Produktbild: Alternative Investments

Alternative Investments CAIA Level I

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Beschreibung

Produktdetails

Einband

Gebundene Ausgabe

Erscheinungsdatum

11.09.2015

Verlag

John Wiley & Sons Inc

Seitenzahl

960

Maße (L/B/H)

26/19.2/5.8 cm

Gewicht

1750 g

Auflage

3. Auflage

Sprache

Englisch

ISBN

978-1-119-00336-6

Beschreibung

Produktdetails

Einband

Gebundene Ausgabe

Erscheinungsdatum

11.09.2015

Verlag

John Wiley & Sons Inc

Seitenzahl

960

Maße (L/B/H)

26/19.2/5.8 cm

Gewicht

1750 g

Auflage

3. Auflage

Sprache

Englisch

ISBN

978-1-119-00336-6

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  • Produktbild: Alternative Investments
  • 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 Commodities without Futures 282
    12.4 Commodity Exposure through Futures Contracts 287
    12.5 Commodity Futures Indices 294
    12.6 Commodity Risks and Returns 296
    12.7 Historical Risks and Returns 298
    Review Questions 301
    CHAPTER 13 Operationally Intensive Real Assets 303
    13.1 Commodity Producers 303
    13.2 Liquid Alternative Real Assets 306
    13.3 Infrastructure 309
    13.4 Intellectual Property 315
    Review Questions 319
    CHAPTER 14 Liquid and Fixed-Income Real Estate 321
    14.1 Real Estate as an Investment 321
    14.2 Residential Mortgages 323
    14.3 Commercial Mortgages 333
    14.4 Mortgage-Backed Securities Market 335
    14.5 Liquid Alternatives: Real Estate Investment Trusts 341
    14.6 Historical Risks and Returns of Mortgage REITs 342
    Review Questions 345
    CHAPTER 15 Real Estate Equity Investments 347
    15.1 Real Estate Development 347
    15.2 Valuation and Risks of Real Estate Equity 351
    15.3 Alternative Real Estate Investment Vehicles 358
    15.4 Real Estate and Depreciation 364
    15.5 Real Estate Equity Risks and Returns 370
    15.6 Historical Risks and Returns of Equity REITs 374
    Review Questions 377
    PART 3 Hedge Funds
    CHAPTER 16 Structure of the Hedge Fund Industry 381
    16.1 Distinguishing Hedge Funds 381
    16.2 Hedge Fund Fees 387
    16.3 Hedge Fund Classification 400
    16.4 Hedge Fund Returns and Asset Allocation 402
    16.5 Evaluating a Hedge Fund Investment Program 407
    16.6 Do Hedge Funds Adversely Affect the Financial Markets? 410
    16.7 Hedge Fund Indices 412
    16.8 Conclusion 420
    Review Questions 420
    CHAPTER 17 Macro and Managed Futures Funds 423
    17.1 Major Distinctions between Strategies 423
    17.2 Global Macro 425
    17.3 Returns of Macro Investing 429
    17.4 Managed Futures 431
    17.5 Systematic Trading 435
    17.6 Systematic Trading Strategies 438
    17.7 Evidence on Managed Futures Returns 448
    17.8 Analysis of Historical Returns Conclusion 455
    Review Questions 457
    CHAPTER 18 Event-Driven Hedge Funds 459
    18.1 The Sources of Most Event Strategy Returns 459
    18.2 Activist Investing 462
    18.3 Merger Arbitrage 473
    18.4 Distressed Securities Funds 482
    18.5 Event-Driven Multistrategy Funds 495
    Review Questions 498
    CHAPTER 19 Relative Value Hedge Funds 499
    19.1 Overview of Relative Value Strategies 499
    19.2 Convertible Bond Arbitrage 500
    19.3 Volatility Arbitrage 518
    19.4 Fixed-Income Arbitrage 532
    19.5 Relative Value Multistrategy Funds 543
    Review Questions 546
    CHAPTER 20 Equity Hedge Funds 547
    20.1 Sources of Return 548
    20.2 Market Anomalies 552
    20.3 The Fundamental Law of Active Management 558
    20.4 Implementing Anomaly Strategies 561
    20.5 The Three Equity Strategies 565
    20.6 Equity Hedge Fund Risks 577
    Review Questions 580
    CHAPTER 21 Funds of Hedge Funds 583
    21.1 Overview of Funds of Hedge Funds 583
    21.2 Investing in Multistrategy Funds 592
    21.3 Investing in Funds of Hedge Funds 594
    21.4 Investing in Portfolios of Single Hedge Funds 598
    21.5 Multialternatives and Other Hedge Fund Liquid Alternatives 598
    21.6 Historical Returns of Funds of Funds 604
    Review Questions 608
    PART 4 Private Equity
    CHAPTER 22 Introduction to Private Equity 613
    22.1 Private Equity Terminology and Background 613
    22.2 Private Equity as Equity Securities 616
    22.3 Private Equity as Debt Securities 620
    22.4 Private Equity Liquid Alternatives 625
    22.5 Trends and Innovations in Private Equity 630
    Review Questions 635
    CHAPTER 23 Equity Types of Private Equity 637
    23.1 Contrasts between Venture Capital and Buyouts 637
    23.2 The Underlying Businesses of Venture Capital 638
    23.3 Venture Capital Funds 639
    23.4 The Dynamics of Venture Capital 642
    23.5 Venture Capital Risks and Returns 648
    23.6 Types of Buyouts 652
    23.7 Leveraged Buyout Details 655
    Review Questions 665
    CHAPTER 24 Debt Types of Private Equity 667
    24.1 Mezzanine Debt 667
    24.2 Distressed Debt 675
    Review Questions 681
    PART 5 Structured Products
    CHAPTER 25 Introduction to Structuring 685
    25.1 Overview of Financial Structuring 685
    25.2 Major Types of Structuring 686
    25.3 The Primary Economic Role of Structuring 687
    25.4 Collateralized Mortgage Obligations 689
    25.5 Structural Model Approach to Credit Risk 697
    25.6 Introduction to Collateralized Debt Obligations 703
    Review Questions 707
    CHAPTER 26 Credit Risk and Credit Derivatives 709
    26.1 An Overview of Credit Risk 709
    26.2 Reduced-Form Modeling of Credit Risk 710
    26.3 Credit Derivatives Markets 717
    26.4 Credit Default Swaps 720
    26.5 Other Credit Derivatives 728
    26.6 CDS Index Products 731
    26.7 Five Key Risks of Credit Derivatives 732
    Review Questions 734
    CHAPTER 27 CDO Structuring of Credit Risk 737
    27.1 Overview of CDO Variations 737
    27.2 Balance Sheet CDOs and Arbitrage CDOs 740
    27.3 Mechanics of and Motivations for an Arbitrage CDO 742
    27.4 Cash-Funded CDOs versus Synthetic CDOs 744
    27.5 Cash Flow CDOs versus Market Value CDOs 748
    27.6 Credit Enhancements 749
    27.7 Developments in CDOs 751
    27.8 Risks of CDOs 752
    Review Questions 757
    CHAPTER 28 Equity-Linked Structured Products 759
    28.1 Structured Products and Six Types of Wrappers 759
    28.2 Four Potential Tax Effects of Wrappers 760
    28.3 Structured Products with Exotic Option Features 763
    28.4 Global Structured Product Cases 770
    28.5 Structured Product Pricing 775
    28.6 Motivations of Structured Products 778
    Review Questions 780
    PART 6 Risk Management and Portfolio Management
    CHAPTER 29 Cases in Tail Events 783
    29.1 Problems Driven by Market Losses 783
    29.2 Trading Technology and Financial Crises 790
    29.3 Failures Driven by Fraud 792
    29.4 Four Major Lessons from Cases in Tail Events 799
    Review Questions 799
    CHAPTER 30 Investment Process, Operations, and Risk 801
    30.1 Investment Strategy and Process 801
    30.2 Investment Process and Market Risk 803
    30.3 The Three Internal Fund Activities 805
    30.4 Operational Risk 806
    30.5 Controlling Operational Risk 808
    30.6 Controlling Risk of Portfolios with Options 812
    Review Questions 814
    CHAPTER 31 Due Diligence of Fund Managers 815
    31.1 Due Diligence Evidence and Organization 815
    31.2 Screening with Three Fundamental Questions 816
    31.3 Structural Review 820
    31.4 Strategic Review 824
    31.5 Administrative Review 827
    31.6 Performance Review 829
    31.7 Portfolio Risk Review 835
    31.8 Legal Review 838
    31.9 Reference Review 841
    31.10 Evidence on Operational Risk 842
    Review Questions 843
    CHAPTER 32 Portfolio Management, Alpha, and Beta 845
    32.1 Alpha and Smart Beta 845
    32.2 The Estimation of Alpha and Beta 846
    32.3 The Separation of Alpha and Beta 847
    32.4 Portable Alpha 848
    32.5 Alpha, Beta, and Portfolio Allocation 853
    Review Questions 858
    APPENDIX
    Data Sources 859
    Computations and Explanations 867
    Index 875