CAIA Level II : Advanced Core Topics in Alternative Investments

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  • Edition: 2nd
  • Format: Hardcover
  • Copyright: 2012-10-01
  • Publisher: Wiley

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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 oversight style analysis risk management alternative asset securitization secondary market creation performance and style attribution indexation and benchmarking

Author Biography

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.

Table of Contents

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

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