R76 练习: 另类投资特征、方法与结构
考纲范围
- describe features and categories of alternative investments
- compare direct investment, co-investment, and fund investment methods for alternative investments
- describe investment ownership and compensation structures commonly used in alternative investments
Q1.
Compared with traditional investments, alternative investments often have:
A. more historical risk and return data.
B. lower fees.
C. restrictions on redemptions.
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答案：C
解析：另类投资与传统投资相比，通常具有赎回限制（lock-up periods、redemption restrictions）。另类投资的历史数据较少（不是更多），费用通常更高（不是更低）。
选项 判断 解析 A ✗ 另类投资历史数据较少，透明度较低 B ✗ 另类投资费用通常更高（如”2 and 20”结构） C ✓ 另类投资通常有锁定期和赎回限制
Q2.
A distinct characteristic of alternative investments rather than traditional investments is that alternative investments:
A. are more transparent.
B. can use long, short and leveraged positions.
C. have more historical return data.
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答案：B
解析：另类投资的一个显著特征是可以使用多头、空头和杠杆头寸，这是传统投资（如共同基金）通常不具备的。另类投资透明度较低，历史数据较少。
选项 判断 解析 A ✗ 另类投资透明度更低，不是更高 B ✓ 另类投资可以灵活使用多空和杠杆策略 C ✗ 另类投资历史数据较少
Q3.
When combining alternative investments and traditional investments in a portfolio, which of the following statements is most accurate?
A. The portfolio will exhibit a higher risk.
B. Sharpe ratio may be biased upward.
C. The portfolio may have a lower Sharpe ratio.
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答案：B
解析：由于另类投资的估值通常基于评估（appraisal-based）而非市场价格，波动率可能被低估，导致Sharpe ratio向上偏误（biased upward）。低估的波动率使得风险调整后的回报看起来更好。
选项 判断 解析 A ✗ 加入另类投资可能降低组合风险（分散化效应） B ✓ 由于波动率被低估，Sharpe ratio可能被高估 C ✗ 由于波动率低估，Sharpe ratio反而可能偏高
Q4.
Amy is asking her financial planner which alternative investment she should choose for her portfolio if she expects the investment to generate a relatively steady income stream but not to have high correlation with other asset classes. The investment her financial planner most likely recommends is:
A. stamps.
B. commodities.
C. hotel property.
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答案：C
解析：酒店物业（hotel property）属于房地产投资，可以产生相对稳定的租金收入流，且与其他资产类别的相关性较低。邮票属于收藏品，不产生稳定收入；大宗商品不产生收入流。
选项 判断 解析 A ✗ 邮票是收藏品，不产生稳定收入流 B ✗ 大宗商品不产生收入流（no income stream） C ✓ 酒店物业可提供稳定租金收入，且与其他资产类别低相关
Q5.
Indirect investing exhibits obvious disadvantages that:
A. investors need to pay more fee.
B. investors are subject to adverse selection bias.
C. investors need to conduct thorough due diligence on assets or business.
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答案：A
解析：间接投资（fund investing）的明显劣势是投资者需要支付更多费用（管理费和激励费）。逆向选择偏差是间接投资的一个风险但不是最明显的劣势。尽职调查（due diligence）是直接投资的要求。
选项 判断 解析 A ✓ 间接投资需支付基金层面的额外费用 B ✗ 逆向选择存在但不是最显著的劣势 C ✗ 深入尽职调查是直接投资的特点
Q6.
Under which of the following methods of investing in alternative investments, could investors learn from the fund and bring the expertise in-house?
A. Indirect method
B. Co-investing
C. Direct method
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答案：B
解析：共同投资（co-investing）允许投资者与基金经理一起参与投资项目，从中学习专业知识并将专业能力内部化。这是co-investing的一个独特优势。
选项 判断 解析 A ✗ 间接投资中投资者不直接参与投资决策，无法学习 B ✓ 共同投资允许投资者与GP并肩工作，学习投资经验 C ✗ 直接投资已经需要自身具备专业知识
Q7.
MYH is an investment company participates in PE investment by the method of co-investing. However, the company decides to change to direct investing next quarter. Compared with the previous method, which of the following situation will least likely be encountered in respect of due diligence?
A. The due diligence team will have more control over the process of due diligence.
B. Less expertise will be required.
C. As investment opportunities will be introduced by third parties, the due diligence will be more independent.
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答案：B
解析：从共同投资转为直接投资时，需要更多而非更少的专业知识。直接投资要求投资者自行进行完整的尽职调查，需要更高的专业能力。A选项正确（直接投资对尽职调查有更多控制权），C选项不适用于直接投资。
选项 判断 解析 A ✗ 直接投资确实会有更多的尽职调查控制权 B ✓ 直接投资需要更多专业知识，而非更少 C ✗ 直接投资中机会不一定由第三方引荐
Q8.
Lisa tries to make alternative investments and takes her consultant’s advice of fund investing. One reason of choosing fund investing could be that:
A. fund investing is less costly.
B. investors can rely on the fund manager to conduct the due diligence.
C. investors can select a right fund easily because of symmetry of information.
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答案：B
解析：基金投资的一个优势是投资者可以依赖基金经理进行尽职调查，不需要自己具备深厚的专业知识。基金投资费用更高（不是更低），且存在信息不对称（不是信息对称）。
选项 判断 解析 A ✗ 基金投资费用更高，需支付管理费和激励费 B ✓ 基金经理负责尽职调查，减轻投资者负担 C ✗ 基金投资存在信息不对称，选择基金并不容易
Q9.
The agreements that negotiated by GPs and LPs outside the limited partnership agreements can be called:
A. catch-up clauses
B. side letters
C. hurdle terms
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答案：B
解析：Side letters（附函）是GP和LP在有限合伙协议之外协商的补充协议，用于为特定LP提供特殊条款。Catch-up clauses和hurdle terms是合伙协议内部的条款。
选项 判断 解析 A ✗ 追赶条款是合伙协议内的分配条款 B ✓ Side letters是在合伙协议之外的补充协议 C ✗ 门槛收益率条款是合伙协议的内部条款
Q10.
Gloria invests \into one hedge fund and one private equity fund, respectively. She confirms the charges for management fees with the fund manager on the phone. The manager tells her that the fees are calculated based on:
| Hedge fund | Private equity fund | |
|---|---|---|
| A | Assets under management | Paid-in capital |
| B | Assets under management | Committed capital |
| C | Committed capital | Assets under management |
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答案：B
解析：对冲基金的管理费基于资产管理规模（AUM）计算，而私募股权基金的管理费基于承诺资本（committed capital）计算。这是两类基金在费用结构上的重要区别。
选项 判断 解析 A ✗ PE基金管理费基于committed capital，非paid-in capital B ✓ 对冲基金基于AUM，PE基金基于committed capital C ✗ 对冲基金基于AUM，非committed capital
Q11.
Which of the following statements about waterfall paths is correct?
A. American waterfall paths are preferred by GPs.
B. European waterfall paths allow GPs to collect incentive fees on per-deal basis.
C. Both of American and European waterfall paths allow LPs to receive their initial investments before collecting incentive fees.
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答案：A
解析：American waterfall（美国式瀑布）允许GP按单笔交易（deal-by-deal）收取激励费，因此更受GP青睐。European waterfall要求LP先收回全部初始投资后GP才能收取激励费（whole-fund basis），更有利于LP。
选项 判断 解析 A ✓ 美国式瀑布按单笔交易分配，GP更早获得激励费 B ✗ 按单笔交易收费是American waterfall的特点 C ✗ 只有European waterfall要求LP先收回全部初始投资
Q12.
Which of the following statements about clawback provisions is correct?
A. This provision is about management fees.
B. This provision is more advantageous to LPs when the incentive fees are not fully realized on gains.
C. Clawback provisions only exist if funds use deal-by-deal waterfall paths.
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答案：B
解析：Clawback条款（回拨条款）要求GP将已收取但超额的激励费退还给LP，当激励费基于未完全实现的收益时，该条款对LP更有利。Clawback是关于激励费（非管理费），且在两种瀑布结构中都可能存在。
选项 判断 解析 A ✗ Clawback条款是关于激励费，不是管理费 B ✓ 当收益未完全实现时，clawback保护LP利益 C ✗ Clawback条款在两种瀑布结构中都可能存在
Q13.
Fang is an investor who focuses on alternative investment. Last year, the selected hedge fund earned a 20% return, and the hard hurdle rate is 8%. The fee structure is 2% management fee and 20% incentive fee. How much return would the GP receive with a catch-up clause involved?
A. 1.6%
B. 3.2%
C. 4.0%
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答案：C
解析：有catch-up条款时，GP最终获得总利润的20%。
计算过程：
但题目问的是GP receive的return（激励费部分）。有full catch-up条款时，GP获得总利润的20%：
选项 判断 解析 A ✗ 这是无catch-up时仅对超过hurdle rate部分计算的结果 B ✗ 计算有误 C ✓ 有catch-up条款，GP获得总利润的20% = 20% x 20% = 4.0%
Q14.
With regard to catch-up clause, all of the following statements are correct except:
A. GP would benefit from a catch-up clause.
B. a catch-up clause allows the GP to receive 100% of the distribution above the hurdle rate until he receives 20% of the profits generated, and the excess return would be split 80/20 between the LPs and GP.
C. a catch-up clause is applied only by private equity.
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答案：C
解析：Catch-up条款不仅适用于私募股权，也可应用于其他另类投资结构。A和B都是对catch-up条款的正确描述。
选项 判断 解析 A ✗ 正确，GP确实从catch-up条款中获益 B ✗ 正确，这是catch-up条款的标准运作机制 C ✓ 错误，catch-up条款不仅限于私募股权