Alternative Investments: CAIA Level I (Wiley Finance)

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lternative 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. Inhaltsverzeichnis Preface xxxiiiAcknowledgments xxxviiAbout the Authors xliPart 1 Introduction to Alternative InvestmentsChapter 1 What is an Alternative Investment? 31.1 Alternative Investments by Exclusion 31.2 Alternative Investments by Inclusion 41.3 The Blurred Lines between Traditional and Alternative Investments 81.4 A History of Alternative Investing: The U.S. Case 101.5 Investments are Distinguished by Return Characteristics 111.6 Investments are Distinguished by Methods of Analysis 141.7 Eight Other Characteristics that Distinguish Alternative and Traditional Investments 161.8 Five Goals of Alternative Investing 181.9 Two Pillars of Alternative Investment Management 201.10 Overview of This Book 22Review Questions 23Chapter 2 The Environment of Alternative Investments 252.1 The Participants 252.2 Alternative Investment Structures 332.3 Key Features of Fund Structures 362.4 Financial Markets 402.5 Regulatory Environment 422.6 Liquid Alternative Investments 432.7 Taxation 472.8 Short Selling 49Review Questions 52Notes 53Chapter 3 Quantitative Foundations 553.1 Return and Rate Mathematics 553.2 Returns Based on Notional Principal 573.3 Internal Rate of Return 603.4 Problems with Internal Rate of Return 643.5 Other Performance Measures 733.6 Illiquidity, Accounting Conservatism, IRR, and the J-Curve 753.7 Distribution of Cash Waterfall 77Review Questions 85Note 86Chapter 4 Statistical Foundations 874.1 Return Distributions 874.2 Moments of the Distribution: Mean, Variance, Skewness, and Kurtosis 904.3 Covariance, Correlation, Beta, and Autocorrelation 944.4 Interpreting Standard Deviation and Variance 1044.5 Testing for Normality 1114.6 Time-Series Return Volatility Models 114Review Questions 116Chapter 5 Foundations of Financial Economics 1175.1 Informational Market Efficiency 1175.2 The Time Value of Money, Prices, and Rates 1225.3 The Three Primary Theories of the Term Structure of Interest Rates 1275.4 Forward Interest Rates 1295.5 Arbitrage-Free Models 1315.6 Binomial Tree Models 1345.7 Single-Factor Default-Free Bond Models 1375.8 Single-Factor Equity Pricing Models 143Review Questions 148Note 149Chapter 6 Derivatives and Risk-Neutral Valuation 1516.1 Foundations of Forward Contracts 1516.2 Forward Contracts on Rates 1556.3 Forward Contracts on Equities 1576.4 Forward Contracts on Assets with Benefits and Costs of Carry 1656.5 Forward Contracts Versus Futures Contracts 1716.6 Managing Long-Term Futures Exposures 1786.7 Option Exposures 1806.8 Option Pricing Models 1866.9 Option Sensitivities 188Review Questions 190Notes 191Chapter 7 Measures of Risk and Performance 1937.1 Measures of Risk 1937.2 Estimating Value at Risk (VaR) 1987.3 Benchmarking and Performance Attribution 2037.4 Ratio-Based Performance Measures 2047.5 Risk-Adjusted Return Measures 210Review Questions 214Notes 214Chapter 8 Alpha, Beta, and Hypothesis Testing 2158.1 Overview of Beta and Alpha 2158.2 Ex Ante Versus Ex Post Alpha 2178.3 Single-Factor Models and Regression 2208.4 Inferring Ex Ante Alpha From Ex Post Alpha 2258.5 Return Attribution, Alpha, and B. Bestandsnummer des Verkäufers ABE-1703766156595

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Über die Autorin bzw. den Autor:

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.