingreliablemeasuresofriskandreturnaswellasselectingportfoliomanagersforthealternativeinvestments.8Ciscorrect.Hedgefundsoffundshavemulti-layeredfeestructures,whilethefeestructureforasinglehedgefundislesscomplex.Fundsoffundspresumablyhavesomeexpertiseinconductingd
32、uediligenceonhedgefundsandmaybeabletonegotiatemorefavorableredemptiontermsthancouldanindividualinvestorinasinglehedgefund.9Aiscorrect.Privateequityfundsandhedgefundsaretypicallystructuredaspartnershipswhereinvestorsarelimitedpartners(LP)andthefundisthegeneralpartner(GP).Themanagementfeeforprivateequ
33、ityfundsisbasedoncommittedcapitalwhereasforhedgefundsthemanagementfeesarebasedonassetsundermanagement.Formostprivateequityfundsthegeneralpartnerdoesnotearnanincentivefeeuntilthelimitedpartnershavereceivedtheirinitialinvestmentback.10Aiscorrect.Timberlandoffersanincomestreambasedonthesaleoftimberprod
34、uctsasacomponentoftotalreturnandhashistoricallygeneratedreturnsnothighlycorrelatedwithotherassetclasses.11Aiscorrect.Long-shortpositionsareusedbybothtypesofhedgefundstopotentiallyprofitfromanticipatedmarketorsecuritymoves.Event-drivenstrategiesuseabottom-upapproachandseektoprofitfromshort-termevents
35、typicallyinvolvingacorporateaction,suchasanacquisitionorarestructuring.Macrostrategiesseektoprofitfromexpectedmovementsinevolvingeconomicvariables.12Aiscorrect.Margincallscanmagnifylosses.Tbmeetthemargincall,thehedgefundmanagermaybeforcedtoliquidatealosingpositioninasecurity,which,dependingontheposi
36、tionsize,couldexertfurtherpricepressureonthesecurity,resultinginfurtherlosses.Restrictionsonredemptions,suchaslockupandnoticeperiods,mayallowthemanagertoclosepositionsinamoreorderlymannerandminimizeforced-saleliquidationsoflosingpositions.13Aiscorrect.Theseedstagesupportsmarketresearchandproductdeve
37、lopmentandisgenerallythefirststageatwhichventurecapitalfundsinvest.Theseedstagefollowstheangelinvestingstage.Intheangelinvestingstage,fundsaretypicallyprovidedbyindividuals(oftenfriendsorfamily),ratherthanaventurecapitalfund,toassessanidea,spotentialandtotransformtheideaintoaplan.Mezzanine-stagefina
38、ncingisprovidedbyventurecapitalfundstopreparetheportfoliocompanyforitsIPO.14Aiscorrect.Arepeatsalesindexusesthechangesinpriceofrepeat-salepropertiestoconstructtheindex.SampleselectionbiasisasignificantdrawbackbecausethepropertiesthatsellineachperiodVaryandmaynotberepresentativeoftheoverallmarketthei
39、ndexismeanttocover.Thepropertiesthattransactarenotarandomsampleandmaybebiasedtowardpropertiesthatchangedinvalue.Understatedvolatilityandrelianceonsubjectiveappraisalsbyexpertsaredrawbacksofanappraisalindex.15Biscorrect.Publiclytradedinfrastructuresecurities,whichincludesharesofcompanies,exchange-tra
40、dedfunds,andlistedfundsthatinvestininfrastructure,providethebenefitsoftransparentgovernance,liquidity,reasonablefees,marketprices,andtheabilitytodiversifyacrossunderlyingassets.Directinvestmentininfrastructureinvolvesalargecapitalinvestmentinanysingleproject,resultinginhighconcentrationrisks.Directi
41、nvestmentininfrastructureprovidescontrolovertheassetsandtheopportunitytocapturetheassets1fullvalue.16Ciscorrect.Fundamentalgrowthstrategiestakelongpositionsincompaniesidentified,usingfundamentalanalysis,tohavehighgrowthandcapitalappreciation.Fundamentalvaluestrategiesusefundamentalanalysistoidentify
42、undervaluedcompanies.Market-neutralstrategiesusequantitativeand/orfundamentalanalysistoidentifyunder-andovervaluedcompanies.17Aiscorrect.Itshouldbepossibletoidentifythebenchmarkagainstwhichthefundgaugesitsperformanceinthehedgefundduediligenceprocess.Itshouldalsobepossibletoestablishtherangeofmarkets
43、inwhichthefundinvestsaswellasthefund,sgeneralstrategy.Hedgefundsconsidertheirstrategies,systems,andprocessestobeproprietar)randareunwillingtoprovidemuchinformationtopotentialinvestors.18Biscorrect.Privateequityfundscanrealizeanimmediatecashexitinatradesale.Usingthisstrategy,theportfoliocompanyistypi
44、callysoldtoastrategicbuyer.19Ciscorrect.Thehighertheloan-to-valueratio,thehigherleverageisforarealestateinvestment,whichincreasestherisktobothdebtandequityinvestors.20CiscorrectApubliclytradedinfrastructuresecurity,suchasanexchange-tradedMLP,providesthebenefitofliquidity.21Biscorrect.Abrownfieldinve
45、stmentisaninvestmentinanexistinginfrastructureasset,whichismorelikelytohaveahistoryofsteadycashflowscomparedwiththatofagreenfieldinvestment.Grourthopportunitiesandreturnsareexpectedtobelowerforbrownfieldinvestments,whicharelessriskythangreenfieldinvestments.22Biscorrect.Investinginanexistinginfrastr
46、uctureassetwiththeintenttoprivatize,lease,orsellandleasebacktheassetisreferredtoasabrownfieldinvestment.Aneconomicinfrastructureassetsupportseconomicactivityandincludessuchassetsastransportationandutilityassets.Hospitalsaresocialinfrastructureassets,whicharefocusedonhumanactivities.23Biscorrect.Many
47、practitionersbelievethatliquiditydiscountsarenecessarytoreflectfairvalue.ThishasresultedinsomefundshavingtwoNAVs-fortradingandreporting,11efundmayuseaveragequotesforreportingpurposesbutapplyliquiditydiscountsfortradingpurposes.24Biscorrect.Formative-stagefinancingoccurswhenthecompanyisstillintheproc
48、essofbeingformedandencompassesseveralfinancingsteps.Angelinvestingcapitalistypicallyraisedinthisearlystageoffinancing.25Biscorrect.Rollyieldreferstothedifferencebetweenthespotpriceofacommodityandthepricespecifiedbyitsfuturescontract(orthedifferencebetweentwofuturescontractswithdifferentexpirationdates).Whenfuturespricesarehigherthanthespotprice,thecommodityforwardcurveisupwardsloping,andthePriCeSarereferredtoasbeingincontango.Contangooccurswhenthereislittleornoconvenienceyield.26Bi
