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CFA L2 Matheus > 7. Alternative Investments > Flashcards

7. Alternative Investments Flashcards

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1
Q

Leasing Types

A
  1. Net Lease: Inquilino paga Operational Expenses
  2. Gross Lease: Proprietário paga Operational Expenses
  3. Tripple Net: Inquilino paga reparos, IPTU e seguros
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2
Q

Leasing Types (examples)

A
  1. Net Lease: Office and Industrial Warehouse

3. Tripple Net: Small shoppings

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3
Q

Appraisal Index (formula)

A

Return Appraisal = (NOI - Capex + Δ Mkt Value)/ MVo

Income Return = NOI / MVo
Capital = Resto / MVo
Cash Return = NOI - capex / MVo

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4
Q

Income Return (Formula)

A

Income Return = NOI /MVo

Capotal

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5
Q

Transactions Based Index

A
  • Mais volátil
  • Geometric Return
  • Leads appraisal index
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6
Q

Valuation Types for AI (List)

A
  1. Income Approach: discount cashflow
  2. Cost Approach: Replicate how much the property would cost
  3. Sales Comparison Approach
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7
Q

Highest and Best Use (Concept)

A

Foco no uso que inputa o maior valor à terra, mesmo que já exista um edifício construído ali

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8
Q

Direct Capitalization Valuation (Formula)

A

Market Value = NOI / k - g

Going-in cap rate: NOI in 1st year of ownership
Terminal Cap Rate: NOI 1st year after sale

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9
Q

DCF Valuation (Formula)

A

V dcf = Explicit Forecast + Terminal Value (t)

Terminal Value (t): NOI t+1 / Terminal Value Cap Rate

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10
Q

LTV (Formula)

A

LTV = Loan Exposure / Valor do Ativo

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11
Q

Debt Service Coverage Ratio (Formula)

A

DSCR = NOI / Debt Service

Debt Service = (Juros + Principal)

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12
Q

Cash on Cash Return (Formula)

A

Cash / Eqt = (NOI - Serviço da Dívida)/Eqt

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13
Q

Levered IRR (Concept)

A
  • Tomar dívida sempre aumenta a TIR desde que

[(1-t)*kd] < k equity

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14
Q

REIT (Concept)

A
  • FIIs:
  • May be tax free
  • Dividend Yield is high
  • 75% do Equity in Real Estate assets
  • Low reinvestment
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15
Q

REOCs (Concept)

A
  • Holding de família rica p/ gerenciar Real Estate
  • Capital Appreciation focused
  • Used if FII is not tax free
  • Cashflow: sale of properties
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16
Q

Funds from Operations (FFO) x AFFO

A

FFO = (NI + Dep + Amort + Losses - Gains + Impairments - Writeoffs)

AFFO = FFO - capex - non-cash rent

Difference: FFO ignores capex. AFFO is better for REITs, but many REITs do not publish

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17
Q

Private Equity Valuation (List)

A
  1. Income Approach (Growing firm or already stable) ~ Nubank
  2. Relative Value ~ Late Expansion to Maturity
  3. Real Option: Call/Put mediante cumprimento de metas
  4. Replacement Cost: “Se eu construísse isso do zero, custaria quanto?”

Factors impacting valuation: control premium, lack of liquidity, country risk

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18
Q

VC stages (List)

A
  1. Seed (pre-sales)
  2. Startup (pre-sales?)
  3. Expansion
  4. Replacement
19
Q

Exit Routs for PE/VC (List)

A
  1. IPO
  2. Secondary Sale
  3. Leveraged Buyout (Alavanca a Empresa p/ dar saída aos sócios)
  4. Liquidation
20
Q

Private Equity Fee Structure (List)

A
  1. Management Fee (% Capital Committed or Paid In)
  2. Transaction Fees (to General Partners)
  3. Carried Interest (% of Profit = Performance Fee)
  4. Ratchet (Target Company Earn-out; Management da AmigoEdu ganha coisas se cumprir targets, permite + shares ao mgmt)
21
Q

Vintage Year (Concept)

A

O ano de início do fundo impacta a medida de performance (ex: Abr/2020 as start date)

22
Q

Term of PE funds

A

10 years

23
Q

Governance PE clauses (List)

A
  1. Key Man Clause
  2. Disclosure / Confidentiality
  3. Clawback Provision
  4. Waterfall Structure

Other: tag along, drag along, no fault divorce GP removed if there is a supermajoriy vote

24
Q

Paid In Capital (Formula)

A

PIC = Paid In / Committed Capital

25
Q

TVPI (Formula)

A

TVPI = RVPI (Residual) + DPI (Distributed)

26
Q

RVPI (Formula)

A

RVPI = Value Remaining Companies / Paid In Cumulative Capital

RVPI = Δ NAV before fees

Net of mgmt fees
Em relação aos Limited Partners (LPs)

27
Q

DPI (Formula)

A

DPI = Cumulative Distr. to LP / Paid In Cumulative Capital

Net of mgmt fees
Em relação aos Limited Partners (LPs)

28
Q

Post Money Valuation (Formula)

A

Post Money = Pre-Money + Investment

29
Q

Return on Investment (Formula)

A

ROI = Value of Equity @ Exit / Post Money Valuation

30
Q

Carried Interest (Details)

A

CI = “20% do que exceder profits after management fees”

  • Pode ser deal by (i) deal basis ou (ii) after all
31
Q

Contango

A

Futuro Subindo ↗
Expected Future Spot = Low

Roll Yield (Compare c/ Flat Spot) = NEGATIVO
Calendar Spread (Futuro Hj - Futuro Amanhã) = NEGATIVO
32
Q

Backwardation

A

Futuro Caindo ↘

Roll Yield (Compare c/ Flat Spot) = POSITIVO
Calendar Spread (Futuro Hj - Futuro Amanhã) = POSITIVO
33
Q

Roll Yield (Formula)

A

Roll Yield = (Future t0 - Future t1)/Future t1

Roll Yield = [F near - F farther / F near] - 1
Roll Yield = Actual - Future

Conceito: Futuro vai convergir pro Spot e gerar retornos positivos ou negativos?

34
Q

Total Return Swap (Concept)

A

TRS = Pay Fixed x Receive Δ Index

35
Q

Basis Swap (Concept)

A

Basis Swap = Δ Commodity 1 x Δ Commodity 2

36
Q

Future Returns Theories (Keynes)

A

1) Keynes: Produtores querem hedgear (vender futuro) por medo de backwardation, logo

a. Preço Fwd CAI
b. ↑ Basis = (Spot - Fwd)
c. ↑ Basis = ↑ Spread. Logo, investidor precisa ser remunerado pelo risco adicional

37
Q

Future Returns Theories (Hedging Pressure)

A

a. Produtores querem hedgear (vender futuro)
b. Usuário Final quer comprar futuro

Resultante determina estrutura de preços

Produtor vende (+) > Usuario Compra (-) = Backwardation pois Futuro vai cair

Usuário Compra (+) > Produtor Vende (-) = Contango pois Futuro vai subir

38
Q

Total Commodity Return (Formula)

A

Total Return = Price Return + Roll Yield + Collateral Return

39
Q

Theory of Storage (Concept)

A

Se storage costs are minimal, demand dominates supply.

Logo, Current Prices > Futures Prices + Minimal Costs

40
Q

Basis Spread (Formula)

A

Basis Spread = (Spot Price - Near Term Future)

41
Q

Check Status if Contango/Backwardation

A
  • Compare Spot v. Near Term Future e veja se o Spot

Acima do Futuro: Contango (Futuro precisa SUBIR)
Abaixo do Futuro: Backwardation (Futuro precisa CAIR)

42
Q

Calendar Spread (Formula)

A

Calendar Spread = (Future Near - Future far)

43
Q

NOI (Formula)

A 
Rental Income Full Occupied
\+ Other Income = Potential Gross Income
- Vacancy Loss
- Operating Expenses
= NOI

CFA L2 Matheus (9 decks)

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