Preface | |
Acknowledgments | |
About the Author | |
Alternative Investments and Investors | |
Introduction | |
Integration of Alternative Investments and Traditional Asset Classes through Factor Analysis | |
Approaches to Portfolio Construction | |
The Identification of Alpha and Beta in New Investment Strategies | |
What the Future Holds | |
Summary | |
Investors in Alternative Investments and the Necessary Ingredients for a Successful Program | |
Types of Investors and Their Approaches to Alternative Investments | |
The Necessary Ingredients for a Successful Alternative Investment Program | |
Support from Investment Management Firms and Consultants | |
Investors Deciding To Minimize the Use of Alternative Investments | |
Summary | |
Hedge Funds | |
Performance and Diversification Attributes | |
Market Segmentation | |
Hedge Fund Strategies | |
The Construction of a Segregated Portfolio of Hedge Funds | |
Summary | |
Private Equity | |
Performance and Diversification Attributes | |
Dispersion of Returns | |
Private Equity Strategies | |
The Construction of a Segregated Portfolio of Private Equity | |
Summary | |
Real Estate | |
What Is the Attraction? | |
Real Estate Strategies | |
The Construction of a Segregated Portfolio of Real Estate | |
Summary | |
Currency, Commodities, Timber and Oil & Gas | |
The Qualitative Determinant of Returns | |
The Attraction of Currency | |
The Attraction of Commodities | |
Currency and Commodity Strategies | |
The Attraction of Timber | |
Timber Strategies | |
The Attraction of Oil & Gas | |
Oil & Gas Strategies | |
The Construction of a Segregated Portfolio of Currencies, Commodities, Timber and Oil & Gas | |
Summary | |
Alternative Investments in Traditional Portfolios | |
The Migration of Hedge Funds into the Private Equity Realm | |
Are Hedge Funds Gaining Market Share from Private Equity? | |
How Well Suited Are Hedge Funds To Private Equity Investments? | |
The Power of Compounding | |
A Comparative Advantage for Private Equity | |
The Fee Differential between Hedge Funds and Private Equity | |
Alternative Investment Fee and Term Components | |
Summary | |
Cash Flow Forecasting and its Implications for Rebalancing | |
Alternative Investment Cash Flow | |
Asset Allocation | |
Achieving Policy Targets and Rebalancing | |
Cash Flow Forecasting Tools | |
Portfolio Rebalancing Tools | |
Summary | |
Leverage and Portable Alpha | |
Leverage | |
Portable Alpha | |
What Is Portable Alpha? | |
The Benefits and Issues with Portable Alpha | |
Reevaluating the Premise for Portable Alpha | |
The Use of Hedge Funds in Portable Alpha | |
Alternative Thinking about Alpha | |
Summary | |
Factor Analysis | |
The Rationale | |
Marketplace Changes That Warrant Factor Analysis | |
The Asset Class Concept | |
Alternative Investments and Factor Analysis | |
Problems with Selecting Vehicles for Alternative Investment Portfolio Construction | |
Quantitative Building Blocks | |
Risk Budgeting Using Factors | |
Beyond Traditional Asset Class Risk Budgeting | |
Qualitative Independent Variables | |
Illiquidity Factor | |
Summary | |
Factor Analysis | |
The Findings and Discovering Active Alpha | |
Time Series Delineation and Issues | |
Mean Variance Optimization | |
Problems Using Mean Variance Optimization with Alternative Investments | |
Regression Analysis with Alternative Investment Factors | |
Regression Analysis Results and Observations | |
Problems with Conducting Regression Analysis on Alternative Investments | |
Factor Optimization | |
Active Alpha vs. Passive Alpha | |
Pr | |
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