CFA特許金融分析師-CFA二級-Alternativelnvestments

共享題干題

TimWangisafinancialadviserspecializingincommercial（江南博

哥）realestateinvesting.HeismeetingwithMarkCaudill,anew

clientwhoislookingtodiversifyhisinvestmentportfoliobyadding

realestateinvestments.Caudillhasheardaboutvariousinvestment

vehiclesrelatedtorealestatefromhisfriendsandisseekinga

morein-depthunderstandingoftheseinvestmentsfromWang.

WangbeginsthemeetingbyadvisingCaudillofthemanyoptionsthat

areavailablewheninvestinginrealestate,includingthefollowing:

Option1DirectownershipinrealestateOption2Publiclytradedreal

estateinvestmenttrustsOption3Publiclytradedrealestate

operatingcompaniesOption4Publicly-tradedresidentialmortgage-

backedsecuritiesWangnextasksCaudillabouthisinvestment

preferences.CaudillrespondsbytellingWangthatheprefersto

investinequitysecuritiesthatarehighlyliquid,providehigh

income,andarenotsubjecttodoubletaxation.

CaudillasksWanghowtheeconomicperformanceofREITsandREOCsis

evaluatedandhowtheirsharesarevalued.WangadvisesCaudillthere

aremultiplemeasuresofeconomicperformanceforREITsandREOCs,

includingthefollowing:

Measure1NetoperatingincomeMeasure2FundsfromoperationsMeasure

3Adjustedfundsfromoperationslnresponse,CaudillasksWang:

“WhichofthethreemeasuresisthebestmeasureofaREIT,s

currenteconomicreturntoshareholders?”

TohelpCaudillJsunderstandingofvaluation,WangpresentsCaudill

withdataonBaldwin,ahealthcareREITthatprimarilyinvestsin

independentandassistedseniorhousingcommunitiesinlargecities

acrosstheUnitedStates.SelectedfinancialdataonBaldwinforthe

pasttwoyearsareprovidedinExhibit

Exhibit1.BaldwinREITSummarizedIncomeStatement(USDthousands,exceptper-

sharedata)

YearEnding31December

20192018

Rentalincome339,009296,777

Otherpropert}-income6,112<033

Totalincome345,121300,810

Rentalexpenses

Propertyoperatingexpenses19,19514,273

Propertytaxes3：6103,327

Totalpropertyexpenses22,80517,600

Netoperatingincome322,316283,210

Otherincome(gainsonsaleofproperties)2A621,003

Generalandadministrativeexpenses21,86519,899

Dq^reciationandamortization90,40978,583

Netinterestexpenses70,01756,404

Netincome142,187129,327

Weightedaxeragesharesoutstanding121,944121,863

Eammgspershare1.171.06

Dividendpershare0.930.85

]PriceTFO,baseduponyear-endstockprice11.5xlZ7xBefore

themeeting,Wanghadputtogethersomevaluationassumptionsfor

BaldwininanticipationofdiscussingvaluationwithCaudill.Wang

explainstheprocessofvaluingaREITshareusingdiscountedcash

flowanalysis,andheproceedstoestimatethevalueofBaldwinona

per-sharebasisusingatwo-stepdividenddiscountmodelusingthe

Exhibit2.BaldwinValuationProjectionsandAssumptions

Currentrisk-freerate4.0%

Baldwinbeta0.90

Marketriskpremium5.0%

Appropriatediscountrate(CAPNf)8.5%

Expecteddividendpershare,1yearfromtoday$1.00

Expecteddividendpershare,2yearsfromtoday$1.06

dataprovidedinExhibit2.Long-termgrowthindividends：startinginyear35.0%

［單選題］1.BasedonCaudill,sinvestmentpreferences,thetypeof

realestateinvestmentWangismostlikelytorecommendtoCaudillis:

A.Option2

B.Option3

C.Option4

正確答案：A

參考解析：Option2,publiclytradedREITs,bestsatisfyCaudillys

investmentpreferences.REITsareequityinvestmentsthat,ingeneral,

areincometaxexemptatthecorporate/trustlevel,sothereisno

doubleincometaxation.Toqualifyfortheincometaxexemption,

REITsarelegallyobligatedtopayoutahighpercentageofincometo

theirshareholders,andthistypicallyresultsinrelativelyhigh

incomeforinvestors.Lastly,publicREITsaregenerallyliquidas

theyaretradedinstockexchanges.

WangbeginsthemeetingbyadvisingCaudillofthemanyoptionsthat

areavailablewheninvestinginrealestate,includingthefollowing:

Option1DirectownershipinrealestateOption2Publiclytradedreal

estateinvestmenttrustsOption3Publiclytradedrealestate

operatingcompaniesOption4Publicly-tradedresidentialmortgage-

backedsecuritiesWangnextasksCaudillabouthisinvestment

preferences.CaudillrespondsbytellingWangthatheprefersto

investinequitysecuritiesthatarehighlyliquid,providehigh

income,andarenotsubjecttodoubletaxation.

CaudillasksWanghowtheeconomicperformanceofREITsandREOCsis

evaluatedandhowtheirsharesarevalued.WangadvisesCaudillthere

aremultiplemeasuresofeconomicperformanceforREITsandREOCs,

includingthefollowing:

Measure1NetoperatingincomeMeasure2FundsfromoperationsMeasure

per-sharebasisusingatwo-stepdividenddiscountmodelusingthe

Exhibit2.BaldwinValuationProjectionsandAssumptions

Currentrisk-freerate4.0%

Baldwinbeta0.90

Marketriskpremium5.0%

Appropriatediscountrate(CAPXI)8.5%

Expecteddividendpershare,1yearfromtoday$1.00

Expecteddividendpershare,2yearsfromtoday$1.06

dataprovidedinExhibit2Long-termgrowthrateindividends：startinginyear35.0%

［單選題］2.RelativetoOption2andOption3,anadvantageof

investinginOption1is:

A.greaterliquidity.

B.lowerinvestmentrequirements.

C.greatercontroloverpropertylevelinvestmentdecisions.

正確答案：C

參考解析：Directpropertyownershipoffersgreatercontrolover

propertylevelinvestmentdecisionsincomparisontothelevelof

controlexhibitedbyshareholdersinREITsandREOCs.

WangbeginsthemeetingbyadvisingCaudillofthemanyoptionsthat

areavailablewheninvestinginrealestate,includingthefollowing:

Oplion1DirectownershipinrealeslaleOplion2Publiclytradedreal

estateinvestmenttrustsOption3Publiclytradedrealestate

operatingcompaniesOption4Publicly-tradedresidentialmortgage-

backedsecuritiesWangnextasksCaudillabouthisinvestment

preferences.CaudillrespondsbytellingWangthatheprefersto

investinequitysecuritiesthatarehighlyliquid,providehigh

income,andarenotsubjecttodoubletaxation.

CaudillasksWanghowtheeconomicperformanceofREITsandREOCsis

evaluatedandhowtheirsharesarevalued.WangadvisesCaudillthere

aremultiplemeasuresofeconomicperformanceforREITsandREOCs,

includingthefollowing:

Measure1NetoperatingincomeMeasure2FundsfromoperationsMeasure

3Adjustedfundsfromoperationslnresponse,CaudillasksWang:

“WhichofthethreemeasuresisthebestmeasureofaREIT,s

currenteconomicreturntoshareholders?v

TohelpCaudill'sunderstandingofvaluation,WangpresentsCaudill

withdataonBaldwin,ahealthcareREITthatprimarilyinvestsin

independentandassistedseniorhousingcommunitiesinlargecities

acrosstheUnitedStates.SelectedfinancialdataonBaldwinforthe

pasttwoyearsareprovidedinExhibit

Exhibit1.BaldwinREITSummarizedIncomeStatement(USDthousands,exceptper-

sharedata)

YearEnding31December

20192018

Rentalincome339,009296,777

Otherpropert}-income6,1124Q33

Totalincome345,121300,810

Rentalexpenses

Propertyoperatingexpenses19,19514,273

Propertytaxes3：6103,327

Totalpropertyexpenses22,80517,600

Netoperatingincome322,316283,210

Otherincome(gainsonsaleofproperties)2A621,003

Generalandadministrativeexpenses21,86519,899

Depreciationandamortization90,40978,583

Netinterestexpenses70,01756,404

Netincome142,187129,327

Weightedaveragesharesoutstanding121,944121,863

Earningspershare1.171.06

Dividendpershare0.930.85

]PriceTFO,baseduponyear-endstockprice11.5xlZ7xBefore

themeeting,Wanghadputtogethersomevaluationassumptionsfor

BaldwininanticipationofdiscussingvaluationwithCaudill.Wang

explainstheprocessofvaluingaREITshareusingdiscountedcash

flowanalysis,andheproceedstoestimatethevalueofBaldwinona

per-sharebasisusingatwo-stepdividenddiscountmodelusingthe

Exhibit2.BaldwinValuationProjectionsandAssumptions

Currentrisk-freerate4.0%

Baldwinbeta0.90

Marketriskpremium5.0%

Appropriatediscountrate(CAPNf)8.5%

Expecteddividendpershare,1yearfromtoday$1.00

Expecteddividendpershare,2yearsfromtoday$1.06

dataprovidedinExhibit2Long-termgrowthrateindividends：startinginyear35.0%

［單選題］3.TheBaldwinREITis1eastlikelytoexperience1ong-run

negativeeffectsfrom:

A.Aneconomicrecession.

B.Anunfavorablechangeinpopulationdemographics.

C?Amajorreductioningovernmentfundingofhealthcare.

正確答案：A

參考解析：Baldwin,ahealthcareREIT,islargelyresistantto

economicrecessionsbutisexposedtochangesinpopulation

demographicsandchangesingovernmentfundingforhealthcare.

WangbeginsthemeetingbyadvisingCaudillofthemanyoptionsthat

areavailablewheninvestinginrealestate,includingthefollowing:

Option1DirectownershipinrealestateOption2Publiclytradedreal

estateinveslnienlLruslsOplion3Publiclytradedrealestate

operatingcompaniesOption4Publicly-tradedresidentialmortgage-

backedsecuritiesWangnextasksCaudillabouthisinvestment

preferences.CaudillrespondsbytellingWangthatheprefersto

investinequitysecuritiesthatarehighlyliquid,providehigh

income,andarenotsubjecttodoubletaxation.

CaudillasksWanghowtheeconomicperformanceofREITsandREOCsis

evaluatedandhowtheirsharesarevalued.WangadvisesCaudillthere

aremultiplemeasuresofeconomicperformanceforREITsandREOCs,

includingthefollowing:

Measure1NetoperatingincomeMeasure2FundsfromoperationsMeasure

3Adjustedfundsfromoperationslnresponse,CaudillasksWang:

“WhichofthethreemeasuresisthebestmeasureofaREIT,s

currenteconomicreturntoshareholders?”

TohelpCaudill'sunderstandingofvaluation,WangpresentsCaudill

withdataonBaldwin,ahealthcareREITthatprimarilyinvestsin

independentandassistedseniorhousingcommunitiesinlargecities

acrosstheUnitedStates.SelectedfinancialdataonBaldwinforthe

pasttwoyearsareprovidedinExhibit

Exhibit1.BaldwinREITSummarizedIncomeStatement(USDthousands,exceptper-

sharedata)

YearEnding31December

20102018

Rentalincome339,009296,777

Otherpropertyincome6J124s033

Totalincome345,121300,810

Rentalexpenses

Propertyoperatingexpenses19,19514,273

Propertytaxes3,6103,327

Totalpropertyexpenses22,80517,600

Netoperatingincome322,316283,210

Otherincome(gainsonsaleofproperties)2,1621,003

Generalandadministrativeexpenses2L86519,899

Depreciationandamortization90,40978,583

Netinterestexpenses70,01756,404

Netincome142,187129,327

Weightedaveragesharesoutstanding121,944121,863

Earningspershare1.171.06

Dividendpershare0.930.85

[PriceTFO,baseduponyear-endstockprice11.5xlZ7xBefore

themeeting,Wanghadputtogethersomevaluationassumptionsfor

BaldwininanticipationofdiscussingvaluationwithCaudill.Wang

explainstheprocessofvaluingaREITshareusingdiscountedcash

flowanalysis,andheproceedstoestimatethevalueofBaldwinona

per-sharebasisusingatwo-stepdividenddiscountmodelusingthe

Exhibit2.BaldwinValuationProjectionsandAssumptions

Currentrisk-freerate4.0%

Baldwinbeta0.90

Marketriskpremium5.0%

Appropriatediscountrate(CAPNf)8.5%

Expecteddividendpershare,1yearfromtoday$1.00

Expecteddividendpershare,2yearsfromtoday$1.06

dataprovidedinExhibit2Long-termgrowthrateindixidends,startinginyear35.0%

［單選題］5.BasedonExhibit1,the2019year-endsharepriceof

Baldwinwasclosestto:

A.$13.23.

B.$21.73.

C.$30.36.

正確答案：B

參考解析：Baldwin'sFFOpersharein2019was$1.89,andthe

resultingsharepricewas$21.73.First,calculateFFOpersharein

2019,andthenapplytheyear-endP/FFOmultipleof11.5x.

FFO二accountingnetearnings,excluding:(a)depreciationchargeson

realestate,(b)deferredtaxcharges,and(c)gainsorlossesfrom

salesofpropertyanddebtrestructuring.

2019accountingnetincome:$142,187

2019depreciationcharges:$90,409

2019deferredtaxcharges:N/A

2019gainsonsaleofproperties(otherincome):$2,162

2019sharesoutstanding=121,944

2019year-endprice/FFO=11.5x

2019Baldwin,sFFOpershare=($142,187+$90,409-

$2,162)/121,944shares=$1.89.Atthegiven2019year-endprice/FFO

multipleof11.5x,thisresultsinasharepriceforBaldwinof$1.89

X11.5=$21.73.

WangbeginsthemeetingbyadvisingCaudillofthemanyoptionsthat

areavailablewheninvestinginrealestate,includingthefollowing:

Option1DirectownershipinrealestateOption2Publiclytradedreal

estateinvestmenttrustsOption3Publiclytradedrealestate

operatingcompaniesOption4Publicly-tradedresidentialmortgage-

backedsecuritiesWangnextasksCaudillabouthisinvestment

preferences.CaudillrespondsbytellingWangthatheprefersto

investinequitysecuritiesthatarehighlyliquid,providehigh

income,andarenotsubjecttodoubletaxation.

CaudillasksWanghowtheeconomicperformanceofREITsandREOCsis

evaluatedandhowtheirsharesarevalued.WangadvisesCaudi11there

aremultiplemeasuresofeconomicperformanceforREITsandREOCs,

includingthefollowing:

Measure1NelopeiaLingincoiiieMeasuie2FundsfioinopeiaLionsMucisure

3Adjustedfundsfromoperationslnresponse,CaudillasksWang:

“WhichofthethreemeasuresisthebestmeasureofaREIT,s

currenteconomicreturntoshareholders?”

TohelpCaudill?sunderstandingofvaluation,WangpresentsCaudill

withdataonBaldwin,ahealthcareREITthatprimeirilyinvestsin

independentandassistedseniorhousingcommunitiesinlargecities

acrosstheUnitedStates.SelectedfinancialdataonBaldwinforthe

pasttwoyearsareprovidedinExhibit

Exhibit1.BaldwinREITSummarizedIncomeStatement(USDthousands,exceptper-

sharedata)

YearEnding31December

20192018

Rentalincome339,009296,777

Otherpropert}-income6,112<033

Totalincome345,121300,810

Rentalexpenses

Propertyoperatingexpenses19,19514,273

Propertytaxes3：6103,327

Totalpropertyexpenses22,80517,600

Netoperatingincome322,316283,210

Otherincome(gainsonsaleofproperties)2A621,003

Generalandadministrativeexpenses21,86519,899

Dq^reciationandamortization90,40978,583

Netinterestexpenses70,01756,404

Netincome142,187129,327

Weightedaxeragesharesoutstanding121,944121,863

Eammgspershare1.171.06

Dividendpershare0.930.85

]PriceTFO,baseduponyear-endstockprice11.5xlZ7xBefore

themeeting,Wanghadputtogethersomevaluationassumptionsfor

BaldwininanticipationofdiscussingvaluationwithCaudill.Wang

explainstheprocessofvaluingaREITshareusingdiscountedcash

flowanalysis,andheproceedstoestimatethevalueofBaldwinona

per-sharebasisusingatwo-stepdividenddiscountmodelusingthe

Exhibit2.BaldwinValuationProjectionsandAssumptions

Currentrisk-freerate4.0%

Baldwinbeta0.90

Marketriskpremium5.0%

Appropriatediscountrate(CAPM)8.5%

Expecteddividendpershare,1yearfromtoday$1.00

Expecteddividendpershare,2yearsfromtoday$1.06

dataprovidedinExhibit2Long-termgrowthrateindividends：startinginyear35.0%

［單選題］6.BasedonExhibit2,theintrinsicvalueoftheBaldwinRETT

onapersharebasisusingthetwo-stepdividenddiscountmodelis

closestto:

A.$26.72.

B.$27.59.

C.$28.83.

正確答案：C

參考解析：TheestimatedvaluepersharefortheBaldwinREITusinga

two-stepdividenddiscountmodelis$28.83,calculated

StepOneStepTwo

Year1Year2Year3

Dh-idendspershare:$1.00SI.06Sl.l1

ValueofstockatendofYear21:S31.80

S32.86

Discountrate:8.50%

Netpresentvalueofalldividends-:S28.83

1CalculatedasSl.l1/(0.085-0.05)=S31.80

:Calculatedas:$1.00/(1.085)+$32.86.(1.085):=$28.83

as:-----------------------------

MaryMcNeilisthecorporatetreasureratFarmhouse,whichownsand

operatesseveralfarmsandethanolproductionplantsintheUnited

States.McNeiTsprimaryresponsibilityisriskmanagement.Katrina

Falk,arecentlyhiredjunioranalystatFarmhouse,worksforMcNeil

inmanagingtheriskofthefirm'scommoditypriceexposures.

Farmhouse，sriskmanagementpolicyrequirestheuseoffuturesto

protectrevenuefrompricevolatility,regardlessofforecastsof

futureprices,andprohibitsriskmanagersfromtakingspeculative

positions.McNeilmeetswithFalktodiscussrecentdevelopmentsin

twoofFarmhouse,scommoditymarkets,grainsandlivestock.McNeil

asksFalkaboutkeycharacteristicsofthetwomarketsthataffect

revenuesandcosts.FalktellsMcNeilthefollowing:Statement1The

lifecycleforlivestockdependsontheproductandvarieswidelyby-

product.Slatemenl2Grainshaveuniform,well-definedseasonsand

growthcyclesspecifictogeographicregions.Amaterialportionof

Farmhouse，srevenuecomesfromlivestockexports,andamajorinput

costisthecostofgrainsimportedfromoutsidetheUnitedStates.

FalkandMcNeilnextdiscussthreeconclusionsthatFalkreachedin

ananalysisofthegrainsandlivestockmarkets:Conelusion1Assuming

demandforgrainsremainsconstant,extremeheatintheregionsfrom

whichweimportourgrainswillresultinabenefittousintheform

oflowergrainprices.Conclusion2Newtariffsoncattleintroduced

inourprimaryexportmarketswilllikelyresultinhigherpricesfor

ourlivestockproductsinourlocalmarket.Conclusion3Major

improvementsinfreezingtechnologyallowingforlongerstoragewill

letusbettermanagethevolatilityinthepricesofourlivestock

products.McNeilasksFalktogatherspotandfuturespricedataon

livecattle,wheat,andsoybeans,whicharepresentedinExhibit1.

Additionally,sheobservesthat(1)theconvenienceyieldofsoybeans

exceedsthecostsofitsdirectstorageand(2)commod-ityproducers

asagrouparelessinterestedinhedgingintheforwardmarketthan

commodityconsumers

Exhibit1SelectedCommodityPriceData*

MarketLiveCattlePriceWheatPriceSoybeansPrice

Spot109607846

Futures108607850

?Livecattle：UScentsperpound；wheatandsoybeans：UScentsperbushel.

are.A

keyinputcostforFarmhouseinproducingethanolisnaturalgas.

McNeilusespositionsinnaturalgas(NG)futurescontractstomanage

theriskofnaturalgaspricevolatility.Threemonthsago,she

enteredintoalongpositioninnaturalgasfuturesatafutures

priceof$2.93permillionBrilishthermaluniIs(MMBlu).Thecurrent

priceofthesamecontractis$2.99.Exhibit2presentsadditional

dataaboutthethree-monthfutures

position.

Exhibit2SelectedInformation—NaturalGasFuturesThree-month

Position*

Prices

Near-Term

Futures

TotalCurrent(CurrentFarther-Term

Commodity$ExposurePositionPrice)Futures

NaturalGas(NG)5,860,000Long2.993.03

?NG：$perMMBtu；1contract=10,000MMBtu.

-------------------------------------------------------The

futurespositionisfullycollateralizedwitha3%rate.McNeil

decidestorollforwardhercurrentexposureinthenaturalgas

position.Eachmonth,McNeilreportstheperformanceoftheenergy

futurespositions,includingdetailsonpricereturns,rollreturns,

andcollateralreturns,tothefirm,sexecutivecommittee.Anew

committeememberisconcernedaboutthenegativerollreturnsonsome

ofthepositions.InamemotoMcNeil,thecommitteememberasksher

toexplainwhysheisnotavoidingpositionswithnegativeroll

returns.

［單選題］7.Withrespecttoitsriskmanagementpolicy,Farmhousecan

bebestdescribedas:

A.atrader.

B.ahedger.

C.anarbitrageur.

正確答案：B

參考解析：Hedgerstradeinthefuturesmarketstohedgetheir

exposuresrelatedtothecommodity,asstatedinFarmhouse'srisk

managementpolicy.

［單選題］8.WhichofFalk，sstatementsregardingthecharacteristicsof

thegrainsandlive-stockmarketsiscorrect?

A.OnlyStatement1

B.OnlyStatement2

C.BothStatement1andStatement2

正確答案：C

參考解析：