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Equity/Alternative > V-Alternative-3 > Flashcards

V-Alternative-3 Flashcards

1
Q

【return measures】

  1. alt 的return分布特点
  2. sharpe ratio是好的risk衡量吗？2
  3. 好的risk衡量包括3
A
  1. leptokurtic, negatively skewed
  2. 不是 由于alt大多iliquid, 用estimate而不是transaction price作为统计

sharpe ratio分母standard dev要求正态分布，但alt investment return非正态分布，分子上return也有survivorship bias等

  1. sortino ratio分母为standard dev of the returns that are below the target return

value at risk VaR - minimum expeted loss given event

short fall risk

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2
Q

【Hedge funds】Event-driven

  1. 总体思路+approach
  2. merger arbitrage
  3. distressed/restructure
  4. activist
A
  1. seek profit from short-term event, “bottom up”
  2. long merged stock, short merger stock, 希望merger overpay
  3. 买入distressed company证券，希望公司债务重组经营好转
  4. 在二级市场买入足够股票，对公司形成重大影响，进而操控
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3
Q

【Hedge funds】

relative value strategy

  1. 总体思路
  2. fixed imcome convertible
  3. fixed income asset backed
  4. fixed income general
  5. volatility
  6. multy-strategy
A
  1. short-term, price-discrepancy of related securities 进行多头空头反向操作
  2. 可转债和股票的mis-prising
  3. ABS/MBS的mis-pricing
  4. 仅在固收领域内部，不同债券的mis-pricing
  5. 通过option的买卖
  6. 前几种的综合
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4
Q

【Hedge funds】strategies

  1. Macro - approach
  2. Equity hedge - approach
  3. market neutral
A
  1. top-down
  2. bottom-up
  3. long undervalued, short overvalued, 构建一个zero β portfolio
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5
Q

【Hedge funds】fee cal

费用计算

  1. management fee 2
  2. incentive fee 2
  3. high-water mark 解释
  4. return
A
  1. 按期初或期末AUM扣减
  2. 计算independent of / net of (先扣除) management fee

hurdle rate: 有hurdle的话先减hurdle value

  1. 历史最高的AUM value net of (扣除) management fee and incentive fee.

如去年末AUM达到130，但要减两费后121.4才是high-water, 也是下次超越此数的基础值

_hurdle apply add-on to high-water mark (580-pass water mark 610, hurdle 4%, so new hurdle = 610*1.04%)_

  1. （end AMU - begin AUM - management fee - incentive fee）/begin AUM
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6
Q

【Hedge fund valuation】

NAV reporting

  1. if assets are liquidly traded
  2. if iliquidly traded
A
  1. report at available average quotes
  2. 两种NAV

trading NAV: AVG quotes adjusted for liquidity (discount)

reporting NAV: avg quotes

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7
Q

【Private Equity】关键词

  1. angel investing 2
  2. seed-stage 2
  3. early stage 1
  4. development capital
A
  1. idea. VC尚未介入
  2. product development VC介入的最早阶段
  3. product commercial production
  4. 可以是public/private companies
    public: PIPE 上市公司新业务
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8
Q

【Private Equity】

计费方式与对冲基金

差别2

A
  1. management fee calculated from committed cap,

not invested cap

  1. clawback provision: 资产缩水，退回之前的incentive fee

或者干脆在LP拿回投资时再计算incentive

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9
Q

【PE】退出

  1. trade sale
  2. IPO缺点
  3. Recapitalization
  4. Secondary sale
  5. write off/liquidation
A
  1. 卖给同业或战略投资者。low transaction cost, management may not be happy
  2. high transaction cost
  3. not truly exit, 银行贷款用来发放dividend
  4. 卖给别的财务投资者PE
  5. 止损
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10
Q

【PE】

Portfolio company valuation

3 approaches

A
  1. market or comparable: EBITDA multiple
  2. DCF
  3. Asset-based
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11
Q

【Real Estate】

  1. 3 index + 关键词
  2. REIT index & equity returns
  3. REIT index & bond returns
A
  1. appraisal index: 基于评估值而非成交价方差最小

repeat sales index: 基于交易房成交价，sample selection bias

REIT index

  1. high correlation
  2. low correlation
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12
Q

【Real Estate】

  1. 3 approaches - valuation
  2. REIT valuation - 2 approaches
A
  1. comparable sales

Income approach: direct capitalization: NOI/cap rate

DCF

cost approach: replacement cost

2.

income based: FFO, adjusted FFO

Asset based: REIT’s NAV

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13
Q

【Commodities】

价格特点3

A
  1. correlation with equity is low
  2. 抗通胀
  3. 大宗商品价格波动比产成商品要大
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14
Q

【Commodities】

  1. futures price=
  2. contango
  3. backwardation
A
  1. =spot price (1+rf)+cost-convenience yield
  2. convenience yield小，futures price>spot
  3. convenience yield大，futures price<spot></spot>

</spot>

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15
Q

【Commodities】futures

3 sources of return

  1. spot price change
  2. collateral yield
  3. roll yield
A
  1. spot price change: curren supply and demand决定
  2. 投资期货的margin的利息
  3. difference between S0 and FP. S0-FP

in backwardation, roll yield >0

in contango, roll yield <0

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16
Q

【Infrastructure】

  1. greenfield investment 含义、特点
  2. brownfield investment 含义、特点
A
  1. 新建。more risk, unexpected CF, more return
  2. 投资现有。 less risk, predictable CF, less return

Equity/Alternative (5 decks)

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