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More About This Title CAIA Level II - Advanced Core Topicsin Alternative Investments 2e
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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 oversightstyle analysisrisk managementalternative asset securitizationsecondary market creationperformance and style attribution indexation and benchmarkingEnglish
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 eighty countries on six continents.
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.
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.
Hossein Kazemi, PhD, 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.
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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
