Donald R. Chambers, CAIA Association, Mark J. P. Anson

Alternative Investments

CAIA Level I

• Gebundenes Buch

Produktbeschreibung

The official CAIA Level 1 curriculum book, updated and expanded to reflect the March 2016 exam
Alternative Investments: CAIA Level I, 3rd Edition 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 third 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.
Most investment analyst education programs focus primarily on the traditional asset classes, pushing alternative investments to the sidelines. The CAIA designation was developed in response to the tremendous growth of alternative investing, and is the industry's premier educational standard. This book is your official study companion, bringing you fully up to speed on everything you need to know (with the exception of the ethics material covered in a separate handbook).
Understand the complexities of each alternative asset class
Learn the quantitative techniques professionals use every day
Dig into the unique aspects of alternative investments
Master the core material covered by the CAIA Level I exam
More than 300 financial institutions and hedge funds have committed key executives to the CAIA exam, and this rapidly growing trend speaks to the designation's rising status as a must-have credential for anyone in the alternative investment sphere. Increase your chances of success by getting your information straight from the source in CAIA Level I

Produktdetails

• Wiley Finance Editions
• Verlag: Wiley / Wiley & Sons
• Artikelnr. des Verlages: 1W119003360
• 3. Aufl.
• Seitenzahl: 960
• Englisch
• Abmessung: 253mm x 187mm x 55mm
• Gewicht: 1750g
• ISBN-13: 9781119003366
• ISBN-10: 1119003369
• Artikelnr.: 42729791

Autorenporträt

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) to professional analysts in this growing field so that, upon successful completion, the individuals are designated "Chartered Alternative Investment Analysts" (CAIA). Since only a small number of exam takers pass, this certification has a great deal of prestige in the global community. Members come from over 35 countries on 5 continents.
Donald Chambers (Rochester, NY) is a professor of Finance at RIT.
Keith Black (Amherst, MA) is the Associate Director of Curriculu

m at CAIA Association. He was an Associate at Ennis Knupp previously, and before that, an Assistant Professor at Illinois Institute of Technology.
Mark Anson (Chicago, IL) is the President and Executive Director of Investment Services at Nuveen Investments. Previously, Mark was the Chief Executive Officer of Hermes Pensions Management Ltd.

Inhaltsangabe

Preface xiii

Acknowledgments xvii

About the Authors xix

PART 1 Introduction to Alternative Investments

CHAPTER 1 What Is an Alternative Investment? 3

1.1 Alternative Investments by Exclusion 3

1.2 Alternative Investments by Inclusion 4

1.3 Structures among Alternative Investments 8

1.4 Investments Are Distinguished by Return Characteristics 12

1.5 Investments Are Distinguished by Methods of Analysis 15

1.6 Investments Are Distinguished by Other Factors 18

1.7 Goals of Alternative Investing 18

1.8 Overview of This Book 20

Review Questions 21

CHAPTER 2 The Environment of Alternative Investments 23

2.1 The Participants 23

2.2 Financial Markets 30

2.3 Regulatory Environment 32

2.4 Liquid Alternative Investments 37

2.5 Taxation 40

Review Questions 43

CHAPTER 3 Quantitative Foundations 45

3.1 Return and Rate Mathematics 45

3.2 Returns Based on Notional Principal 47

3.3 Internal Rate of Return 50

3.4 Problems with Internal Rate of Return 54

3.5 Distribution of Cash Waterfall 60

Review Questions 69

CHAPTER 4 Statistical Foundations 71

4.1 Return Distributions 71

4.2 Moments of the Distribution: Mean, Variance, Skewness, and Kurtosis 74

4.3 Covariance, Correlation, Beta, and Autocorrelation 79

4.4 Interpreting Standard Deviation and Variance 88

4.5 Testing for Normality 95

4.6 Time-Series Return Volatility Models 98

Review Questions 100

CHAPTER 5 Measures of Risk and Performance 101

5.1 Measures of Risk 101

5.2 Estimating Value at Risk (VaR) 105

5.3 Ratio-Based Performance Measures 111

5.4 Risk-Adjusted Return Measures 117

Review Questions 120

CHAPTER 6 Foundations of Financial Economics 121

6.1 Informational Market Efficiency 121

6.2 Single-Factor and Ex Ante Asset Pricing 124

6.3 Multifactor and Empirical Models 129

6.4 Arbitrage-Free Models 135

6.5 The Term Structure of Forward Contracts 142

6.6 Option Exposures 147

6.7 Option Pricing Models 153

6.8 Option Sensitivities 155

Review Questions 157

CHAPTER 7 Benchmarking and Performance Attribution 159

7.1 Benchmarking 159

7.2 Types of Models 162

7.3 Performance Attribution 165

7.4 Distinctions Regarding Alternative Asset Benchmarking 169

Review Questions 172

CHAPTER 8 Alpha, Beta, and Hypothesis Testing 175

8.1 Overview of Beta and Alpha 175

8.2 Ex Ante versus Ex Post Alpha 177

8.3 Inferring Ex Ante Alpha from Ex Post Alpha 180

8.4 Return Attribution, Alpha, and Beta 182

8.5 Ex Ante Alpha Estimation and Return Persistence 185

8.6 Return Drivers 186

8.7 Using Statistical Methods to Locate Alpha 188

8.8 Sampling and Testing Problems 193

8.9 Statistical Issues in Analyzing Alpha and Beta 197

Review Questions 201

CHAPTER 9 Regression, Multivariate, and Nonlinear Methods 203

9.1 Single-Factor Models and Regression 203

9.2 Multifactor Models and Regression 208

9.3 Three Dynamic Risk Exposure Models 210

9.4 Two Approaches to Modeling Changing Correlation 212

9.5 Four Multifactor Approaches to Understanding Hedge Fund Returns 215

9.6 Evidence on Fund Performance Persistence 219

Review Questions 221

PART 2 Real Assets

CHAPTER 10 Natural Resources and Land 225

10.1 Natural Resources Other Than Land 225

10.2 Land 230

10.3 Timber and Timberland 236

10.4 Farmland 238

10.5 Valuation and Volatility of Real Assets 242

10.6 Historical Risks and Returns 246

Review Questions 249

CHAPTER 11 Commodity Forward Pricing 251

11.1 Forward Contracts versus Futures Contracts 251

11.2 Rolling Contracts 259

11.3 The Term Structure of Forward Prices on Commodities 260

11.4 Backwardation and Contango 266

11.5 Returns on Forward Contracts 270

Review Questions 275

CHAPTER 12 Commodities: Applications and Evidence 277

12.1 Commodity Investing for Diversification 277

12.2 Commodity Investing for Return Enhancement 280

12.3 Investing in Co