CAIA level II : advanced core topics in alternative investments

著者

書誌事項

CAIA level II : advanced core topics in alternative investments

Keith H. Black ... [et al.]

J. Wiley, c2012

2nd ed

  • : cloth

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注記

Previous ed.: c2009

Includes bibliographical references (p. 645-663) and index

内容説明・目次

内容説明

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 II CAIA exam takers have to work through the following agenda: * asset allocation & portfolio oversight * style analysis * risk management * alternative asset securitization * secondary market creation * performance and style attribution * indexation and benchmarking

目次

Preface xv Acknowledgments xxi About the Authors xxv CHAPTER 1 Introduction 1 PART ONE Asset Allocation and Portfolio Management CHAPTER 2 The Endowment Model 7 CHAPTER 3 Risk Management for Endowment and Foundation Portfolios 21 CHAPTER 4 Pension Fund Portfolio Management 33 PART TWO Private Equity CHAPTER 5 Private Equity Market Landscape 49 CHAPTER 6 Private Equity Fund Structure 67 CHAPTER 7 The Investment Process 79 CHAPTER 8 Private Equity Portfolio Design 89 CHAPTER 9 Fund Manager Selection Process 107 CHAPTER 10 Measuring Performance and Benchmarking in the Private Equity World 117 CHAPTER 11 Monitoring Private Equity Fund Investments 135 CHAPTER 12 Private Equity Fund Valuation 145 CHAPTER 13 Private Equity Fund Discount Rates 151 CHAPTER 14 The Management of Liquidity 161 PART THREE Real Assets CHAPTER 15 Real Estate as an Investment 181 CHAPTER 16 Unsmoothing of Appraisal-Based Returns 191 CHAPTER 17 Core, Value-Added, and Opportunistic Real Estate 207 CHAPTER 18 Real Estate Indices 221 CHAPTER 19 Public versus Private Real Estate Risks 231 CHAPTER 20 Portfolio Allocation within Real Estate 247 CHAPTER 21 Farmland and Timber Investments 257 CHAPTER 22 Investing in Intellectual Property 279 PART FOUR Commodities CHAPTER 23 Key Concepts in Commodity Market Analysis 301 CHAPTER 24 Role of Commodities in Asset Allocation 315 CHAPTER 25 Methods of Delivering Commodity Alpha 329 CHAPTER 26 Methods of Delivering Commodity Beta: Indices, Swaps, Notes, and Hedge Funds 343 CHAPTER 27 Macroeconomic Determinants of Commodity Futures Returns 363 CHAPTER 28 Effective Risk Management Strategies for Commodity Portfolios 379 PART FIVE Hedge Funds and Managed Futures CHAPTER 29 Structure of the Managed Futures Industry 391 CHAPTER 30 Managed Futures: Strategies and Sources of Return 405 CHAPTER 31 Risk and Performance Analysis in Managed Futures Strategies 427 CHAPTER 32 Structuring Investments in CTAs 453 CHAPTER 33 Hedge Fund Replication 475 CHAPTER 34 Convertible Arbitrage 497 CHAPTER 35 Global Macro and Currency Strategies 521 CHAPTER 36 Fundamental Equity Hedge Fund Strategies 539 CHAPTER 37 Quantitative Equity Hedge Fund Strategies 553 CHAPTER 38 Funds of Hedge Funds 573 CHAPTER 39 Regulation and Compliance 603 CHAPTER 40 Operational Due Diligence 617 References 645 Index 665

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