book

CAIA Level II: Advanced Core Topics in Alternative Investments, 2nd Edition

Name: CAIA Level II: Advanced Core Topics in Alternative Investments, 2nd Edition
Author: CAIA Association
ISBN: 9781118369753

by CAIA Association

October 2012

Intermediate to advanced

716 pages

24h 44m

English

Wiley

Read now

Unlock full access

Cover
Series
Title Page
Copyright
Preface
TEN YEARS OF CAIA AND ALTERNATIVE INVESTMENTS
THE HISTORY OF CAIA
BENEFITS OF THE CAIA PROGRAM
STUDYING FOR THE CAIA EXAMS
Acknowledgments

About the Authors
Chapter 1: Introduction
1.1 OUTLINE OF THIS BOOK
1.2 STUDYING FOR THE CAIA LEVEL II EXAMINATION
PART One: Asset Allocation and Portfolio Management
Chapter 2: The Endowment Model
2.1 DEFINING ENDOWMENTS AND FOUNDATIONS2.2 INTERGENERATIONAL EQUITY, INFLATION, AND SPENDING CHALLENGES2.3 THE ENDOWMENT MODEL2.4 WHY MIGHT LARGE ENDOWMENTS OUTPERFORM?2.5 CONCLUSION
Chapter 3: Risk Management for Endowment and Foundation Portfolios
3.1 SPENDING RATES AND INFLATION3.2 LIQUIDITY ISSUES3.3 REBALANCING AND TACTICAL ASSET ALLOCATION3.4 TAIL RISK3.5 CONCLUSION
Chapter 4: Pension Fund Portfolio Management
4.1 DEFINED BENEFIT PLANS4.2 GOVERNMENTAL SOCIAL SECURITY PLANS4.3 DEFINED CONTRIBUTION PLANS
PART Two: Private Equity
Chapter 5: Private Equity Market Landscape
5.1 MAIN STRATEGIES5.2 MAIN DIFFERENCES BETWEEN VENTURE CAPITAL AND BUYOUT5.3 PRIVATE EQUITY FUNDS AS INTERMEDIARIES5.4 PRIVATE EQUITY FUNDS OF FUNDS AS INTERMEDIARIES5.5 PRIVATE EQUITY FUNDS OF FUNDS VALUE-ADDED5.6 THE RELATIONSHIP LIFE CYCLE BETWEEN LIMITED AND GENERAL PARTNERS5.7 THE J-CURVE5.8 CONCLUSION
Chapter 6: Private Equity Fund Structure*
6.1 KEY FEATURES6.2 CONFLICTS OF INTEREST6.3 FINDING THE BALANCE
Chapter 7: The Investment Process
7.1 PROCESS DESCRIPTION7.2 RISK MANAGEMENT
Chapter 8: Private Equity Portfolio Design
8.1 THREE APPROACHES TO PRIVATE EQUITY PORTFOLIO DESIGN8.2 RISK-RETURN MANAGEMENT APPROACHES8.3 THE RISK PROFILE OF PRIVATE EQUITY ASSETS
Chapter 9: Fund Manager Selection Process
9.1 DETERMINATION OF THE WISH LIST OF FUND CHARACTERISTICS9.2 DEAL SOURCING9.3 DUE DILIGENCE: IMPORTANCE AND LIMITATIONS9.4 DECISION AND COMMITMENT
Chapter 10: Measuring Performance and Benchmarking in the Private Equity World
10.1 INDIVIDUAL FUNDS10.2 PORTFOLIO OF FUNDS
Chapter 11: Monitoring Private Equity Fund Investments
11.1 APPROACH TO MONITORING11.2 THE MONITORING OBJECTIVES11.3 INFORMATION GATHERING IN THE MONITORING PROCESS11.4 ACTIONS RESULTING FROM MONITORING
Chapter 12: Private Equity Fund Valuation
12.1 NET ASSET VALUE (NAV)12.2 INTERNAL RATE OF RETURN (IRR)12.3 ECONOMIC VALUE APPROACH
Chapter 13: Private Equity Fund Discount Rates
13.1 THE CAPITAL ASSET PRICING MODEL (CAPM)13.2 PRIVATE EQUITY FUND BETAS
Chapter 14: The Management of Liquidity
14.1 PRIVATE EQUITY CASH FLOW SCHEDULES14.2 SOURCES OF LIQUIDITY14.3 INVESTMENT STRATEGIES FOR UNDRAWN CAPITAL14.4 CASH FLOW PROJECTIONS14.5 OVERCOMMITMENT14.6 CONCLUSION
PART Three: Real Assets
Chapter 15: Real Estate as an Investment
15.1 ATTRIBUTES OF REAL ESTATE15.2 ASSET ALLOCATION15.3 CATEGORIES OF REAL ESTATE15.4 RETURN DRIVERS OF REAL ESTATE
Chapter 16: Unsmoothing of Appraisal-Based Returns
16.1 SMOOTHED PRICING16.2 MODELS OF PRICE AND RETURN SMOOTHING16.3 UNSMOOTHING A PRICE OR RETURN SERIES16.4 AN ILLUSTRATION OF UNSMOOTHING
Chapter 17: Core, Value-Added, and Opportunistic Real Estate
17.1 DEFINING THE THREE NCREIF REAL ESTATE STYLES17.2 DIFFERENTIATING STYLES WITH ATTRIBUTES17.3 PURPOSES OF REAL ESTATE STYLE ANALYSIS17.4 REAL ESTATE STYLE BOXES17.5 CAP RATES AND EXPECTED RETURNS17.6 DEVELOPING RISK AND RETURN EXPECTATIONS WITH STYLES
Chapter 18: Real Estate Indices
18.1 THE MECHANICS OF APPRAISAL-BASED INDICES18.2 NON-APPRAISAL-BASED INDICES18.3 DESCRIPTION OF MAJOR REAL ESTATE INDICES
Chapter 19: Public versus Private Real Estate Risks
19.1 MARKET-BASED VERSUS APPRAISAL-BASED RETURNS19.2 ARBITRAGE, LIQUIDITY, AND SEGMENTATION19.3 PUBLIC REAL ESTATE PRODUCTS
Chapter 20: Portfolio Allocation within Real Estate
20.1 INCOME TAXATION20.2 Leverage20.3 Agency Relationships20.4 Information Asymmetries20.5 Liquidity and Transaction Costs20.6 Cross-Border Real Estate Investment20.7 Summary and Conclusions
Chapter 21: Farmland and Timber Investments*
21.1 GLOBAL DEMAND FOR AGRICULTURAL PRODUCTS21.2 ACCESSING AGRICULTURAL RETURNS21.3 UNDERSTANDING THE RETURNS TO FARMLAND21.4 COMMODITY PRICE VOLATILITY AND ITS IMPLICATION FOR FARMLAND-BASED INVESTMENT STRATEGIES21.5 GLOBAL INVESTING IN TIMBERLAND21.6 KEY POINTS AND SUMMARY CONCLUSIONS
Chapter 22: Investing in Intellectual Property*
22.1 CHARACTERISTICS OF INTELLECTUAL PROPERTY22.2 FILM PRODUCTION AND DISTRIBUTION22.3 ART AS AN INVESTMENT ASSET22.4 R&D AND PATENTS22.5 CONCLUSION
Part Four: Commodities
Chapter 23: Key Concepts in Commodity Market Analysis
23.1 INTRODUCTION
23.2 REAL ASSETS AND FINANCIAL ASSETS
23.3 THE ROLE OF INVESTORS IN COMMODITY MARKETS
23.4 CONVENIENCE YIELD
23.5 COST OF CARRY
23.6 THEORIES OF COMMODITY FORWARD CURVES
Chapter 24: Role of Commodities in Asset Allocation
24.1 INTRODUCTION
24.2 REVIEW OF MAJOR ARTICLES AND STUDIES
24.3 SOURCES OF RETURN TO FUTURES-BASED COMMODITY INVESTMENT
24.4 THE STATISTICAL PROPERTIES OF COMMODITY PRICES
24.5 ASSET ALLOCATION
Chapter 25: Methods of Delivering Commodity Alpha
25.1 INTRODUCTION
25.2 DIRECTIONAL STRATEGIES
25.3 RELATIVE VALUE STRATEGIES
25.4 COMMODITY-BASED EQUITY AND DEBT STRATEGIES
25.5 FUNDAMENTAL ANALYSIS FOR DIRECTIONAL AND RELATIVE VALUE STRATEGIES
25.6 LOOKING FORWARD
Chapter 26: Methods of Delivering Commodity Beta: Indices, Swaps, Notes, and Hedge Funds
26.1 INTRODUCTION
26.2 DIRECT PHYSICAL OWNERSHIP OF COMMODITIES
26.3 INDIRECT OWNERSHIP OF COMMODITIES
26.4 LEVERAGED AND OPTION-BASED STRUCTURES
26.5 COMMODITY INDICES COMPARED TO SECURITIES INDICES
26.6 SOURCES OF COMMODITY INDEX RETURNS
26.7 ISSUES IN COMMODITY INDEX DESIGN
26.8 PERFORMANCE ENHANCEMENTS OF ENHANCED COMMODITY INDICES
26.9 A PRIMER ON COMMODITY INDEX CALCULATION: SPOT, ROLL, EXCESS, AND TOTAL RETURNS
Chapter 27: Macroeconomic Determinants of Commodity Futures Returns
27.1 COMMODITIES AS AN INFLATION HEDGE
27.2 COMMODITIES AND EXCHANGE RATES
27.3 COMMODITIES AND THE BUSINESS CYCLE
27.4 CONCLUSION
Chapter 28: Effective Risk Management Strategies for Commodity Portfolios*
28.1 MARKING THE NET ASSET VALUE
28.2 MEASURING EVENT RISKS
28.3 STRESS TESTING USING VALUE AT RISK
28.4 MEASURING LIQUIDITY RISKS
28.5 PERFORMANCE ATTRIBUTION
28.6 MITIGATING OPERATIONAL RISKS
28.7 CONCLUSION
Part Five: Real Assets
Chapter 29: Structure of the Managed Futures Industry
29.1 INVESTING IN CTAs AND CPOs
29.2 INDUSTRY REGULATION
29.3 BENEFITS OF CTAs
29.4 MARGIN REQUIREMENTS
29.5 UNDERSTANDING RETURNS
29.6 FOREIGN CURRENCY EXPOSURE
29.7 COLLATERAL INCOME AND SEGREGATION ISSUES
29.8 MARGIN-TO-EQUITY RATIOS
29.9 CONCLUSION
Chapter 30: Managed Futures: Strategies and Sources of Return
30.1 INVESTMENT STRATEGIES
30.2 ECONOMICS OF COMMODITY FUTURES MARKETS
30.3 EFFICIENT MARKET HYPOTHESIS AND RETURNS TO CTAs
30.4 PROFITABILITY OF MOMENTUM-BASED AND OTHER TREND-FOLLOWING STRATEGIES
30.5 EMPIRICAL EVIDENCE ON TECHNICAL TRADING RULES
30.6 CONCLUSION
Chapter 31: Risk and Performance Analysis in Managed Futures Strategies
31.1 RISK MEASUREMENT
31.2 HISTORICAL PERFORMANCE OF CTAs
31.3 RESEARCH ON PERFORMANCE AND BENEFITS OF MANAGED FUTURES
31.4 BENCHMARKING OF CTAs
31.5 ALPHA-BETA SEPARATION USING PASSIVE INDICES
31.6 PERFORMANCE OF CTAS DURING PERIODS OF FINANCIAL STRESS
31.7 CONCLUSION
Chapter 32: Structuring Investments in CTAs*
32.1 SOURCING MANAGERS
32.2 ISSUES IN STRUCTURING A CTA INVESTMENT PROGRAM
32.3 HOW MANY MANAGERS SHOULD ONE CHOOSE?
32.4 CTA FUNDS AND MULTI-CTA FUNDS
32.5 MANAGED ACCOUNTS
32.6 PLATFORMS
32.7 COMPARISON OF APPROACHES TO STRUCTURING A CTA INVESTMENT
32.8 QUANTITATIVE ANALYSIS OF MANAGERS
32.9 INVESTMENT AND OPERATIONAL DUE DILIGENCE PROCESSES
32.10 COST OF ACTIVE MANAGEMENT
32.11 CONCLUSION
CHAPTER 33: Hedge Fund Replication
33.1 INTRODUCTION
33.2 AN OVERVIEW OF REPLICATION PRODUCTS
33.3 POTENTIAL BENEFITS OF REPLICATION PRODUCTS
33.4 THE CASE FOR HEDGE FUND REPLICATION
33.5 UNIQUE BENEFITS OF REPLICATION PRODUCTS
33.6 FACTOR-BASED APPROACH TO REPLICATION
33.7 PAYOFF-DISTRIBUTION APPROACH
33.8 BOTTOM-UP OR ALGORITHMIC APPROACH
33.9 CONCLUSION
CHAPTER 34: Convertible Arbitrage
34.1 EVOLUTION OF THE CONVERTIBLE ARBITRAGE STRATEGY
34.2 TERMINOLOGY
34.3 VALUATION OF CONVERTIBLE SECURITIES
34.4 THE GREEKS
34.5 AN ARBITRAGE SITUATION
34.6 CONVERTIBLE ARBITRAGE IN PRACTICE: STRIPPING AND SWAPPING
34.7 LEVERAGE AND CONVERTIBLE ARBITRAGE
34.8 APPENDIX
CHAPTER 35: Global Macro and Currency Strategies
35.1 INTRODUCTION TO THE MACRO STRATEGIES
35.2 DIRECTIONAL CURRENCY TRADES
35.3 THE CASE OF EMERGING MARKETS
35.4 FOUR MODELS FOR CURRENCY TRADING
35.5 A MORE COMPLEX TRADE: CONTINGENT YIELD CURVE STEEPENING
35.6 RISK MANAGEMENT AND PORTFOLIO CONSTRUCTION
CHAPTER 36: Fundamental Equity Hedge Fund Strategies
36.1 VARIATIONS WITHIN EQUITY LONG/SHORT FUNDS
36.2 BACKGROUND OF THE LONG/SHORT EQUITY HEDGE FUND
36.3 MECHANICS OF THE STRATEGY
36.4 MANAGERIAL EXPERTISE AND SOURCES OF RETURNS
36.5 LONG/SHORT RETURN ATTRIBUTION
CHAPTER 37: Quantitative Equity Hedge Fund Strategies
37.1 VARIATIONS OF QUANTITATIVE STRATEGIES
37.2 BACKGROUND ON QUANTITATIVE STRATEGIES
37.3 MECHANICS OF QUANTITATIVE STRATEGIES
37.4 SOURCES OF RETURNS
37.5 A STYLIZED QUANTITATIVE EQUITY STRATEGY
37.6 THE GREAT QUANT MELTDOWN OF AUGUST 2007
CHAPTER 38: Funds of Hedge Funds
38.1 APPROACHES FOR ACCESSING HEDGE FUNDS
38.2 CHARACTERISTICS OF FUNDS OF HEDGE FUNDS
38.3 FUND OF FUNDS PERFORMANCE
38.4 FUND OF FUNDS PORTFOLIO CONSTRUCTION
38.5 MANAGER SELECTION
38.6 RISK MANAGEMENT
38.7 DUE DILIGENCE ISSUES ARISING IN THE CONTEXT OF FUNDS OF FUNDS
38.8 BENEFITS OFFERED BY FUNDS OF FUNDS
38.9 DISADVANTAGES OF FUNDS OF FUNDS
38.10 FUNDS OF FUNDS VERSUS INDIVIDUAL HEDGE FUNDS
38.11 HEDGE FUND INDICES
CHAPTER 39: Regulation and Compliance
39.1 A SUCCINCT HISTORY OF HEDGE FUND REGULATION IN THE UNITED STATES
39.2 REGISTRATION AND REGULATION IN THE UNITED STATES
39.3 VARIOUS REPORTING REQUIREMENTS FOR HEDGE FUNDS
39.4 THE GLOBAL REGULATORY ENVIRONMENT FOR HEDGE FUNDS
CHAPTER 40: Operational Due Diligence
40.1 OPERATIONAL DUE DILIGENCE
40.2 STRATEGY-SPECIFIC DUE DILIGENCE
References
Index

Content preview from CAIA Level II: Advanced Core Topics in Alternative Investments, 2nd Edition

Contents

TEN YEARS OF CAIA AND ALTERNATIVE INVESTMENTS

THE HISTORY OF CAIA

BENEFITS OF THE CAIA PROGRAM

STUDYING FOR THE CAIA EXAMS

Acknowledgments

About the Authors

Chapter 1: Introduction

1.1 OUTLINE OF THIS BOOK

1.2 STUDYING FOR THE CAIA LEVEL II EXAMINATION

PART One: Asset Allocation and Portfolio Management

Chapter 2: The Endowment Model

2.1 DEFINING ENDOWMENTS AND FOUNDATIONS

2.2 INTERGENERATIONAL EQUITY, INFLATION, AND SPENDING CHALLENGES

2.3 THE ENDOWMENT MODEL

2.4 WHY MIGHT LARGE ENDOWMENTS OUTPERFORM?

2.5 CONCLUSION

Chapter 3: Risk Management for Endowment and Foundation Portfolios

3.1 SPENDING RATES AND INFLATION

3.2 LIQUIDITY ISSUES

3.3 REBALANCING AND TACTICAL ASSET ALLOCATION

3.4 TAIL RISK

3.5 CONCLUSION

Chapter 4: Pension Fund Portfolio Management

4.1 DEFINED BENEFIT PLANS

4.2 GOVERNMENTAL SOCIAL SECURITY PLANS

4.3 DEFINED CONTRIBUTION PLANS

PART Two: Private Equity

Chapter 5: Private Equity Market Landscape

5.1 MAIN STRATEGIES

5.2 MAIN DIFFERENCES BETWEEN VENTURE CAPITAL AND BUYOUT

5.3 PRIVATE EQUITY FUNDS AS INTERMEDIARIES

5.4 PRIVATE EQUITY FUNDS OF FUNDS AS INTERMEDIARIES

5.5 PRIVATE EQUITY FUNDS OF FUNDS VALUE-ADDED

5.6 THE RELATIONSHIP LIFE CYCLE BETWEEN LIMITED AND GENERAL PARTNERS

5.7 THE J-CURVE

5.8 CONCLUSION

Chapter 6: Private Equity Fund Structure*

6.1 KEY FEATURES

6.2 CONFLICTS OF INTEREST

6.3 FINDING THE BALANCE ...

Become an O’Reilly member and get unlimited access to this title plus top books and audiobooks from O’Reilly and nearly 200 top publishers, thousands of courses curated by job role, 150+ live events each month,
and much more.

Read now

Unlock full access

More than 5,000 organizations count on O’Reilly

O’Reilly covers everything we've got, with content to help us build a world-class technology community, upgrade the capabilities and competencies of our teams, and improve overall team performance as well as their engagement.

Julian F.

Head of Cybersecurity

I wanted to learn C and C++, but it didn't click for me until I picked up an O'Reilly book. When I went on the O’Reilly platform, I was astonished to find all the books there, plus live events and sandboxes so you could play around with the technology.

Addison B.

Field Engineer

I’ve been on the O’Reilly platform for more than eight years. I use a couple of learning platforms, but I'm on O'Reilly more than anybody else. When you're there, you start learning. I'm never disappointed.

Amir M.

Data Platform Tech Lead

I'm always learning. So when I got on to O'Reilly, I was like a kid in a candy store. There are playlists. There are answers. There's on-demand training. It's worth its weight in gold, in terms of what it allows me to do.