CAIA Level I An Introduction to Core Topics in Alternative Investments

ISBN-10: 1118250966
ISBN-13: 9781118250969
Edition: 2nd 2012
List price: $130.00 Buy it from $21.10 Rent it from $64.17
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Description: CAIA Association has developed two examinations that are used to certify Chartered Alternative Investment Analysts. The Level I curriculum builds a foundation in both traditional and alternative investment markets--for example, the range of  More...

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Book details

List price: $130.00
Edition: 2nd
Copyright year: 2012
Publisher: John Wiley & Sons, Limited
Publication date: 5/11/2012
Binding: Hardcover
Pages: 896
Size: 7.25" wide x 10.50" long x 2.25" tall
Weight: 3.982
Language: English

CAIA Association has developed two examinations that are used to certify Chartered Alternative Investment Analysts. The Level I curriculum builds a foundation in both traditional and alternative investment markets--for example, the range of statistics that are used to define investment performance as well as the many types of hedge fund strategies. The readings for the Level II exam focus on the same strategies, but change the context to one of risk management and portfolio optimization. Level I CAIA exam takers have to work through an outline of terms, be able to identify and describe aspects of financial markets, develop reasoning skills, and in some cases make computations necessary to solve business problems.

Preface
Introduction to Alternative Investments
What Is an Alternative Investment?
Alternative Investments by Exclusion
Alternative Investments by Inclusion
Structures among Alternative Investments
Investments Are Distinguished by Return Characteristics
Investments Are Distinguished by Methods of Analysis
Goals of Alternative Investing
Overview of This Book
The Environment of Alternative Investments
The Participants
Financial Markets
Regulations
Taxation
Statistical Foundations
Frequency and Probability Distributions
Compounding Multiple Time Period Returns
Return Distributions and Autocorrelation
Moments of the Distribution: Mean, Variance, Skewness, and Kurtosis
Computing Sample Statistics
More on Standard Deviation and Variance
Testing for Normality
Other Measures of Risk
Estimating Value at Risk (VaR)
Time Series Return Volatility Models
Conclusion
Risk, Return, and Benchmarking
Benchmarking
Asset Pricing Models
Three Methods of Models
Cross-Sectional versus Time-Series Models
Single-Factor and Ex Ante Asset Pricing
Empirical Analyses with the CAPM
Multifactor Models
Alternative Asset Benchmarking
Conclusion
Correlation, Alternative Returns, and Performance Measurement
Correlation
Internal Rate of Return
Problems with IRR
Returns Based on Notional Principal
Distribution of Cash Waterfall
Performance Measures
Alpha and Beta
Overview of Beta and Alpha
Ex Ante versus Ex Post Alpha
Inferring Ex Ante Alpha from Ex Post Alpha
Return Attribution
Ex Ante Alpha Estimation and Persistence
Return Drivers
Summary of Alpha and Beta Analysis
Hypothesis Testing in Alternative Investments
Four Steps of Hypothesis Testing
A Test Assuming Normality
Tests with Inferential Statistics
Sampling and Testing Problems
Cumulative Returns and Performance
Statistical Issues in Analyzing Alpha and Beta
Summary of Alpha and Beta Estimation
Conclusion
Real Assets
Land, Infrastructure, and Intangible Real Assets
Land
Timber and Timberland
Farmland
Infrastructure
Intellectual Property
Valuation and Volatility
Historical Risks and Returns
Real Estate Fixed-Income Investments
Residential Mortgages
Commercial Mortgages
Mortgage-Backed Securities Market
Collateralized Mortgage Obligations
Real Estate Investment Trusts
Risks and Returns of Mortgage REITs
Real Estate Equity Investments
Real Estate Development
Valuation and Risks of Real Estate Equity
Alternative Real Estate Investment Vehicles
Real Estate and Depreciation
Real Estate Equity Risks and Returns
Risks and Returns of Equity REITs
Hedge Funds
Introduction to Hedge Funds
Distinguishing Hedge Funds
Hedge Fund Types
Hedge Fund Fees
Conclusion
Hedge Fund Returns and Asset Allocation
Describing the Hedge Fund Universe
Mean, Variance, Skewness, and Kurtosis of Strategies
Categorizing Hedge Fund Strategies
Should Hedge Funds Be Part of an Investment Program?
Do Hedge Funds Undermine the Financial Markets?
Hedge Fund Indices
Conclusion
Macro and Managed Futures Funds
Major Distinctions between Strategies
Global Macro
Returns of Macro Investing
Managed Futures
Systematic Trading
Systematic Trading Styles
Prior Empirical Research
Conclusion
Analysis of Historical Returns Conclusion
Event-Driven Hedge Funds
The Sources of Most Event Strategy Returns
Activist Investing
Merger Arbitrage
Distressed Securities Funds
Event-Driven Multistrategy Funds
Relative Value Hedge Funds
Convertible Bond Arbitrage
Volatility Arbitrage
Fixed-Income Arbitrage
Relative Value Multistrategy Funds
Equity Hedge Funds
Sources of Return
Market Anomalies
The Fundamental Law of Active Management
Implementing Anomaly Strategies
The Three Equity Strategies
Conclusion
Funds of Hedge Funds
Benefits and Costs of Diversification
Investing in Multistrategy Funds
Investing in Funds of Hedge Funds
Fund of Funds Historical Returns
Conclusion
Commodities
Commodity Futures Pricing
Forward and Futures Contracts
Rolling Contracts
The Term Structure of Forward Prices
Backwardation and Contango
Returns on Futures Contracts
Commodities: Applications and Evidence
Commodity Investing for Diversification
Commodity Investing for Return Enhancement
Investing in Commodities without Futures
Commodity Exposure through Futures Contracts
Three Fallacies of Roll Return
Commodity Futures Indices
Commodity Risks and Returns
Historical Risks and Returns
Private Equity
Introduction to Private Equity
Private Equity Terminology and Background
Private Equity as Equity Securities
Private Equity as Debt Securities
Trends and Innovations in Private Equity
Equity Types of Private Equity
Venture Capital versus LBOs
The Underlying Businesses of Venture Capital
Venture Capital Funds
Venture Capital Risks and Returns
Leveraged Buyouts (LBOs)
Leveraged Buyout Risks and Returns
Debt Types of Private Equity
Mezzanine Debt
Distressed Debt
Risks of Distressed Debt Investing
Structured Products
Credit Risk and the Structuring of Cash Flows
An Overview of Credit Risk
Modeling Credit Risk
Structural Model Approach to Credit Risk
Reduced-Form Model Approach to Credit Risk
Structuring Using Collateralized Debt Obligations
Conclusion
Credit Derivatives
Credit Derivative Markets
Credit Default Swaps
Other Credit Derivatives
Risks of Credit Derivatives
Conclusion
Collateralized Debt Obligations
Introduction to Collateralized Debt Obligations
Balance Sheet CDOs versus Arbitrage CDOs
Cash-Funded CDOs versus Synthetic CDOs
Cash Flow CDOs versus Market Value CDOs
Credit Risk and Enhancements
New Developments in CDOs
Risks of CDOs
Risk Management and Portfolio Management
Lessons from Hedge Fund Failures
Problems Driven by Market Losses
Failures Driven by Fraud
Conclusion
Risk Analysis
Investment Strategy Risks
Market Risk
Operational Risk
Investment Process Risk
Controlling Operational Risk
Aggregating the Risks of a Fund
Portfolios with Options
Conclusion
Due Diligence of Fund Managers
Screening with Three Fundamental Questions
Structural Review
Strategic Review
Administrative Review
Performance Review
Portfolio Risk Review
Legal Review
Reference Checks
Measuring Operational Risk
Regression, Multivariate, and Nonlinear Methods
Single-Factor Models and Regression
Multiple-Factor Models and Regression
Nonlinear Returns
Changing Correlation
Applications of Multifactor Models
Hedge Fund Performance Persistence
Portfolio Optimization and Risk Parity
Mean-Variance Portfolio Optimization
Complications to Mean-Variance Optimization
Risk Budgeting
Risk Parity
Portfolio Management, Alpha, and Beta
The Estimation of Alpha and Beta
The Separation of Alpha and Beta
Portable Alpha
Alpha, Beta, and Portfolio Allocation
Conclusion
Appendix: Data Sources
Index

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