Alternative Investments
CAIA Level II
(Sprache: Englisch)
In-depth Level II exam preparation direct from the CAIA AssociationCAIA Level II is the official study guide for the Chartered Alternative Investment Analyst professional examination, and an authoritative guide to working in the alternative investment...
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In-depth Level II exam preparation direct from the CAIA AssociationCAIA Level II is the official study guide for the Chartered Alternative Investment Analyst professional examination, and an authoritative guide to working in the alternative investment sphere. Written by the makers of the exam, this book provides in-depth guidance through the entire exam agenda; the Level II strategies are the same as Level I, but this time you'll review them through the lens of risk management and portfolio optimisation. Topics include asset allocation and portfolio oversight, style analysis, risk management, alternative asset securitisation, secondary market creation, performance and style attribution and indexing and benchmarking, with clear organisation and a logical progression that allows you to customise your preparation focus. This new third edition has been updated to align with the latest exam, and to reflect the current practices in the field.The CAIA designation was developed to provide a standardized knowledge base in the midst of explosive capital inflow into alternative investments. This book provides a single-source repository of that essential information, tailored to those preparing for the Level II exam.* Measure, monitor and manage funds from a risk management perspective* Delve into advanced portfolio structures and optimisation strategies* Master the nuances of private equity, real assets, commodities and hedge funds* Gain expert insight into preparing thoroughly for the CAIA Level II examThe CAIA Charter programme is rigorous and comprehensive, and the designation is globally recognised as the highest standard in alternative investment education. Candidates seeking thorough preparation and detailed explanations of all aspects of alternative investment need look no further than CAIA Level II.
Inhaltsverzeichnis zu „Alternative Investments “
Preface xviiAcknowledgments xxiAbout the Authors xxiiiPART 1 Asset Allocation and Institutional InvestorsCHAPTER 1 Asset Allocation Processes and the Mean-Variance Model 31.1 Importance of Asset Allocation 31.2 The Five Steps of the Asset Allocation Process 61.3 Asset Owners 71.4 Objectives and Constraints 91.5 Investment Policy Objectives 91.6 Investment Policy Constraints 171.7 Preparing an Investment Policy Statement 181.8 Implementation 221.9 Conclusion 33Notes 34References 34CHAPTER 2 Tactical Asset Allocation, Mean-Variance Extensions, Risk Budgeting, Risk Parity, and Factor Investing 352.1 Tactical Asset Allocation 352.2 Extensions to the Mean-Variance Approach 452.3 Risk Budgeting 502.4 Risk Parity 552.5 Factor Investing 622.6 Conclusion 68Notes 69References 69CHAPTER 3 The Endowment Model 713.1 Defining Endowments and Foundations 713.2 Intergenerational Equity, Inflation, and Spending Challenges 743.3 The Endowment Model 763.4 Why Might Large Endowments Outperform? 783.5 Risks of the Endowment Model 843.6 Conclusion 96Note 96References 96CHAPTER 4 Pension Fund Portfolio Management 994.1 Development,Motivations, and Types of Pension Plans 994.2 Risk Tolerance and Asset Allocation 1014.3 Defined Benefit Plans 1054.4 Governmental Social Security Plans 1134.5 Contrasting Defined Benefit and Contribution Plans 1144.6 Annuities for Retirement Income 1174.7 Conclusion 122Notes 122References 122CHAPTER 5 Sovereign Wealth Funds 1255.1 Sources of Sovereign Wealth 1255.2 Four Types of Sovereign Wealth Funds 1285.3 Establishment and Management of Sovereign Wealth Funds 1315.4 Emergence of Sovereign Wealth Funds 1345.5 Governance and Political Risks of SWFs 1365.6 Analysis of Three Sovereign Wealth Funds 1385.7 Conclusion 141Notes 142References 142CHAPTER 6 The Family Office Model 1456.1 Identifying Family Offices 1456.2 Goals, Benefits, and Business Models of Family Offices 1456.3 Family Office Goals by Generations 1506.4 Macroeconomic Exposures of Family Offices
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1556.5 Income Taxes of Family Offices 1576.6 Lifestyle Assets of Family Offices 1606.7 Family Office Governance 1646.8 Charity, Philanthropy, and Impact Investing 1676.9 Ten Competitive Advantages of Family Offices 1706.10 Conclusion 172Notes 172References 173PART 2 Private EquityCHAPTER 7 Private Equity Market Structure 1777.1 Main Strategies of Private Equity Investment 1777.2 Main Differences between Venture Capital and Buyout 1787.3 PE Funds as Intermediaries 1817.4 PE Funds of Funds as Intermediaries 1847.5 The Relationship Life Cycle between LPs and GPs 1877.6 Limited Partnership Key Features 1907.7 Co-Investments 1987.8 Conclusion 202Notes 202References 203CHAPTER 8 Private Equity Benchmarking 2058.1 The Valuation of PE Assets 2068.2 Measuring Performance of PE Funds 2068.3 Benchmark Types 2128.4 Asset-Based Benchmarks 2138.5 Peer Groups 2158.6 What Is an Appropriate Benchmark? 2188.7 Example for Benchmarking PE Funds 2208.8 Portfolio of PE Funds 2268.9 Conclusion 231Notes 232References 232CHAPTER 9 Fund Manager Selection and Monitoring 2359.1 Performance Persistence 2359.2 Manager Selection and Deal Sourcing 2419.3 Decision-Making and Commitment 2449.4 Principles of Fund Monitoring 2459.5 Monitoring Objectives 2469.6 Information Gathering and Monitoring 2489.7 Actions Resulting from Monitoring 2519.8 The Secondary Market 2539.9 Conclusion 259Notes 260References 262CHAPTER 10 Private Equity Operational Due Diligence 26510.1 The Scope and Importance of Operational Due Diligence 26510.2 Eight Core Elements of the Operational Due Diligence Process 26810.3 Private Equity Operational Due Diligence Document Collection Process 26910.4 Analyzing Private Equity Legal Documentation during Operational Due Diligence 27210.5 Operational Due Diligence beyond Legal Document Analysis 27810.6 On-Site Manager Visits 28210.7 Evaluating Meta Risk 28410.8 Fund Service Provider Review and Confirmation 28510.9 Ongoing Private Equity Monitoring Considerations 28610.10 Conclusion 287Notes 288References and Further Readings 288CHAPTER 11 Private Equity Investment Process and Portfolio Management 28911.1 Investment Process 29011.2 Private Equity Portfolio: Design 29311.3 Private Equity Portfolio: Construction 29711.4 Risk-Return Management 30011.5 Conclusion 306Notes 307References 308CHAPTER 12 Measuring Private Equity Risk 30912.1 Four Significant Risks of Private Equity 30912.2 Modeling Private Equity 31112.3 What Is the Value of a Private Equity Asset? 31312.4 Applying the VaR Concept to Private Equity 31512.5 Calculating VaR Based on Cash Flow at Risk 31512.6 Conclusion 320Notes 321References 321CHAPTER 13 The Management of Liquidity 32313.1 Identifying Illiquidity and Managing Cash Flows 32313.2 Private Equity Cash Flow Schedules 32713.3 Five Sources of Liquidity 32813.4 Investment Strategies for Undrawn Capital 33013.5 Modeling Cash Flow Projections 33013.6 Three Approaches to Forming Model Projections 33113.7 Overcommitment 33713.8 Conclusion 339Notes 340References 340PART 3 Real AssetsCHAPTER 14 Real Estate as an Investment 34314.1 Attributes of Real Estate 34314.2 Asset Allocation 34514.3 Categories of Real Estate 34714.4 Return Drivers of Real Estate 35214.5 The Four-Quadrant Model 35414.6 Conclusion 358Note 358References 358CHAPTER 15 Real Estate Indices and Unsmoothing Techniques 36115.1 Smoothed Pricing 36215.2 Models of Price and Return Smoothing 36515.3 Unsmoothing a Price or Return Series 36815.4 An Illustration of Unsmoothing 37215.5 Noisy Pricing 37815.6 Appraisal-Based Real Estate Indexes 37915.7 Transaction-Based Indices (Repeat-Sales and Hedonic) 38415.8 Description of Major Real Estate Indices 39015.9 Real Estate Indices Performance 39315.10 Conclusion 398Notes 398References 399CHAPTER 16 Investment Styles, Portfolio Allocation, and Real Estate Derivatives 40116.1 Defining the Three NCREIF Real Estate Styles 40216.2 Differentiating Styles with Eight Attributes 40416.3 Three Purposes of Real Estate Style Analysis 40416.4 Real Estate Style Boxes 40716.5 Cap Rates and Expected Returns 40816.6 Developing Risk and Return Expectations with Styles 40916.7 Characteristics of Real Estate Derivatives 41516.8 Types of Real Estate Derivatives and Indices 41716.9 Conclusion 421References 421CHAPTER 17 Listed versus Unlisted Real Estate Investments 42317.1 Unlisted Real Estate Funds 42317.2 Listed Real Estate Funds 42717.3 Market-Based versus Appraisal-Based Returns 43517.4 Arbitrage, Liquidity, and Segmentation 43917.5 Conclusion 448Note 449References 449CHAPTER 18 International Real Estate Investments 45118.1 Overview of International Real Estate Investing 45118.2 Opportunities in International Real Estate Investing 45318.3 Challenges to International Real Estate Investing 46218.4 Establishing a Global Real Estate Equity Investment Program 47018.5 Conclusion 476Note 476References 477CHAPTER 19 Infrastructure as an Investment 47919.1 Infrastructure Assets 47919.2 Stage, Location, and Sector of Infrastructure 48319.3 Twelve Attributes of Infrastructure as Defensive Investments 48619.4 Accessing Infrastructure Investment Opportunities 48919.5 Classifying Infrastructure Fund Strategies 49319.6 Comparison of Infrastructure with Other Assets 49619.7 Public-Private Partnerships 49719.8 Infrastructure Regulation and Public Policy 49919.9 Infrastructure Historical Performance 49919.10 Conclusion 501References 502CHAPTER 20 Farmland and Timber Investments 50320.1 Motivations for and Characteristics of Farmland Investment 50320.2 Global Demand for Agricultural Products 50520.3 Accessing Agricultural Returns 50820.4 Understanding the Returns to Farmland 51420.5 Investing in Agricultural Infrastructure 52020.6 Global Investing in Timberland 52220.7 Farmland and Timber Investments Compared to Other Real Assets 52520.8 Key Points 52820.9 Conclusion 529Notes 529References 529CHAPTER 21 Investing in Intellectual Property 53321.1 Characteristics of Intellectual Property 53321.2 Film Production and Distribution 53421.3 Visual Works of Art 54121.4 R&D and Patents 54621.5 Intellectual Property and Six Characteristics of Real Assets 55221.6 Conclusion 553Notes 553References 555PART 4 CommoditiesCHAPTER 22 Key Concepts in Commodity Markets 56122.1 Economics of Commodity Spot Markets 56122.2 Commodity Trading Firms, Risks, and Speculation 56522.3 Economics of Commodity Futures Markets 57022.4 Theories of Commodity Forward Curves 57522.5 Decomposition of Returns to Futures-Based Commodity Investment 58122.6 Commodities as an Inflation Hedge 58222.7 Commodities and Exchange Rates 58422.8 Rebalancing and Historical Performance of Commodity Futures 58622.9 Conclusion 590Notes 590References 591CHAPTER 23 Allocation to Commodities 59323.1 Five Beneficial Characteristics of Allocations to Commodity Futures 59323.2 Commodity Investment Strategies 60223.3 Directional Strategies 60223.4 Relative Value Strategies 60523.5 Commodity Futures and Options Spreads 60523.6 Capital Structure and Commodity-Based Corporations 61223.7 Conclusion 614Notes 615References 615CHAPTER 24 Accessing Commodity Investment Products 61924.1 Direct Physical Ownership of Commodities 61924.2 Indirect Ownership of Commodities 62024.3 Leveraged and Option-Based Structures 62824.4 Commodity Index Basics 63124.5 Eight Sources of Commodity Index Returns 63124.6 Issues in Commodity Index Design 63424.7 Performance Enhancements of New Commodity Indices 63724.8 Commodity Index Return Calculation 63924.9 Conclusion 644Notes 644References 645PART 5 Hedge Funds and Managed FuturesCHAPTER 25 Managed Futures 64925.1 The Structure of the Managed Futures Industry 64925.2 Four Core Dimensions of Managed Futures Investment Strategies 65125.3 Foundations of Managed Futures 65825.4 Benefits of CTAs 66625.5 Systematic Futures Portfolio Construction 67125.6 Conclusion 675References 676CHAPTER 26 Investing in CTAs 67726.1 Historical Performance of CTAs 67726.2 Diversification Benefits of CTAs 68526.3 CTA Risk Measurement and Risk Management 68826.4 Three Approaches to the Benchmarking of CTAs 70026.5 Managed Accounts and Platforms 70326.6 Conclusion 707Notes 709References 709CHAPTER 27 Relative Value Strategies 71127.1 Limits to Arbitrage of Relative Valuation 71127.2 Convertible Arbitrage: An Overview 71727.3 Pairs Trading and Market Neutrality 73327.4 Conclusion 741Notes 743References 743CHAPTER 28 Hedge Funds: Directional Strategies 74528.1 Financial Economics of Directional Strategies 74528.2 Equity Long/Short 75128.3 Global Macro 76928.4 Historical Performance of Directional Strategies 78528.5 Conclusion 786Notes 786References 786CHAPTER 29 Hedge Funds: Credit Strategies 78929.1 The Economics of Credit Risk 78929.2 Overview of Credit Risk Modeling 79229.3 The Merton Model 79329.4 Other Structural Models--KMV 79829.5 Reduced-Form Models 80129.6 Pros and Cons of Structural and Reduced-Form Models 80529.7 Empirical Credit Models 80529.8 Distressed Debt Investment Strategy 80829.9 Bankruptcy Laws across the Globe 81529.10 Implementation of Distressed Debt Strategies 81929.11 Valuation Risks in Distressed Debt Investing 82229.12 Asset-Based Lending 82429.13 Conclusion 830Notes 830References 830CHAPTER 30 Volatility, Correlation, and Dispersion Products and Strategies 83330.1 Volatility, Risk Factors, and Risk Premiums 83330.2 Using Options to Manage Portfolio Volatility Exposure and Risk Premiums 83530.3 Modeling Volatility Processes 84530.4 Volatility Products 84830.5 Option-Based Volatility Strategies 85530.6 Volatility Hedge Funds and Their Strategies 85930.7 Conclusion 865Notes 865References 866CHAPTER 31 Hedge Fund Replication 86731.1 An Overview of Replication Products 86731.2 Potential Benefits of Replication Products 86831.3 The Case for Hedge Fund Replication 86931.4 Unique Benefits of Replication Products 87331.5 Factor-Based Approach to Replication 87731.6 Payoff-Distribution Approach 88231.7 Algorithmic (Bottom-Up) Approach 88531.8 Alternative Mutual Funds 89031.9 Exchange-Traded Funds 89331.10 Conclusion 894Notes 895References 895CHAPTER 32 Funds of Hedge Funds and Multistrategy Funds 89732.1 Approaches to Accessing Hedge Funds 89732.2 Characteristics of Funds of Hedge Funds 90132.3 Funds of Funds Performance 90532.4 Fund of Hedge Funds Portfolio Construction 90732.5 Manager Selection 91332.6 Benefits Offered by Funds of Hedge Funds 91432.7 Disadvantages of Funds of Hedge Funds 91632.8 Funds of Hedge Funds versus Multistrategy Funds 91732.9 How Funds of Hedge Funds Add Value 91932.10 Hedge Funds Indices 92532.11 Conclusion 929References 930CHAPTER 33 Hedge Fund Operational Due Diligence 93333.1 Distinguishing Hedge Fund and Private Equity Operational Due Diligence 93333.2 Four Operational Steps in Analyzing Hedge Fund Operational Trading Procedures 93433.3 Analyzing Hedge Fund Cash Management and Movement 93633.4 Analyzing Hedge Fund External Parties 93833.5 Analyzing Hedge Fund Compliance Considerations 94233.6 Documenting the Operational Due Diligence Process 94533.7 Operational Decision Making and Allocation Considerations 94633.8 Investigative Due Diligence 94833.9 Four Approaches to Resource Allocation for Operational Due Diligence 95033.10 Hedge Fund Governance 95233.11 Hedge Fund Insurance 95433.12 Performing Operational Due Diligence on Funds of Hedge Funds 95533.13 Conclusion 956CHAPTER 34 Regulation and Compliance 95734.1 Three Foundational Principles of Financial Market Regulation 95734.2 The Regulation of Alternative Investments within the United States 95834.3 Alternative Investment Regulation in Europe 96934.4 Hedge Fund Regulation in Asia 97934.5 Conclusion 983Notes 983PART 6 Structured ProductsCHAPTER 35 Structured Products-I Fixed-Income Derivatives and Asset-Backed Securities 99135.1 Overview of Term Structure Modeling 99135.2 Equilibrium Models of the Term Structure 99235.3 Arbitrage-Free Models of the Term Structure 99635.4 Interest Rate Derivatives 99935.5 Asset-Backed Securities 101335.6 Auto Loan-Backed Securities 101435.7 Credit Card Receivables 101635.8 Conclusion 1018Notes 1018References 1018CHAPTER 36 Structured Products II: Insurance-Linked Products and Hybrid Securities 102136.1 Insurance-Linked Securities 102136.2 Overview of Non-Life ILS: Catastrophe Bonds 102136.3 Life ILS: Longevity and Mortality Risk-Related Products 103036.4 Hybrid Products: Mezzanine Debt 103736.5 Conclusion 1050Notes 1051References 1051Appendix AAlternative Presentations of Mean-Variance Optimization 1053Index 1055
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Autoren-Porträt von CAIA Association, Hossein B. Kazemi
The CAIA Association (Amherst, MA) is an independent, not-for-profit global organization committed to education and professionalism in the field of alternative investments, established in 2002 by industry leaders under the guidance of the Alternative Investment Management Association (AIMA) and the Center for International Securities and Derivatives Markets (CISDM) with the belief that a strong foundation of knowledge is essential for all professionals. The CAIA Association offers two exams (Level I and Level II).
Bibliographische Angaben
- Autoren: CAIA Association , Hossein B. Kazemi
- 2016, 3. Aufl., 1104 Seiten, Maße: 18,9 x 26,2 cm, Gebunden, Englisch
- Verlag: Wiley & Sons
- ISBN-10: 1119016398
- ISBN-13: 9781119016397
Sprache:
Englisch
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