Name: CAIA Level I By CAIA Association
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CAIA Level I Summary

CAIA Level I: An Introduction to Core Topics in Alternative Investments by CAIA Association

The official study text for the Level I Chartered Alternative Investment Analyst (CAIA) exam The Chartered Alternative Investment Analyst (CAIA) designation is the financial industry's first and only globally recognized program that prepares professionals to deal with the ever-growing field of alternative investments. The second edition of CAIA Level I: An Introduction to Core Topics in Alternative Investments contains comprehensive insights on the alternative investment issues a potential Level I candidate would need to know about as they prepare for the exam. The information found here will help you build a solid foundation in alternative investment markets with coverage of everything from the characteristics of various strategies within each alternative asset class to portfolio management concepts central to alternative investments. * Uses investment analytics to examine each alternative asset class * Examines quantitative techniques used by investment professionals * Addresses the unique attributes associated with the alternative investment space * Offers an online study guide outlining learning objectives and keywords This book is a must-have resource for anyone contemplating taking the CAIA Level I exam. So if you're ready to take your first step toward the CAIA charter, take the time to understand the insights offered here.

About CAIA Association

The CAIA Association is an independent, not-for-profit, global organization committed to education and professionalism in the field of alternative investments. It offers two exams (Level I and Level II) to financial professionals in this growing field. Upon successful completion, individuals are designated Chartered Alternative Investment Analyst (CAIA) Charter Holders. The CAIA Association has members from over seventy-five countries on six continents. Mark J. P. Anson, PhD, CAIA, is a Managing Partner at Oak Hill Investment Management, LP. Dr. Anson previously served as President and Executive Director of Investment Services at Nuveen Investments, Chief Executive Officer at 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. Donald R. Chambers, PhD, CAIA, is the Associate Director of the Level 1 Curriculum at the CAIA Association and is the Walter E. Hanson/KPMG Professor of Finance at Lafayette College in Easton, Pennsylvania. Dr. Chambers previously served as the Director of Alternative Investments at Karpus Investment Management. Keith H. Black, PhD, CAIA, is the Associate Director of the Level II Curriculum at the CAIA Association. He was previously an Associate at Ennis Knupp and, before that, an Assistant Professor at Illinois Institute of Technology. Hossein Kazemi, PhD, CAIA, is a Cofounder of and the Program Director for the CAIA Association. Dr. Kazemi is a Professor of Finance at the University of Massachusetts Amherst, an Associate Director of the Center for International Securities and Derivatives Markets, and an Associate Editor of the Journal of Alternative Investments.

Preface xiii Acknowledgments xvii About the Authors xxi PART ONE Introduction to Alternative Investments 1 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 14 1.6 Goals of Alternative Investing 17 1.7 Overview of This Book 19 CHAPTER 2 The Environment of Alternative Investments 21 2.1 The Participants 21 2.2 Financial Markets 28 2.3 Regulations 30 2.4 Taxation 38 CHAPTER 3 Statistical Foundations 41 3.1 Frequency and Probability Distributions 41 3.2 Compounding Multiple Time Period Returns 44 3.3 Return Distributions and Autocorrelation 48 3.4 Moments of the Distribution: Mean, Variance, Skewness, and Kurtosis 50 3.5 Computing Sample Statistics 54 3.6 More on Standard Deviation and Variance 59 3.7 Testing for Normality 64 3.8 Other Measures of Risk 66 3.9 Estimating Value at Risk (VaR) 70 3.10 Time Series Return Volatility Models 75 3.11 Conclusion 77 CHAPTER 4 Risk, Return, and Benchmarking 79 4.1 Benchmarking 79 4.2 Asset Pricing Models 82 4.3 Three Methods of Models 82 4.4 Cross-Sectional versus Time-Series Models 85 4.5 Single-Factor and Ex Ante Asset Pricing 87 4.6 Empirical Analyses with the CAPM 90 4.7 Multifactor Models 96 4.8 Alternative Asset Benchmarking 103 4.9 Conclusion 107 CHAPTER 5 Correlation, Alternative Returns, and Performance Measurement 109 5.1 Correlation 109 5.2 Internal Rate of Return 118 5.3 Problems with IRR 122 5.4 Returns Based on Notional Principal 129 5.5 Distribution of Cash Waterfall 132 5.6 Performance Measures 139 CHAPTER 6 Alpha and Beta 147 6.1 Overview of Beta and Alpha 147 6.2 Ex Ante versus Ex Post Alpha 149 6.3 Inferring Ex Ante Alpha from Ex Post Alpha 155 6.4 Return Attribution 158 6.5 Ex Ante Alpha Estimation and Persistence 163 6.6 Return Drivers 164 6.7 Summary of Alpha and Beta Analysis 168 CHAPTER 7 Hypothesis Testing in Alternative Investments 169 7.1 Four Steps of Hypothesis Testing 170 7.2 A Test Assuming Normality 173 7.3 Tests with Inferential Statistics 176 7.4 Sampling and Testing Problems 181 7.5 Cumulative Returns and Performance 185 7.6 Statistical Issues in Analyzing Alpha and Beta 189 7.7 Summary of Alpha and Beta Estimation 196 7.8 Conclusion 198 PART TWO Real Assets 201 CHAPTER 8 Land, Infrastructure, and Intangible Real Assets 203 8.1 Land 203 8.2 Timber and Timberland 208 8.3 Farmland 210 8.4 Infrastructure 214 8.5 Intellectual Property 220 8.6 Valuation and Volatility 224 8.7 Historical Risks and Returns 228 CHAPTER 9 Real Estate Fixed-Income Investments 233 9.1 Residential Mortgages 233 9.2 Commercial Mortgages 241 9.3 Mortgage-Backed Securities Market 244 9.4 Collateralized Mortgage Obligations 249 9.5 Real Estate Investment Trusts 255 9.6 Risks and Returns of Mortgage REITs 256 CHAPTER 10 Real Estate Equity Investments 261 10.1 Real Estate Development 261 10.2 Valuation and Risks of Real Estate Equity 264 10.3 Alternative Real Estate Investment Vehicles 272 10.4 Real Estate and Depreciation 278 10.5 Real Estate Equity Risks and Returns 283 10.6 Risks and Returns of Equity REITs 288 PART THREE Hedge Funds 293 CHAPTER 11 Introduction to Hedge Funds 295 11.1 Distinguishing Hedge Funds 295 11.2 Hedge Fund Types 302 11.3 Hedge Fund Fees 304 11.4 Conclusion 315 CHAPTER 12 Hedge Fund Returns and Asset Allocation 317 12.1 Describing the Hedge Fund Universe 317 12.2 Mean, Variance, Skewness, and Kurtosis of Strategies 319 12.3 Categorizing Hedge Fund Strategies 321 12.4 Should Hedge Funds Be Part of an Investment Program? 328 12.5 Do Hedge Funds Undermine the Financial Markets? 333 12.6 Hedge Fund Indices 335 12.7 Conclusion 344 CHAPTER 13 Macro and Managed Futures Funds 345 13.1 Major Distinctions between Strategies 345 13.2 Global Macro 347 13.3 Returns of Macro Investing 351 13.4 Managed Futures 354 13.5 Systematic Trading 357 13.6 Systematic Trading Styles 359 13.7 Prior Empirical Research 369 13.8 Conclusion 376 13.9 Analysis of Historical Returns Conclusion 376 CHAPTER 14 Event-Driven Hedge Funds 381 14.1 The Sources of Most Event Strategy Returns 381 14.2 Activist Investing 384 14.3 Merger Arbitrage 397 14.4 Distressed Securities Funds 405 14.5 Event-Driven Multistrategy Funds 412 CHAPTER 15 Relative Value Hedge Funds 417 15.1 Convertible Bond Arbitrage 418 15.2 Volatility Arbitrage 433 15.3 Fixed-Income Arbitrage 447 15.4 Relative Value Multistrategy Funds 459 CHAPTER 16 Equity Hedge Funds 461 16.1 Sources of Return 462 16.2 Market Anomalies 466 16.3 The Fundamental Law of Active Management 472 16.4 Implementing Anomaly Strategies 475 16.5 The Three Equity Strategies 480 16.6 Conclusion 493 CHAPTER 17 Funds of Hedge Funds 495 17.1 Benefits and Costs of Diversification 495 17.2 Investing in Multistrategy Funds 502 17.3 Investing in Funds of Hedge Funds 505 17.4 Fund of Funds Historical Returns 508 17.5 Conclusion 520 PART FOUR Commodities 523 CHAPTER 18 Commodity Futures Pricing 525 18.1 Forward and Futures Contracts 525 18.2 Rolling Contracts 530 18.3 The Term Structure of Forward Prices 531 18.4 Backwardation and Contango 542 18.5 Returns on Futures Contracts 545 CHAPTER 19 Commodities: Applications and Evidence 551 19.1 Commodity Investing for Diversification 551 19.2 Commodity Investing for Return Enhancement 555 19.3 Investing in Commodities without Futures 557 19.4 Commodity Exposure through Futures Contracts 562 19.5 Three Fallacies of Roll Return 568 19.6 Commodity Futures Indices 570 19.7 Commodity Risks and Returns 572 19.8 Historical Risks and Returns 574 PART FIVE Private Equity 579 CHAPTER 20 Introduction to Private Equity 581 20.1 Private Equity Terminology and Background 581 20.2 Private Equity as Equity Securities 584 20.3 Private Equity as Debt Securities 587 20.4 Trends and Innovations in Private Equity 592 CHAPTER 21 Equity Types of Private Equity 599 21.1 Venture Capital versus LBOs 599 21.2 The Underlying Businesses of Venture Capital 600 21.3 Venture Capital Funds 601 21.4 Venture Capital Risks and Returns 609 21.5 Leveraged Buyouts (LBOs) 613 21.6 Leveraged Buyout Risks and Returns 623 CHAPTER 22 Debt Types of Private Equity 625 22.1 Mezzanine Debt 625 22.2 Distressed Debt 632 22.3 Risks of Distressed Debt Investing 637 PART SIX Structured Products 639 CHAPTER 23 Credit Risk and the Structuring of Cash Flows 641 23.1 An Overview of Credit Risk 641 23.2 Modeling Credit Risk 644 23.3 Structural Model Approach to Credit Risk 646 23.4 Reduced-Form Model Approach to Credit Risk 655 23.5 Structuring Using Collateralized Debt Obligations 663 23.6 Conclusion 666 CHAPTER 24 Credit Derivatives 667 24.1 Credit Derivative Markets 667 24.2 Credit Default Swaps 669 24.3 Other Credit Derivatives 678 24.4 Risks of Credit Derivatives 680 24.5 Conclusion 683 CHAPTER 25 Collateralized Debt Obligations 685 25.1 Introduction to Collateralized Debt Obligations 685 25.2 Balance Sheet CDOs versus Arbitrage CDOs 688 25.3 Cash-Funded CDOs versus Synthetic CDOs 692 25.4 Cash Flow CDOs versus Market Value CDOs 695 25.5 Credit Risk and Enhancements 696 25.6 New Developments in CDOs 699 25.7 Risks of CDOs 703 PART SEVEN Risk Management and Portfolio Management 709 CHAPTER 26 Lessons from Hedge Fund Failures 711 26.1 Problems Driven by Market Losses 711 26.2 Failures Driven by Fraud 721 26.3 Conclusion 727 CHAPTER 27 Risk Analysis 729 27.1 Investment Strategy Risks 729 27.2 Market Risk 730 27.3 Operational Risk 732 27.4 Investment Process Risk 734 27.5 Controlling Operational Risk 736 27.6 Aggregating the Risks of a Fund 740 27.7 Portfolios with Options 742 27.8 Conclusion 745 CHAPTER 28 Due Diligence of Fund Managers 747 28.1 Screening with Three Fundamental Questions 748 28.2 Structural Review 752 28.3 Strategic Review 756 28.4 Administrative Review 760 28.5 Performance Review 761 28.6 Portfolio Risk Review 767 28.7 Legal Review 770 28.8 Reference Checks 773 28.9 Measuring Operational Risk 774 CHAPTER 29 Regression, Multivariate, and Nonlinear Methods 777 29.1 Single-Factor Models and Regression 777 29.2 Multiple-Factor Models and Regression 781 29.3 Nonlinear Returns 783 29.4 Changing Correlation 785 29.5 Applications of Multifactor Models 787 29.6 Hedge Fund Performance Persistence 791 CHAPTER 30 Portfolio Optimization and Risk Parity 795 30.1 Mean-Variance Portfolio Optimization 795 30.2 Complications to Mean-Variance Optimization 803 30.3 Risk Budgeting 807 30.4 Risk Parity 810 CHAPTER 31 Portfolio Management, Alpha, and Beta 819 31.1 The Estimation of Alpha and Beta 819 31.2 The Separation of Alpha and Beta 821 31.3 Portable Alpha 822 31.4 Alpha, Beta, and Portfolio Allocation 827 31.5 Conclusion 831 APPENDIX Data Sources 833 Index 849

Additional information

Sku

CIN1118250966G

ISBN 13

9781118250969

ISBN 10

1118250966

Title

CAIA Level I: An Introduction to Core Topics in Alternative Investments by CAIA Association

Author

CAIA Association

Series

Wiley Finance Series

Condition

Used - Good

Binding type

Hardback

Publisher

John Wiley & Sons Inc

Year published

20120424

Number of pages

896

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N/A

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Book picture is for illustrative purposes only, actual binding, cover or edition may vary.

Note

This is a used book - there is no escaping the fact it has been read by someone else and it will show signs of wear and previous use. Overall we expect it to be in good condition, but if you are not entirely satisfied please get in touch with us

CAIA Level I CAIA Association

CAIA Level I by CAIA Association

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CAIA Level I Summary

CAIA Level I: An Introduction to Core Topics in Alternative Investments by CAIA Association

About CAIA Association

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