Details

Alternative Investments


Alternative Investments

CAIA Level I
Wiley Finance 4. Aufl.

von: Donald R. Chambers, Mark J. P. Anson, Keith H. Black, Hossein B. Kazemi, Hossein B. CAIA Association

80,99 €

Verlag: Wiley
Format: EPUB
Veröffentl.: 16.03.2020
ISBN/EAN: 9781119604150
Sprache: englisch
Anzahl Seiten: 928

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Beschreibungen

<p><i>Alternative Investments: CAIA Level I</i>, <i>4th Edition</i> is the curriculum book for the Chartered Alternative Investment Analyst (CAIA) Level I professional examination. Covering the fundamentals of the alternative investment space, this book helps you build a foundation in alternative investment markets. You'll look closely at the different types of hedge fund strategies and the range of statistics used to define investment performance as you gain a deep familiarity with alternative investment terms and develop the computational ability to solve investment problems. From strategy characteristics to portfolio management strategies, this book contains the core material you will need to succeed on the CAIA Level I exam. This updated fourth edition tracks to the latest version of the exam and is accompanied by the following ancillaries: a workbook, study guide, learning objectives, and an ethics handbook.</p>
<p>Preface xxxiii</p> <p>Acknowledgments xxxvii</p> <p>About the Authors xli</p> <p><b>Part 1 Introduction to Alternative Investments</b></p> <p><b>Chapter 1 What is an Alternative Investment? 3</b></p> <p>1.1 Alternative Investments by Exclusion 3</p> <p>1.2 Alternative Investments by Inclusion 4</p> <p>1.3 The Blurred Lines between Traditional and Alternative Investments 8</p> <p>1.4 A History of Alternative Investing: The U.S. Case 10</p> <p>1.5 Investments are Distinguished by Return Characteristics 11</p> <p>1.6 Investments are Distinguished by Methods of Analysis 14</p> <p>1.7 Eight Other Characteristics that Distinguish Alternative and Traditional Investments 16</p> <p>1.8 Five Goals of Alternative Investing 18</p> <p>1.9 Two Pillars of Alternative Investment Management 20</p> <p>1.10 Overview of This Book 22</p> <p>Review Questions 23</p> <p><b>Chapter 2 The Environment of Alternative Investments 25</b></p> <p>2.1 The Participants 25</p> <p>2.2 Alternative Investment Structures 33</p> <p>2.3 Key Features of Fund Structures 36</p> <p>2.4 Financial Markets 40</p> <p>2.5 Regulatory Environment 42</p> <p>2.6 Liquid Alternative Investments 43</p> <p>2.7 Taxation 47</p> <p>2.8 Short Selling 49</p> <p>Review Questions 52</p> <p>Notes 53</p> <p><b>Chapter 3 Quantitative Foundations 55</b></p> <p>3.1 Return and Rate Mathematics 55</p> <p>3.2 Returns Based on Notional Principal 57</p> <p>3.3 Internal Rate of Return 60</p> <p>3.4 Problems with Internal Rate of Return 64</p> <p>3.5 Other Performance Measures 73</p> <p>3.6 Illiquidity, Accounting Conservatism, IRR, and the J-Curve 75</p> <p>3.7 Distribution of Cash Waterfall 77</p> <p>Review Questions 85</p> <p>Note 86</p> <p><b>Chapter 4 Statistical Foundations 87</b></p> <p>4.1 Return Distributions 87</p> <p>4.2 Moments of the Distribution: Mean, Variance, Skewness, and Kurtosis 90</p> <p>4.3 Covariance, Correlation, Beta, and Autocorrelation 94</p> <p>4.4 Interpreting Standard Deviation and Variance 104</p> <p>4.5 Testing for Normality 111</p> <p>4.6 Time-Series Return Volatility Models 114</p> <p>Review Questions 116</p> <p><b>Chapter 5 Foundations of Financial Economics 117</b></p> <p>5.1 Informational Market Efficiency 117</p> <p>5.2 The Time Value of Money, Prices, and Rates 122</p> <p>5.3 The Three Primary Theories of the Term Structure of Interest Rates 127</p> <p>5.4 Forward Interest Rates 129</p> <p>5.5 Arbitrage-Free Models 131</p> <p>5.6 Binomial Tree Models 134</p> <p>5.7 Single-Factor Default–Free Bond Models 137</p> <p>5.8 Single-Factor Equity Pricing Models 143</p> <p>Review Questions 148</p> <p>Note 149</p> <p><b>Chapter 6 Derivatives and Risk-Neutral Valuation 151</b></p> <p>6.1 Foundations of Forward Contracts 151</p> <p>6.2 Forward Contracts on Rates 155</p> <p>6.3 Forward Contracts on Equities 157</p> <p>6.4 Forward Contracts on Assets with Benefits and Costs of Carry 165</p> <p>6.5 Forward Contracts Versus Futures Contracts 171</p> <p>6.6 Managing Long-Term Futures Exposures 178</p> <p>6.7 Option Exposures 180</p> <p>6.8 Option Pricing Models 186</p> <p>6.9 Option Sensitivities 188</p> <p>Review Questions 190</p> <p>Notes 191</p> <p><b>Chapter 7 Measures of Risk and Performance 193</b></p> <p>7.1 Measures of Risk 193</p> <p>7.2 Estimating Value at Risk (VaR) 198</p> <p>7.3 Benchmarking and Performance Attribution 203</p> <p>7.4 Ratio-Based Performance Measures 204</p> <p>7.5 Risk-Adjusted Return Measures 210</p> <p>Review Questions 214</p> <p>Notes 214</p> <p><b>Chapter 8 Alpha, Beta, and Hypothesis Testing 215</b></p> <p>8.1 Overview of Beta and Alpha 215</p> <p>8.2 Ex Ante Versus Ex Post Alpha 217</p> <p>8.3 Single-Factor Models and Regression 220</p> <p>8.4 Inferring Ex Ante Alpha From Ex Post Alpha 225</p> <p>8.5 Return Attribution, Alpha, and Beta 226</p> <p>8.6 Ex Ante Alpha Estimation and Return Persistence 230</p> <p>8.7 Return Drivers 231</p> <p>8.8 Using Statistical Methods to Locate Alpha 234</p> <p>8.9 Sampling and Testing Problems 239</p> <p>8.10 Statistical Issues in Analyzing Alpha and Beta 242</p> <p>Review Questions 246</p> <p>Notes 247</p> <p><b>Part 2 Real Assets</b></p> <p><b>Chapter 9 Natural Resources and Land 251</b></p> <p>9.1 Natural Resources Other Than Land 251</p> <p>9.2 Land 256</p> <p>9.3 Timber and Timberland 261</p> <p>9.4 Farmland 263</p> <p>9.5 Valuation and Volatility of Real Assets 268</p> <p>9.6 Pricing and Historic Data Analysis 272</p> <p>9.7 Contagion, Price Indices, and Biases 275</p> <p>9.8 Key Observations Regarding Historical Returns of Timberland 278</p> <p>9.9 Key Observations Regarding Historical Returns of Farmland 278</p> <p>Review Questions 279</p> <p>Notes 279</p> <p><b>Chapter 10 Commodities 281</b></p> <p>10.1 Investing in Commodities Without Futures 281</p> <p>10.2 The Term Structure of Forward Prices on Commodities 288</p> <p>10.3 Rolling of Forward and Futures Contracts 296</p> <p>10.4 Normal Backwardation and Normal Contango 302</p> <p>10.5 Commodity Exposure and Diversification 307</p> <p>10.6 Expected Returns on Commodities 310</p> <p>10.7 Commodity Futures Indices 312</p> <p>10.8 Commodity Risk Attributes 314</p> <p>10.9 Observations Based on Historical Returns 318</p> <p>Review Questions 318</p> <p>Notes 318</p> <p><b>Chapter 11 Other Real Assets 319</b></p> <p>11.1 Commodity Producers 319</p> <p>11.2 Liquid Alternative Real Assets 322</p> <p>11.3 Infrastructure 325</p> <p>11.4 Intellectual Property Overview 336</p> <p>11.5 Cash Flows of Intellectual Property 341</p> <p>11.6 Visual Works of Art and Historical Performance Data 344</p> <p>11.7 R&D and Patents as Unbundled Intellectual Property 346</p> <p>11.8 Intellectual Property Conclusions 349</p> <p>Review Questions 350</p> <p>Notes 350</p> <p>References 350</p> <p><b>Chapter 12 Real Estate Assets and Debt 353</b></p> <p>12.1 Categories of Real Estate 353</p> <p>12.2 Advantages, Disadvantages, and Styles of Real Estate Investments 355</p> <p>12.3 Real Estate Style Boxes 361</p> <p>12.4 Residential Mortgages 363</p> <p>12.5 Commercial Mortgages 372</p> <p>12.6 Mortgage-Backed Securities Market 375</p> <p>12.7 Liquid Alternatives: Real Estate Investment Trusts 380</p> <p>12.8 Key Observations Regarding Historical Returns of Mortgage REITs 382</p> <p>Review Questions 384</p> <p>Notes 384</p> <p><b>Chapter 13 Real Estate Equity 385</b></p> <p>13.1 Real Estate Development 385</p> <p>13.2 Commercial Real Estate Valuation 389</p> <p>13.3 Details of the Income Approach to Real Estate Valuation 397</p> <p>13.4 Illustration of the Income Method of Real Estate Valuation 402</p> <p>13.5 Alternative Real Estate Investment Vehicles 403</p> <p>13.6 Equity REIT Returns 409</p> <p>13.7 Key Observations Regarding Historical Risks and Returns of Equity REITs 410</p> <p>Review Questions 412</p> <p><b>Part 3 Hedge Funds</b></p> <p><b>Chapter 14 Structure of the Hedge Fund Industry 415</b></p> <p>14.1 Distinguishing Hedge Funds 415</p> <p>14.2 Hedge Fund Fees 419</p> <p>14.3 Hedge Fund Classification 431</p> <p>14.4 Hedge Fund Returns and Asset Allocation 433</p> <p>14.5 Evaluating a Hedge Fund Investment Program 438</p> <p>14.6 Three Research Studies on Whether Hedge Funds Adversely Affect the Financial Markets 441</p> <p>14.7 Hedge Fund Indices 442</p> <p>14.8 Conclusion 451</p> <p>Review Questions 451</p> <p>Notes 451</p> <p><b>Chapter 15 Macro and Managed Futures Funds 453</b></p> <p>15.1 Macro and Managed Futures Strategies 453</p> <p>15.2 Global Macro 455</p> <p>15.3 Managed Futures 459</p> <p>15.4 Systematic Trading 464</p> <p>15.5 Four Core Dimensions of Managed Futures Investment Strategies 476</p> <p>15.6 Systematic Futures Portfolio Construction 479</p> <p>15.7 Eight Core Benefits of Managed Futures for Investors 483</p> <p>15.8 Evidence on Managed Futures Returns 485</p> <p>15.9 Benefits of Managed Futures Funds 493</p> <p>15.10 Key Observations Regarding Historical Returns of Macro and Systematic Diversified Funds 499</p> <p>Review Questions 499</p> <p>Notes 499</p> <p><b>Chapter 16 Event-Driven Hedge Funds 501</b></p> <p>16.1 The Sources of Most Event Strategy Returns 501</p> <p>16.2 Activist Investing 505</p> <p>16.3 Merger Arbitrage 517</p> <p>16.4 Distressed Securities Funds 524</p> <p>16.5 Event-Driven Multistrategy Funds 532</p> <p>Review Questions 534</p> <p>Notes 534</p> <p><b>Chapter 17 Relative Value Hedge Funds 535</b></p> <p>17.1 Overview of Relative Value Strategies 535</p> <p>17.2 Convertible Bond Arbitrage 536</p> <p>17.3 Volatility Arbitrage 551</p> <p>17.4 Fixed-Income Arbitrage 565</p> <p>17.5 Relative Value Multistrategy Funds 575</p> <p>Review Questions 578</p> <p>Notes 578</p> <p><b>Chapter 18 Equity Hedge Funds 579</b></p> <p>18.1 Commonalities of Equity Hedge Funds 579</p> <p>18.2 Sources of Return 580</p> <p>18.3 Market Anomalies 584</p> <p>18.4 Implementing Anomaly Strategies 590</p> <p>18.5 The Three Equity Strategies 594</p> <p>18.6 Equity Hedge Fund Risks 605</p> <p>Review Questions 605</p> <p>Notes 606</p> <p><b>Chapter 19 Funds of Hedge Funds 607</b></p> <p>19.1 Overview of Funds of Hedge Funds 607</p> <p>19.2 Investing in Multistrategy Funds 616</p> <p>19.3 Investing in Funds of Hedge Funds 619</p> <p>19.4 Investing in Portfolios of Single Hedge Funds 622</p> <p>19.5 Multialternatives and Other Hedge Fund Liquid Alternatives 624</p> <p>19.6 Key Observations Regarding Historical Returns of Funds of Funds 628</p> <p>Review Questions 631</p> <p>Notes 631</p> <p><b>Part 4 Private Securities</b></p> <p><b>Chapter 20 Private Equity Assets 635</b></p> <p>20.1 Introduction to Private Equity Terms and Background 635</p> <p>20.2 Overview of Three Forms of Pre-IPO Private Equity Investing 637</p> <p>20.3 Venture Capital 639</p> <p>20.4 Venture Capital as a Compound Option 647</p> <p>20.5 Growth Equity 648</p> <p>20.6 Buyouts and Leveraged Buyouts 651</p> <p>20.7 Buyouts of Private Companies 653</p> <p>20.8 Leveraged Buyouts (LBOs) 655</p> <p>20.9 Merchant Banking 663</p> <p>20.10 Dynamics of Private Equity Opportunities 663</p> <p>Review Questions 665</p> <p>Notes 666</p> <p><b>Chapter 21 Private Equity Funds 667</b></p> <p>21.1 Overview of Private Equity Funds 667</p> <p>21.2 Private Equity Funds as Intermediaries 671</p> <p>21.3 The LP and GP Relationship Life Cycle 677</p> <p>21.4 Private Equity Fund Fees and Terms 680</p> <p>21.5 Key Determinants of Venture Capital Fund Risks and Returns 687</p> <p>21.6 Roles and Three Key Distinctions of Venture Capital and Buyout Managers 689</p> <p>21.7 Leveraged Buyout Funds 689</p> <p>21.8 Private Equity Liquid Alternatives 693</p> <p>21.9 Private Equity Funds of Funds 698</p> <p>21.10 Private Investments in Public Equity 699</p> <p>21.11 Private Equity Secondary Markets and Structures 703</p> <p>Review Questions 706</p> <p>Notes 707</p> <p><b>Chapter 22 Private Credit and Distressed Debt 709</b></p> <p>22.1 Types of Fund Private Credit Vehicles 709</p> <p>22.2 Fixed-Income Analysis 711</p> <p>22.3 Credit Risk Analysis and the Bankruptcy Process 715</p> <p>22.4 Leveraged Loans 725</p> <p>22.5 Direct Lending 727</p> <p>22.6 Mezzanine Debt 728</p> <p>22.7 Distressed Debt 737</p> <p>22.8 Private Credit Performance and Diversification 743</p> <p>Review Questions 744</p> <p>Note 744</p> <p>References 745</p> <p><b>Part 5 Structured Products</b></p> <p><b>Chapter 23 Introduction to Structuring 749</b></p> <p>23.1 Overview of Financial Structuring 749</p> <p>23.2 Major Types of Structuring 750</p> <p>23.3 The Primary Economic Role of Structuring 751</p> <p>23.4 Collateralized Mortgage Obligations 753</p> <p>23.5 Structural Model Approach to Credit Risk 761</p> <p>23.6 Interest Rate Options 766</p> <p>23.7 Introduction to Collateralized Debt Obligations 768</p> <p>Review Questions 773</p> <p>Note 773</p> <p><b>Chapter 24 Credit Risk and Credit Derivatives 775</b></p> <p>24.1 An Overview of Credit Risk 775</p> <p>24.2 Reduced-Form Modeling of Credit Risk 776</p> <p>24.3 Credit Derivatives Markets 783</p> <p>24.4 Interest Rate Swaps 786</p> <p>24.5 Credit Default Swaps 793</p> <p>24.6 Other Credit Derivatives 801</p> <p>24.7 CDS Index Products 804</p> <p>24.8 Five Key Risks of Credit Derivatives 805</p> <p>Review Questions 807</p> <p>Notes 807</p> <p><b>Chapter 25 CDO Structuring of Credit Risk 809</b></p> <p>25.1 Overview of CDO Variations 809</p> <p>25.2 Balance Sheet CDOs and Arbitrage CDOs 812</p> <p>25.3 Mechanics of and Motivations for An Arbitrage CDO 814</p> <p>25.4 Cash-Funded CDOs Versus Synthetic CDOs 816</p> <p>25.5 Cash Flow CDOs Versus Market Value CDOs 820</p> <p>25.6 Credit Enhancements 821</p> <p>25.7 Other Types of CDOs 823</p> <p>25.8 Risks of CDOs 824</p> <p>Review Questions 829</p> <p><b>Chapter 26 Equity-Linked Structured Products 831</b></p> <p>26.1 Structured Products and Six Types of Wrappers 831</p> <p>26.2 Four Potential Tax Effects of Wrappers 832</p> <p>26.3 Structured Products with Exotic Option Features 835</p> <p>26.4 Popular Structured Product Types 843</p> <p>26.5 The EUSIPA Classification 844</p> <p>26.6 Global Structured Product Cases 848</p> <p>26.7 Structured Product Valuation 850</p> <p>26.8 Motivations of Structured Products 854</p> <p>Review Questions 855</p> <p>Notes 856</p> <p>Index 857</p>
<p><b>DONALD R. CHAMBERS, PhD, CAIA,</b> is Associate Director of Programs at the CAIA Association, Chief Investment Officer of Biltmore Capital Advisors, and Emeritus Professor at Lafayette College in Easton, Pennsylvania. Dr. Chambers previously served as Director of Alternative Investments at Karpus Investment Management. He is a member of the editorial board of the <i>Journal of Alternative Investments.</i> <p><b>MARK J. P. ANSON, PhD, CAIA, CFA, CPA, JD,</b> is Chief Investment Officer for Commonfund. Prior to joining Commonfund, he was the President and Chief Investment Officer of the Bass Family Office–winner of the Family Office of the Year award for 2014-2015. Dr. Anson previously served as President and Executive Director of Investment Services at Nuveen Investments Inc., Chief Executive Officer of both the British Telecom Pension Scheme and its wholly owned asset management company in London, Hermes Pension Management Limited, and Chief Investment Officer at California Public Employees' Retirement System. He has published over 100 research articles in professional journals, has won two Best Paper Awards, is the author of six financial textbooks, and sits on the editorial boards of several financial journals. <p><b>KEITH H. BLACK, PhD, CFA, CAIA, FDP</b> is a managing director at the CAIA Association overseeing content strategy. He was previously an associate at Ennis Knupp and prior, an assistant professor at Illinois Institute of Technology. He is a member of the editorial board of the <i>Journal of Alternative Investments</i>. <p><b>HOSSEIN B. KAZEMI, PhD, CFA,</b> is co-founder of and the Senior Advisor for the CAIA Association. Dr. Kazemi is the Michael and Cheryl Philipp Distinguished Professor of Finance at Isenberg School of Management, the University of Massachusetts Amherst, the Director of the Center for International Securities and Derivatives Markets, and editor of the <i>Journal of Alternative Investments</i> and<i> Alternative Investment Analyst Review.</i>
<p><b><i>Alternative Investments: CAIA Level I</i></b></br> <b>The official reading for the CAIA Level I exam</b> <p>"As the array of offerings continues to grow in the world of alternative investments, many asset classes have morphed more into industries, accompanied by a widening breadth of risk profiles and performance dispersion. Value will accrue to the astute and patient investor, and the CAIA Level I curriculum is an outstanding source for needed education."</br> <b> —Elena Manola-Bonthond, PhD, CAIA, Chief Investment Officer, CERN Pension Fund</b> <p>"We have seen extraordinary interest and growth in alternative risk premia over the last decade. Investors continue to either seek better risk-adjusted returns through a widening set of uncorrelated offerings, or to access an asset class or strategy that is expected to produce higher absolute returns in the current low-yield environment. Regardless of motivation, financial education has never been more important, and the CAIA Association Level I textbook is an essential read for all investors."</br> <b> —Valerie Sill, CFA, CAIA, President and Chief Executive Officer, Dupont Capital Management</b> <p>"While the first hedge fund may have been formed 80 years ago, wider institutional adoption of these and other alternative investments has mainly been a feature of the most recent 20 years. The CAIA Association and their important educational mandate is ever more relevant in this <i>Fourth Edition</i> text. It is essential foundational reading for investment professionals who wish to succeed in today's complex world."</br> <b> —David George, CFA, CAIA, Deputy Chief Investment Officer, Public Markets, Future Fund Management Agency</b> <p>Seasoned professionals looking to explore new areas within the alternative investment arena, as well as new industry participants seeking to establish a solid understanding of alternative investments, will find that <i>Alternative Investments: CAIA Level I</i> is the best way to achieve these goals, and the smartest way to prepare for the CAIA Level I exam.

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