Alternative Investments - CAIA Level I -4th Edition-

Alternative Investments: CAIA Level I, 4th 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 fourth 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.

List of contents

Preface xxxiii
 
Acknowledgments xxxvii
 
About the Authors xli
 
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 The Blurred Lines between Traditional and Alternative Investments 8
 
1.4 A History of Alternative Investing: The U.S. Case 10
 
1.5 Investments are Distinguished by Return Characteristics 11
 
1.6 Investments are Distinguished by Methods of Analysis 14
 
1.7 Eight Other Characteristics that Distinguish Alternative and Traditional Investments 16
 
1.8 Five Goals of Alternative Investing 18
 
1.9 Two Pillars of Alternative Investment Management 20
 
1.10 Overview of This Book 22
 
Review Questions 23
 
Chapter 2 The Environment of Alternative Investments 25
 
2.1 The Participants 25
 
2.2 Alternative Investment Structures 33
 
2.3 Key Features of Fund Structures 36
 
2.4 Financial Markets 40
 
2.5 Regulatory Environment 42
 
2.6 Liquid Alternative Investments 43
 
2.7 Taxation 47
 
2.8 Short Selling 49
 
Review Questions 52
 
Notes 53
 
Chapter 3 Quantitative Foundations 55
 
3.1 Return and Rate Mathematics 55
 
3.2 Returns Based on Notional Principal 57
 
3.3 Internal Rate of Return 60
 
3.4 Problems with Internal Rate of Return 64
 
3.5 Other Performance Measures 73
 
3.6 Illiquidity, Accounting Conservatism, IRR, and the J-Curve 75
 
3.7 Distribution of Cash Waterfall 77
 
Review Questions 85
 
Note 86
 
Chapter 4 Statistical Foundations 87
 
4.1 Return Distributions 87
 
4.2 Moments of the Distribution: Mean, Variance, Skewness, and Kurtosis 90
 
4.3 Covariance, Correlation, Beta, and Autocorrelation 94
 
4.4 Interpreting Standard Deviation and Variance 104
 
4.5 Testing for Normality 111
 
4.6 Time-Series Return Volatility Models 114
 
Review Questions 116
 
Chapter 5 Foundations of Financial Economics 117
 
5.1 Informational Market Efficiency 117
 
5.2 The Time Value of Money, Prices, and Rates 122
 
5.3 The Three Primary Theories of the Term Structure of Interest Rates 127
 
5.4 Forward Interest Rates 129
 
5.5 Arbitrage-Free Models 131
 
5.6 Binomial Tree Models 134
 
5.7 Single-Factor Default-Free Bond Models 137
 
5.8 Single-Factor Equity Pricing Models 143
 
Review Questions 148
 
Note 149
 
Chapter 6 Derivatives and Risk-Neutral Valuation 151
 
6.1 Foundations of Forward Contracts 151
 
6.2 Forward Contracts on Rates 155
 
6.3 Forward Contracts on Equities 157
 
6.4 Forward Contracts on Assets with Benefits and Costs of Carry 165
 
6.5 Forward Contracts Versus Futures Contracts 171
 
6.6 Managing Long-Term Futures Exposures 178
 
6.7 Option Exposures 180
 
6.8 Option Pricing Models 186
 
6.9 Option Sensitivities 188
 
Review Questions 190
 
Notes 191
 
Chapter 7 Measures of Risk and Performance 193
 
7.1 Measures of Risk 193
 
7.2 Estimating Value at Risk (VaR) 198
 
7.3 Benchmarking and Performance Attribution 203
 
7.4 Ratio-Based Performance Measures 204
 
7.5 Risk-Adjusted Return Measures 210
 
Review Questions 214
 
Notes 214
 
Chapter 8 Alpha, Beta, and Hypothesis Testing 215
 
8.1 Overview of Beta and Alpha 215
 
8

About the author

DONALD R. CHAMBERS, PhD, CAIA, is Associate Director of Programs at the CAIA Association, Chief Investment Officer of Biltmore Capital Advisors, and Emeritus Professor at Lafayette College in Easton, Pennsylvania. Dr. Chambers previously served as Director of Alternative Investments at Karpus Investment Management. He is a member of the editorial board of the Journal of Alternative Investments. MARK J. P. ANSON, PhD, CAIA, CFA, CPA, JD, is Chief Investment Officer for Commonfund. Prior to joining Commonfund, he was the President and Chief Investment Officer of the Bass Family Office?winner of the Family Office of the Year award for 2014-2015. Dr. Anson previously served as President and Executive Director of Investment Services at Nuveen Investments Inc., Chief Executive Officer of both the British Telecom Pension Scheme and its wholly owned asset management company in London, 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. KEITH H. BLACK, PhD, CFA, CAIA, FDP is a managing director at the CAIA Association overseeing content strategy. He was previously an associate at Ennis Knupp and prior, an assistant professor at Illinois Institute of Technology. He is a member of the editorial board of the Journal of Alternative Investments. HOSSEIN B. KAZEMI, PhD, CFA, is co-founder of and the Senior Advisor for the CAIA Association. Dr. Kazemi is the Michael and Cheryl Philipp Distinguished Professor of Finance at Isenberg School of Management, the University of Massachusetts Amherst, the Director of the Center for International Securities and Derivatives Markets, and editor of the Journal of Alternative Investments and Alternative Investment Analyst Review.

Product details

• Authors: Mark J P Anson, Mark J. P. Anson, Anson Mark J. P., Keith H Black, Keith H. Black, Black Keith H., CAIA Association, Donald R Chambers, Donald R. Chambers, Donald R. Anson Chambers, DR Chambers, Chambers Donald R., Hossein B Kazemi, Hossein B. Kazemi
• Publisher: Wiley, John and Sons Ltd
• Languages: English
• Product format: Hardback
• Released: 23.10.2019
• EAN: 9781119604143
• ISBN: 978-1-119-60414-3
• No. of pages: 928
• Dimensions: 185 mm x 260 mm x 55 mm
• Series: Wiley Finance; Wiley Finance Editions
• Subjects: Social sciences, law, business > Business > Business administration; Finance & Investments, Finanz- u. Anlagewesen, Institutionelle Finanzplanung, Institutional & Corporate Finance