2025CFA三級《另類投資》真題集考試時間：______分鐘總分：______分姓名：______SectionA:MultipleChoiceQuestions1.Whichofthefollowingisgenerallyconsideredaprimarycharacteristicthatdistinguishesalternativeinvestmentsfromtraditionalinvestments?a)Lowercorrelationwithtraditionalequityandbondmarkets.b)Shorterinvestmenthorizons.c)Higherliquidityandeaseofvaluation.d)Directownershipofphysicalassetsinmostcases.2.Aventurecapitalfirmisevaluatingastartupinthehealthcaresector.Theprimarysourceofreturnsforthisfirmwouldlikelycomefrom:a)Dividendpaymentsreceivedfromthestartup.b)Capitalappreciationuponaninitialpublicoffering(IPO)oracquisition.c)Interestearnedondebtsecuritiesheldwithinthefund.d)Rentalincomegeneratedfromrealestateproperties.3.Whenassessingthefeasibilityofacommercialrealestatedevelopmentproject,whichfactoristypicallyconsideredmostcriticalforlong-termsuccess?a)Thepersonalreputationoftheprojectdeveloper.b)Theprojectedrentalincomeandcapitalappreciationpotential.c)Theavailabilityoflow-interestconstructionloans.d)Thelocalzoninglawsallowingforflexiblelanduse.4.Infrastructureinvestmentsofteninvolvelong-termcontractsandrevenuestreams.Whichofthefollowingstructuresiscommonlyusedtofacilitatefinancingforsuchprojects,particularlyinthecontextofpublic-privatepartnerships?a)LeveragedBuyout(LBO).b)MasterLimitedPartnership(MLP).c)Public-PrivatePartnership(PPP)agreement.d)Debt-EquitySwap.5.Whichofthefollowingstatementsbestdescribesacharacteristicofprivateequityinvestments?a)Theyaretypicallyhighlyliquidandcanbeeasilytradedonpublicstockexchanges.b)Theygenerallyofferlowerriskandmorepredictablereturnscomparedtoventurecapital.c)Theyfocusprimarilyoninvestmentsinpubliclytradedcompanies.d)Theyoftenutilizeleverageandengageinactivemanagementtogeneratereturns.6.Forarealestateinvestmenttrust(REIT),whichofthefollowingisaprimaryregulatoryrequirementinfluencingitsinvestmentanddistributionpolicies?a)Maintainingaminimumleverageratio.b)Diversifyinginvestmentsexclusivelywithinasinglecountry.c)Distributingatleast90%ofitstaxableincometoshareholdersasdividends.d)Investingonlyinresidentialrealestateproperties.7.Ahedgefundmanageremploysamarket-neutralstrategyprimarilytoachievewhichobjective?a)Maximizereturnsthroughaggressiveleverage.b)Generatehighreturnsbyconsistentlypredictingmarketdirection.c)Reduceportfolioriskbyeliminatingexposuretomarket-widemovements.d)Investexclusivelyinemergingmarketsecurities.8.Whichofthefollowingrisksismostcommonlyassociatedwithinvestingdirectlyinphysicalcommodities?a)Creditriskassociatedwithacounterparty.b)Riskofpricevolatilitydrivenbysupplyanddemanddynamics.c)Interestrateriskaffectingthecostoffinancing.d)Regulatoryriskrelatedtoantitrustlaws.9.Whenevaluatingtheperformanceofanalternativeinvestmentfund,arisk-adjustedperformancemeasuresuchastheSharperatioisparticularlyusefulbecause:a)Alternativeinvestmentsinherentlyhavenegativeskewnessinreturns.b)Theirreturnsareoftenlesscorrelatedwithtraditionalmarkets,requiringadifferentriskassessment.c)Theytypicallyexhibitlowervolatilitycomparedtostocksandbonds.d)Theygeneratesignificanttax-exemptincomeforinvestors.10.Whichofthefollowingisakeyfeatureofalimitedpartnership(LP)structurecommonlyusedinhedgefundsandprivateequityfunds?a)Thegeneralpartner(GP)haslimitedliabilityandmanagestheday-to-dayoperations.b)Limitedpartners(LPs)haveunlimitedliabilityforthefund'sdebts.c)LPsactivelymanagetheinvestmentstrategyandmakedailytradingdecisions.d)Thepartnershipistaxedasacorporationattheentitylevel.11.Aprivateequityfundchargesitslimitedpartners(LPs)amanagementfeetypicallycalculatedasapercentageof:a)ThetotalcommittedcapitalinvestedbyLPs.b)Thenetassetvalue(NAV)ofthefund.c)Thegrossincomegeneratedbythefund'sinvestments.d)TherealizedgainsdistributedtoLPs.12.Inthecontextofinfrastructureinvesting,aPublic-PrivatePartnership(PPP)typicallyinvolves:a)Thegovernmentsettingstrictpricecapsontheinfrastructureprovider'srevenues.b)Theprivatesectortakingfullownershipandoperationalresponsibilitywithnogovernmentinvolvement.c)Acontractualagreementbetweenaprivateentityandapublicsectorbodyforthedesign,financing,construction,and/oroperationofapublicinfrastructureproject.d)Theprivateentityfinancingtheprojectsolelythroughissuingitsowndebtsecurities.13.Whichofthefollowingalternativeassetclassesismostlikelytoofferthehighestpotentialforcapitalappreciationbutalsocarriesthegreatestdegreeofilliquidityandexecutionrisk?a)RealEstateInvestmentTrusts(REITs).b)Infrastructureprojects.c)VentureCapital.d)Hedgefunds.14.AfundamentaldifferencebetweendirectrealestateinvestmentandinvestmentinREITsliesin:a)Thelevelofdiversificationofferedtoinvestors.b)Thetaxtreatmentofincomegeneratedfromtheunderlyingproperties.c)Thedegreeofleveragetypicallyemployed.d)Theinvolvementofafundmanagertomakeinvestmentdecisions.15.Whichofthefollowingisaprimaryriskassociatedwiththeuseofleverageinalternativeinvestmentstrategies?a)Reducedpotentialforportfoliogrowth.b)Increasedcorrelationwithtraditionalmarketmovements.c)Amplifiedpotentiallosses,particularlyduringmarketdownturns.d)Compoundedtaxliabilitiesforinvestors.SectionB:Essays1.Alargeinstitutionalinvestorisconsideringallocatingaportionofitsportfoliotoprivateequity.Discusstheprimaryinvestmentopportunities,keyrisks,andpotentialbenefitsassociatedwiththisassetclass.Inyouranswer,addressthetypicalinvestmenthorizon,liquiditycharacteristics,androleofleverageinprivateequityfunds.2.Compareandcontrasttheinvestmentstrategies,typicalrisk-returnprofiles,andregulatoryenvironmentsofhedgefundsandprivateequityfunds.Discussthefactorsaninvestormightconsiderwhendecidingbetweenallocatingcapitaltooneversustheother.3.ExplaintheconceptofaRealEstateInvestmentTrust(REIT).DescribethekeyrequirementsforacompanytobeclassifiedasaREIT,itsprimarysourcesofincome,andhowitdiffersfromapubliclytradedrealestatecompany.AnalyzetheadvantagesanddisadvantagesofinvestinginREITsforincome-focusedinvestors.4.Discusstheroleofalternativeinvestments,suchasrealestate,privateequity,andinfrastructure,inawell-diversifiedinvestmentportfolio.Explainhowtheseassetscanpotentiallyreduceoverallportfolioriskandprovidediversificationbenefitscomparedtotraditionalstocksandbonds.Supportyouranswerwithexamplesofhowdifferentalternativeassetclassesmightperformundervariouseconomicconditions.5.Describethetypicallifecycleofaventurecapitalinvestment,fromtheinitialidentificationandselectionofapromisingstartuptotheeventualexitstrategy.Discussthekeystagesinvolved,thetypesofreturnsgenerated,theassociatedrisks,andtheroleoftheventurecapitalfundmanagerthroughouttheprocess.Considertheimportanceofalignmentbetweenventurecapitalistsandentrepreneurs.6.Analyzethemainrisksinherentininfrastructureinvesting.Discussspecificexamplesofriskssuchasconstructiondelays,regulatorychanges,commoditypricefluctuations(ifapplicable),andpoliticalinstability.Explainhowinvestorsanddeveloperstypicallyattempttomitigatetheserisksthroughcontractualagreements,financingstructures,orotherriskmanagementtechniques.7.Explaintheconceptof"illiquiditypremium"asitappliestoalternativeinvestments.Provideexamplesofalternativeassetsthatexhibitsignificantilliquidityanddiscussthereasonswhyinvestorsmightrequireahigherexpectedreturn(premium)tocompensateforthedifficultyofquicklyconvertingtheseassetsintocashwithoutsubstantiallyimpactingtheirprice.8.Discusstheimportanceofeffectiveriskmanagementspecificallywithinthecontextofalternativeinvestments.Identifykeyriskcategoriesuniquetoalternativeassets(e.g.,liquidityrisk,executionrisk,operationalrisk)andexplainhowportfoliomanagersmightassessandmanagetheserisks,particularlywhenintegratingalternativeinvestmentsintoabroaderportfolio.Considertheroleofduediligenceandongoingmonitoring.試卷答案SectionA:MultipleChoiceQuestions1.a)Lowercorrelationwithtraditionalequityandbondmarkets.解析思路：Alternativeinvestments的核心特征之一是它們與傳統(tǒng)股票和債券市場的相關性較低，提供了分散化的機會。其他選項不正確：B)另類投資通常具有較長的投資期限；C)另類投資通常流動性較低，估值也可能更復雜；D)雖然有些另類投資涉及實物資產(chǎn)，但并非大多數(shù)。2.b)Capitalappreciationuponaninitialpublicoffering(IPO)oracquisition.解析思路：風險投資的主要回報來源是其所投資的企業(yè)成功后通過IPO或被收購實現(xiàn)的資本增值。A)初創(chuàng)公司通常不支付股息；C)VC投資的是股權而非債務；D)這是房地產(chǎn)投資的典型回報來源。3.b)Theprojectedrentalincomeandcapitalappreciationpotential.解析思路：商業(yè)地產(chǎn)項目長期成功的關鍵在于其能夠產(chǎn)生足夠的租金收入并實現(xiàn)資本增值，這是衡量項目經(jīng)濟可行性的核心指標。A)個人聲譽影響有限；C)低利率貸款是有利條件，但不是成功的根本；D)zoninglaws是必要條件，但項目成功更依賴于市場需求和財務表現(xiàn)。4.c)Public-PrivatePartnership(PPP)agreement.解析思路：PPP是公共部門和私營部門合作建設、運營基礎設施項目的一種常見模式，旨在結合雙方優(yōu)勢。A)LBO是杠桿收購；B)MLP是masterylimitedpartnership，常用于能源行業(yè)；D)債務-股權互換是融資工具。5.d)Theyoftenutilizeleverageandengageinactivemanagementtogeneratereturns.解析思路：私募股權基金通常使用杠桿來放大回報，并由積極的基金管理人進行投資決策和增值管理。A)它們通常是私有的，流動性低；B)VC風險更高；C)它們主要投資于非上市公司。6.c)Distributingatleast90%ofitstaxableincometoshareholdersasdividends.解析思路：REITs的一個核心稅法規(guī)定是其必須將大部分應稅收入（通常90%）分配給股東，以避免被視為普通公司納稅。A)杠桿比例有規(guī)定但不是首要；B)REITs可以投資多種類型的財產(chǎn)；D)REITs可以投資商業(yè)、工業(yè)地產(chǎn)等。7.c)Reduceportfolioriskbyeliminatingexposuretomarket-widemovements.解析思路：市場中性策略通過同時做多和做空，旨在消除或降低對整體市場波動的敞口，從而降低組合風險。A)使用杠桿是為了放大收益；B)預測市場方向很難；D)HFT和EM是特定策略或市場類型，與市場中性定義不同。8.b)Riskofpricevolatilitydrivenbysupplyanddemanddynamics.解析思路：直接投資實物商品的主要風險之一是商品價格受供需關系影響而波動的風險。A)信用風險是金融工具的風險；C)利率風險影響融資成本；D)監(jiān)管風險是所有投資都存在的風險。9.b)Theirreturnsareoftenlesscorrelatedwithtraditionalmarkets,requiringadifferentriskassessment.解析思路：由于另類投資與傳統(tǒng)市場的相關性較低，使用如Sharpe比率等風險調整后績效指標進行評估尤為重要，這有助于更準確地衡量其貢獻和風險。A)負偏度不是普遍特征；C)另類投資通常波動性更高；D)稅收待遇因資產(chǎn)類別而異。10.a)Thegeneralpartner(GP)haslimitedliabilityandmanagestheday-to-dayoperations.解析思路：在有限合伙制中，普通合伙人(GP)承擔管理責任并通常擁有無限責任，但有限合伙人(LP)通常承擔有限責任。A)描述了GP的角色和責任；B)LPs通常是有限責任的；C)LPs通常是被動投資者；D)合伙企業(yè)通常進行穿透稅務處理。11.a)ThetotalcommittedcapitalinvestedbyLPs.解析思路：私募股權和許多對沖基金的管理費通常按基金管理資產(chǎn)總額的一定百分比收取，這個總額通常是指LPs承諾投入的資金。B)NAV是資產(chǎn)凈值；C)是收入費；D)是業(yè)績費。12.c)Acontractualagreementbetweenaprivateentityandapublicsectorbodyforthedesign,financing,construction,and/oroperationofapublicinfrastructureproject.解析思路：PPP的核心定義是公共部門與私營部門就公共基礎設施項目達成合同協(xié)議，共同負責其整個生命周期。A)政府通常設定價格上限；B)通常是公私合作；D)私人實體需要多種融資方式。13.c)VentureCapital.解析思路：風險投資通常投資于早期、高增長潛力的公司，回報潛力巨大，但公司失敗風險高，且投資期限長，流動性差，執(zhí)行風險（找到好項目并成功退出）也高。REITs提供收入；基礎設施通常較穩(wěn)定；對沖基金策略多樣。14.b)Thetaxtreatmentofincomegeneratedfromtheunderlyingproperties.解析思路：直接投資房地產(chǎn)的收益根據(jù)房產(chǎn)類型和個人情況納稅，而REITs將大部分收入以股息形式分配給投資者，投資者通常按股息稅率納稅，避免了直接投資中的可能較高資本利得稅。其他選項不構成核心區(qū)別：C)杠桿使用普遍；A)和D)管理參與程度不同。15.c)Amplifiedpotentiallosses,particularlyduringmarketdownturns.解析思路：杠桿的作用是放大收益，但同樣也放大了損失。在市場下跌時，使用杠桿會導致投資組合價值快速減少，甚至可能產(chǎn)生負凈值。A)高杠桿可能抑制增長；B)杠桿可能增加特定風險，但降低整體相關性不是主要目的；D)稅收影響與杠桿本身的風險放大無關。SectionB:Essays1.在考慮將部分資產(chǎn)配置于私募股權時，機構投資者應討論與該資產(chǎn)類別相關的核心投資機會、主要風險和潛在收益。在您的答案中，請說明典型投資期限、流動性特征以及杠桿在私募股權基金中的作用。答案要點：私募股權提供投資于非上市成長型公司（特別是中后期）的機會，潛在回報高（通過退出實現(xiàn)）。主要風險包括流動性差（投資期通常7-10年）、執(zhí)行風險（選擇錯誤項目、管理不善）、退出風險（市場環(huán)境不利）、杠桿風險（放大損失）以及有限合伙人權益保護不足。潛在收益來自資本增值。投資期限長，流動性受限。杠桿是PE基金常用的工具，以增加資本規(guī)模，放大潛在回報，但也顯著增加了風險。2.比較和對比對沖基金和私募股權基金的投資策略、典型風險收益特征和監(jiān)管環(huán)境。討論投資者在決定是將資本配置于其中一種還是另一種時可能考慮的因素。答案要點：策略上，對沖基金策略多樣（市場中性、事件驅動、宏觀等），側重短期交易或相對價值；私募股權側重長期（5-10年）直接投資于公司，通過增值管理實現(xiàn)退出。風險收益上，私募股權風險高，潛在回報也高，流動性差；對沖基金風險和回報取決于策略，部分策略風險相對較低，但費用高（2&20），流動性也受限于基金結構。監(jiān)管上，對沖基金通常比私募股權基金監(jiān)管寬松。投資者需考慮自身風險承受能力、投資期限、流動性需求以及回報預期。私募股權適合長期、高凈值、追求高收益、能容忍低流動性的投資者；對沖基金選擇更多樣。3.解釋RealEstateInvestmentTrust(REIT)的概念。描述成為REIT的核心要求，其主要收入來源，以及它與公開交易房地產(chǎn)公司的區(qū)別。分析對于尋求收入型投資者的REITs的優(yōu)缺點。答案要點：REIT是投資于房地產(chǎn)并產(chǎn)生收入的實體，以向股東分配大部分應稅收入為條件，從而避免公司層面的所得稅。核心要求包括必須將至少90%的應稅收入用于分配，持有一定比例的房地產(chǎn)資產(chǎn)，并遵守特定報告和治理規(guī)則。主要收入來源是租金收入（權益型REIT）或利息/股息（抵押型REIT）。區(qū)別在于REIT是上市實體，其份額可公開交易，而傳統(tǒng)房地產(chǎn)公司是私有或公開交易但通常不符合REIT規(guī)則，收入主要來自資本利得。優(yōu)點：為投資者提供公開交易、流動性較好的房地產(chǎn)敞口；通常提供穩(wěn)定、免稅（符合條件的股息）的收入。缺點：收入穩(wěn)定性受房地產(chǎn)市場波動影響；易受利率變化影響；管理費用可能較高。4.討論另類投資（如房地產(chǎn)、私募股權和基礎設施）在多元化投資組合中的作用。解釋這些資產(chǎn)如何有可能通過與傳統(tǒng)股票和債券的低相關性來降低整體投資組合風險，并舉例說明不同另類資產(chǎn)類別在不同經(jīng)濟狀況下的表現(xiàn)。答案要點：另類投資通過與傳統(tǒng)資產(chǎn)（股票、債券）的低相關性或低協(xié)方差，可以降低投資組合的整體波動性，提供多元化效應。例如，在經(jīng)濟衰退期間，股票和債券可能同時下跌，而