Caia level I: an introduction to core topics in alternative investments

The official study text for the Level I Chartered Alternative Investment Analyst (CAIA) examThe Chartered Alternative Investment Analyst (CAIA) designationis the financial industry's first and only globally recognized program that prepares professionals to deal with the ever-growing field of alternative investments. The second edition of CAIA Level I: An Introduction to Core Topics in Alternative Investments contains comprehensive insights on the alternative investment issues a potential Level I candidate would need to know about as they prepare for the exam.The information found here will help you build a solid foundation in alternative investment markets—with coverage of everything from the characteristics of various strategies within each alternative asset class to portfolio management concepts central to alternative investments.Uses investment analytics to examine each alternative asset classExamines quantitative techniques used by investment professionalsAddresses the unique attributes associated with the alternative investment spaceOffers an online study guide outlining learning objectives and keywordsThis book is a must-have resource foranyone contemplating taking the CAIA Level I exam. So if you're ready to takeyour first step toward the CAIA charter, take the time to understand the insights offered here. INDICE: Preface xiiiAcknowledgments xviiAbout the Authors xxiPART ONE Introduction to Alternative Investments 1CHAPTER 1 What Is an Alternative Investment? 31.1 Alternative Investments by Exclusion 31.2 Alternative Investments by Inclusion 41.3 Structures among Alternative Investments 81.4 Investments Are Distinguished by Return Characteristics 121.5 Investments Are Distinguished by Methods of Analysis 141.6 Goals of Alternative Investing 171.7 Overview of This Book 19CHAPTER 2 The Environment of Alternative Investments 212.1 The Participants 212.2 Financial Markets 282.3 Regulations 302.4 Taxation 38CHAPTER 3 Statistical Foundations 413.1 Frequency and Probability Distributions 413.2 Compounding Multiple Time Period Returns 443.3 Return Distributions and Autocorrelation 483.4 Moments of the Distribution: Mean, Variance, Skewness, and Kurtosis 503.5 Computing Sample Statistics 543.6 More on Standard Deviation and Variance 593.7 Testing for Normality 643.8 Other Measures of Risk 663.9 Estimating Value at Risk (VaR) 703.10 Time Series Return Volatility Models 753.11 Conclusion 77CHAPTER 4 Risk, Return, and Benchmarking 794.1 Benchmarking 794.2 Asset Pricing Models 824.3 Three Methods of Models 824.4 Cross-Sectional versus Time-Series Models 854.5 Single-Factor and Ex Ante Asset Pricing 874.6 Empirical Analyses with the CAPM 904.7 Multifactor Models 964.8 Alternative Asset Benchmarking 1034.9 Conclusion 107CHAPTER 5 Correlation, Alternative Returns, and Performance Measurement 1095.1 Correlation 1095.2 Internal Rate of Return 1185.3 Problems with IRR 1225.4 Returns Based on Notional Principal 1295.5 Distribution of Cash Waterfall 1325.6 Performance Measures 139CHAPTER 6 Alpha and Beta 1476.1 Overview of Beta and Alpha 1476.2 Ex Ante versus Ex Post Alpha 1496.3 Inferring Ex Ante Alpha from Ex Post Alpha 1556.4 Return Attribution 1586.5 Ex Ante Alpha Estimation and Persistence 1636.6 Return Drivers 1646.7 Summary of Alpha and Beta Analysis 168CHAPTER 7 Hypothesis Testing in Alternative Investments 1697.1 Four Steps of Hypothesis Testing 1707.2 A Test Assuming Normality 1737.3 Tests with Inferential Statistics 1767.4 Sampling and Testing Problems 1817.5 Cumulative Returns and Performance 1857.6 Statistical Issues in Analyzing Alpha and Beta 1897.7 Summary of Alpha and Beta Estimation 1967.8 Conclusion198PART TWO Real Assets 201CHAPTER 8 Land, Infrastructure, and Intangible Real Assets 2038.1 Land 2038.2 Timber and Timberland 2088.3 Farmland 2108.4 Infrastructure 2148.5 Intellectual Property 2208.6 Valuation and Volatility 2248.7 Historical Risks and Returns 228CHAPTER 9 Real Estate Fixed-Income Investments2339.1 Residential Mortgages 2339.2 Commercial Mortgages 2419.3 Mortgage-Backed Securities Market 2449.4 Collateralized Mortgage Obligations 2499.5 Real Estate Investment Trusts 2559.6 Risks and Returns of Mortgage REITs 256CHAPTER 10 Real Estate Equity Investments 26110.1 Real Estate Development 26110.2 Valuation and Risks of Real Estate Equity 26410.3 Alternative Real Estate Investment Vehicles 27210.4 Real Estate and Depreciation 27810.5 Real Estate Equity Risks and Returns 28310.6 Risks and Returns of Equity REITs 288PART THREE Hedge Funds 293CHAPTER 11 Introduction to Hedge Funds 29511.1 Distinguishing Hedge Funds 29511.2 Hedge Fund Types 30211.3 Hedge Fund Fees 30411.4 Conclusion 315CHAPTER 12 Hedge Fund Returns and Asset Allocation 31712.1 Describing the Hedge Fund Universe 31712.2 Mean, Variance, Skewness, and Kurtosis of Strategies 31912.3 Categorizing Hedge Fund Strategies 32112.4 Should Hedge Funds Be Part of an Investment Program? 32812.5 Do Hedge Funds Undermine the Financial Markets? 33312.6 Hedge Fund Indices 33512.7 Conclusion 344CHAPTER 13 Macro and Managed Futures Funds 34513.1 Major Distinctions between Strategies 34513.2 Global Macro 34713.3 Returns of Macro Investing 35113.4 Managed Futures 35413.5 Systematic Trading 35713.6 Systematic Trading Styles 35913.7 Prior Empirical Research 36913.8 Conclusion 37613.9 Analysis of Historical Returns Conclusion 376CHAPTER 14 Event-Driven Hedge Funds 38114.1 The Sources of Most Event Strategy Returns 38114.2 Activist Investing 38414.3 Merger Arbitrage 39714.4 Distressed Securities Funds 40514.5 Event-Driven Multistrategy Funds 412CHAPTER 15 Relative Value Hedge Funds 41715.1 Convertible Bond Arbitrage 41815.2 Volatility Arbitrage 43315.3 Fixed-Income Arbitrage 44715.4 Relative Value Multistrategy Funds 459CHAPTER 16 Equity Hedge Funds 46116.1 Sources of Return 46216.2 Market Anomalies 46616.3 The Fundamental Law of Active Management 47216.4 Implementing Anomaly Strategies 47516.5 The Three Equity Strategies 48016.6 Conclusion 493CHAPTER 17 Funds of Hedge Funds 49517.1 Benefits and Costs of Diversification 49517.2 Investing in Multistrategy Funds 50217.3 Investing in Funds of Hedge Funds50517.4 Fund of Funds Historical Returns 50817.5 Conclusion 520PART FOUR Commodities 523CHAPTER 18 Commodity Futures Pricing 52518.1 Forward and Futures Contracts 52518.2 Rolling Contracts 53018.3 The Term Structure of Forward Prices53118.4 Backwardation and Contango 54218.5 Returns on Futures Contracts 545CHAPTER 19 Commodities: Applications and Evidence 55119.1 Commodity Investing for Diversification 55119.2 Commodity Investing for Return Enhancement 55519.3 Investing in Commodities without Futures 55719.4 Commodity Exposure through Futures Contracts 56219.5 Three Fallacies of Roll Return 56819.6 Commodity Futures Indices 57019.7 Commodity Risks and Returns 57219.8 Historical Risks and Returns 574PART FIVE Private Equity 579CHAPTER 20 Introduction to Private Equity 58120.1 Private Equity Terminology and Background 58120.2 Private Equity as Equity Securities 58420.3 Private Equity as Debt Securities 58720.4 Trends and Innovations in Private Equity 592CHAPTER 21 Equity Types of Private Equity 59921.1 Venture Capital versus LBOs 59921.2 The Underlying Businesses of Venture Capital 60021.3 Venture Capital Funds 60121.4 Venture Capital Risks and Returns60921.5 Leveraged Buyouts (LBOs) 61321.6 Leveraged Buyout Risks and Returns 623CHAPTER 22 Debt Types of Private Equity 62522.1 Mezzanine Debt 62522.2 Distressed Debt 63222.3 Risks of Distressed Debt Investing 637PART SIX Structured Products 639CHAPTER 23 Credit Risk and the Structuring of Cash Flows 64123.1 AnOverview of Credit Risk 64123.2 Modeling Credit Risk 64423.3 Structural ModelApproach to Credit Risk 64623.4 Reduced-Form Model Approach to Credit Risk 65523.5 Structuring Using Collateralized Debt Obligations 66323.6 Conclusion 666CHAPTER 24 Credit Derivatives 66724.1 Credit Derivative Markets 66724.2 CreditDefault Swaps 66924.3 Other Credit Derivatives 67824.4 Risks of Credit Derivatives 68024.5 Conclusion 683CHAPTER 25 Collateralized Debt Obligations 68525.1Introduction to Collateralized Debt Obligations 68525.2 Balance Sheet CDOs versus Arbitrage CDOs 68825.3 Cash-Funded CDOs versus Synthetic CDOs 69225.4 Cash Flow CDOs versus Market Value CDOs 69525.5 Credit Risk and Enhancements 69625.6 New Developments in CDOs 69925.7 Risks of CDOs 703PART SEVEN Risk Management and Portfolio Management 709CHAPTER 26 Lessons from Hedge Fund Failures 71126.1 Problems Driven by Market Losses 71126.2 Failures Driven by Fraud 72126.3Conclusion 727CHAPTER 27 Risk Analysis 72927.1 Investment Strategy Risks 72927.2 Market Risk 73027.3 Operational Risk 73227.4 Investment Process Risk 73427.5 Controlling Operational Risk 73627.6 Aggregating the Risks of a Fund 74027.7 Portfolios with Options 74227.8 Conclusion 745CHAPTER 28 Due Diligence of Fund Managers 74728.1 Screening with Three Fundamental Questions 74828.2 Structural Review 75228.3 Strategic Review 75628.4 Administrative Review 76028.5 Performance Review 76128.6 Portfolio Risk Review 76728.7 Legal Review 77028.8 Reference Checks 77328.9 Measuring Operational Risk 774CHAPTER 29 Regression, Multivariate, and Nonlinear Methods 77729.1 Single-Factor Models and Regression 77729.2 Multiple-Factor Models and Regression 78129.3 Nonlinear Returns 78329.4 Changing Correlation 78529.5 Applications of Multifactor Models 78729.6 Hedge Fund Performance Persistence 791CHAPTER 30 Portfolio Optimization and Risk Parity 79530.1 Mean-Variance Portfolio Optimization 79530.2 Complications to Mean-Variance Optimization 80330.3 Risk Budgeting 80730.4 Risk Parity 810CHAPTER 31 Portfolio Management, Alpha, and Beta 81931.1 The Estimation of Alpha and Beta 81931.2 The Separation of Alpha and Beta 82131.3 Portable Alpha 82231.4 Alpha, Beta, and Portfolio Allocation 82731.5 Conclusion 831APPENDIX Data Sources833Index 849

• ISBN: 978-1-118-42816-0
• Editorial: John Wiley & Sons
• Encuadernacion: Cartoné
• Fecha Publicación: 17/05/2012
• Nº Volúmenes: 1
• Idioma: Inglés