Alternative Investments CAIA Level I 3rd edition by Donald Chambers, Mark Anson, Keith Black, Hossein Kazemi, CAIA Association ISBN 1119003366 9781119003366

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ISBN 10: 1119003366
ISBN 13: 9781119003366
Author: Donald Chambers, Mark Anson, Keith Black, Hossein Kazemi, CAIA Association

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).

Alternative Investments CAIA Level I 3rd Table of contents:

Preface
Foundation
Benefits
The CAIA Programs and the CAIA Alternative Investment Analyst Series
Acknowledgments
About the Authors
PART 1 Introduction to Alternative Investments
CHAPTER 1 What is an Alternative Investment?
1.1 Alternative Investments by Exclusion
1.2 Alternative Investments by Inclusion
1.3 Structures among Alternative Investments
1.4 Investments Are Distinguished by Return Characteristics
1.5 Investments Are Distinguished by Methods of Analysis
1.6 Investments Are Distinguished by Other Factors
1.7 Goals of Alternative Investing
1.8 Overview of This Book
Review Questions
CHAPTER 2 The Environment of Alternative Investments
2.1 The Participants
2.2 Financial Markets
2.3 Regulatory Environment
2.4 Liquid Alternative Investments
2.5 Taxation
Review Questions
Notes
CHAPTER 3 Quantitative Foundations
3.1 Return and Rate Mathematics
3.2 Returns Based on Notional Principal
3.3 Internal Rate of Return
3.4 Problems with Internal Rate of Return
3.5 Distribution of Cash Waterfall
Review Questions
CHAPTER 4 Statistical Foundations
4.1 Return Distributions
4.2 Moments of the Distribution: Mean, Variance, Skewness, and Kurtosis
4.3 Covariance, Correlation, Beta, and Autocorrelation
4.4 Interpreting Standard Deviation and Variance
4.5 Testing for Normality
4.6 Time-Series Return Volatility Models
Review Questions

CHAPTER 6 Foundations of Financial Economics
6.1 Informational Market Efficiency
6.2 Single-Factor and Ex Ante Asset Pricing
6.3 Multifactor and Empirical Models
6.4 Arbitrage-Free Models
6.5 The Term Structure of Forward Contracts
6.6 Option Exposures
6.7 Option Pricing Models
6.8 Option Sensitivities
Review Questions
Notes
CHAPTER 7 Benchmarking and Performance Attribution
7.1 Benchmarking
7.2 Types of Models
7.3 Performance Attribution
7.4 Distinctions Regarding Alternative Asset Benchmarking
Review Questions
Notes
CHAPTER 8 Alpha, Beta, and Hypothesis Testing
8.1 Overview of Beta and Alpha
8.2 Ex Ante versus Ex Post Alpha
8.3 Inferring Ex Ante Alpha from Ex Post Alpha
8.4 Return Attribution, Alpha, and Beta
8.5 Ex Ante Alpha Estimation and Return Persistence
8.6 Return Drivers
8.7 Using Statistical Methods to Locate Alpha
8.8 Sampling and Testing Problems
8.9 Statistical Issues in Analyzing Alpha and Beta
Review Questions
Notes
CHAPTER 9 Regression, Multivariate, and Nonlinear Methods
9.1 Single-Factor Models and Regression
9.2 Multifactor Models and Regression
9.3 Three Dynamic Risk Exposure Models
9.4 Two Approaches to Modeling Changing Correlation
9.5 Four Multifactor Approaches to Understanding Hedge Fund Returns
9.6 Evidence on Fund Performance Persistence
Review Questions
Notes

PART 2 Real Assets
CHAPTER 10 Natural Resources and Land
10.1 Natural Resources Other Than Land
10.2 Land
10.3 Timber and Timberland
10.4 Farmland
10.5 Valuation and Volatility of Real Assets
10.6 Historical Risks and Returns
Review Questions
Notes
CHAPTER 11 Commodity Forward Pricing
11.1 Forward Contracts versus Futures Contracts
11.2 Rolling Contracts
11.3 The Term Structure of Forward Prices on Commodities
11.4 Backwardation and Contango
11.5 Returns on Forward Contracts
Review Questions
CHAPTER 12 Commodities: Applications and Evidence
12.1 Commodity Investing for Diversification
12.2 Commodity Investing for Return Enhancement
12.3 Investing in Commodities without Futures
12.4 Commodity Exposure through Futures Contracts
12.5 Commodity Futures Indices
12.6 Commodity Risks and Returns
12.7 Historical Risks and Returns
Review Questions
CHAPTER 13 Operationally Intensive Real Assets
13.1 Commodity Producers
13.2 Liquid Alternative Real Assets
13.3 Infrastructure
13.4 Intellectual Property
Review Questions
Notes
CHAPTER 14 Liquid and Fixed-Income Real Estate
14.1 Real Estate as an Investment
14.2 Residential Mortgages
14.3 Commercial Mortgages
14.4 Mortgage-Backed Securities Market
14.5 Liquid Alternatives: Real Estate Investment Trusts
14.6 Historical Risks and Returns of Mortgage REITs
Review Questions

CHAPTER 15 Real Estate Equity Investments
15.1 Real Estate Development
15.2 Valuation and Risks of Real Estate Equity
15.3 Alternative Real Estate Investment Vehicles
15.4 Real Estate and Depreciation
15.5 Real Estate Equity Risks and Returns
15.6 Historical Risks and Returns of Equity REITs
Review Questions
PART 3 Hedge Funds
CHAPTER 16 Structure of the Hedge Fund Industry
16.1 Distinguishing Hedge Funds
16.2 Hedge Fund Fees
16.3 Hedge Fund Classification
16.4 Hedge Fund Returns and Asset Allocation
16.5 Evaluating a Hedge Fund Investment Program
16.6 Do Hedge Funds Adversely Affect the Financial Markets?
16.7 Hedge Fund Indices
16.8 Conclusion
Review Questions
Notes
CHAPTER 17 Macro and Managed Futures Funds
17.1 Major Distinctions between Strategies
17.2 Global Macro
17.3 Returns of Macro Investing
17.4 Managed Futures
17.5 Systematic Trading
17.6 Systematic Trading Strategies
17.7 Evidence on Managed Futures Returns
17.8 Analysis of Historical Returns Conclusion
Review Questions
Notes
CHAPTER 18 Event-Driven Hedge Funds
18.1 The Sources of Most Event Strategy Returns
18.2 Activist Investing
18.3 Merger Arbitrage
18.4 Distressed Securities Funds
18.5 Event-Driven Multistrategy Funds
Review Questions
Notes

CHAPTER 19 Relative Value Hedge Funds
19.1 Overview of Relative Value Strategies
19.2 Convertible Bond Arbitrage
19.3 Volatility Arbitrage
19.4 Fixed-Income Arbitrage
19.5 Relative Value Multistrategy Funds
Review Questions
Notes
CHAPTER 20 Equity Hedge Funds
20.1 Sources of Return
20.2 Market Anomalies
20.3 The Fundamental Law of Active Management
20.4 Implementing Anomaly Strategies
20.5 The Three Equity Strategies
20.6 Equity Hedge Fund Risks
Review Questions
Notes
CHAPTER 21 Funds of Hedge Funds
21.1 Overview of Funds of Hedge Funds
21.2 Investing in Multistrategy Funds
21.3 Investing in Funds of Hedge Funds
21.4 Investing in Portfolios of Single Hedge Funds
21.5 Multialternatives and Other Hedge Fund Liquid Alternatives
21.6 Historical Returns of Funds of Funds
Review Questions
Notes
PART 4 Private Equity
CHAPTER 22 Introduction to Private Equity
22.1 Private Equity Terminology and Background
22.2 Private Equity as Equity Securities
22.3 Private Equity as Debt Securities
22.4 Private Equity Liquid Alternatives
22.5 Trends and Innovations in Private Equity
Review Questions
Notes

CHAPTER 23 Equity Types of Private Equity
23.1 Contrasts between Venture Capital and Buyouts
23.2 The Underlying Businesses of Venture Capital
23.3 Venture Capital Funds
23.4 The Dynamics of Venture Capital
23.5 Venture Capital Risks and Returns
23.6 Types of Buyouts
23.7 Leveraged Buyout Details
Review Questions
CHAPTER 24 Debt Types of Private Equity
24.1 Mezzanine Debt
24.2 Distressed Debt
Review Questions
PART 5 Structured Products
CHAPTER 25 Introduction to Structuring
25.1 Overview of Financial Structuring
25.2 Major Types of Structuring
25.3 The Primary Economic Role of Structuring
25.4 Collateralized Mortgage Obligations
25.5 Structural Model Approach to Credit Risk
25.6 Introduction to Collateralized Debt Obligations
Review Questions
Note
CHAPTER 26 Credit Risk and Credit Derivatives
26.1 An Overview of Credit Risk
26.2 Reduced-Form Modeling of Credit Risk
26.3 Credit Derivatives Markets
26.4 Credit Default Swaps
26.5 Other Credit Derivatives
26.6 CDS Index Products
26.7 Five Key Risks of Credit Derivatives
Review Questions
Notes
CHAPTER 27 CDO Structuring of Credit Risk
27.1 Overview of CDO Variations
27.2 Balance Sheet CDOs and Arbitrage CDOs
27.3 Mechanics of and Motivations for an Arbitrage CDO
27.4 Cash-Funded CDOs versus Synthetic CDOs
27.5 Cash Flow CDOs versus Market Value CDOs
27.6 Credit Enhancements

CHAPTER 28 Equity-Linked Structured Products
28.1 Structured Products and Six Types of Wrappers
28.2 Four Potential Tax Effects of Wrappers
28.3 Structured Products with Exotic Option Features
28.4 Global Structured Product Cases
28.5 Structured Product Pricing
28.6 Motivations of Structured Products
Review Questions
Notes
PART 6 Risk Management and Portfolio Management
CHAPTER 29 Cases in Tail Events
29.1 Problems Driven by Market Losses
29.2 Trading Technology and Financial Crises
29.3 Failures Driven by Fraud
29.4 Four Major Lessons from Cases in Tail Events
Review Questions
Notes
CHAPTER 30 Investment Process, Operations, and Risk
30.1 Investment Strategy and Process
30.2 Investment Process and Market Risk
30.3 The Three Internal Fund Activities
30.4 Operational Risk
30.5 Controlling Operational Risk
30.6 Controlling Risk of Portfolios with Options
Review Questions
Note
CHAPTER 31 Due Diligence of Fund Managers
31.1 Due Diligence Evidence and Organization 31.2 Screening with Three Fundamental Questions
31.3 Structural Review
31.4 Strategic Review
31.5 Administrative Review
31.6 Performance Review
31.7 Portfolio Risk Review
31.8 Legal Review
31.9 Reference Review
31.10 Evidence on Operational Risk
Review Questions
Notes

CHAPTER 32 Portfolio Management, Alpha, and Beta
32.1 Alpha and Smart Beta
32.2 The Estimation of Alpha and Beta
32.3 The Separation of Alpha and Beta
32.4 Portable Alpha
32.5 Alpha, Beta, and Portfolio Allocation
Review Questions
Note
APPENDIX Data Sources
Index
Computations and Explanations

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Tags: Donald Chambers, Mark Anson, Keith Black, Hossein Kazemi, CAIA Association, Alternative Investments