Contents
TEN YEARS OF CAIA AND ALTERNATIVE INVESTMENTS
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
2.4 WHY MIGHT LARGE ENDOWMENTS OUTPERFORM?
Chapter 3: Risk Management for Endowment and Foundation Portfolios
3.1 SPENDING RATES AND INFLATION
3.3 REBALANCING AND TACTICAL ASSET ALLOCATION
Chapter 4: Pension Fund Portfolio Management
4.2 GOVERNMENTAL SOCIAL SECURITY PLANS
4.3 DEFINED CONTRIBUTION PLANS
Chapter 5: Private Equity Market Landscape
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
Chapter 6: Private Equity Fund Structure*
Chapter 7: The Investment Process
Chapter 8: Private Equity Portfolio Design
8.1 THREE APPROACHES TO PRIVATE EQUITY PORTFOLIO DESIGN
8.2 RISK-RETURN MANAGEMENT APPROACHES
8.3 THE RISK PROFILE OF PRIVATE EQUITY ASSETS
Chapter 9: Fund Manager Selection Process
9.1 DETERMINATION OF THE WISH LIST OF FUND CHARACTERISTICS
9.3 DUE DILIGENCE: IMPORTANCE AND LIMITATIONS
Chapter 10: Measuring Performance and Benchmarking in the Private Equity World
Chapter 11: Monitoring Private Equity Fund Investments
11.2 THE MONITORING OBJECTIVES
11.3 INFORMATION GATHERING IN THE MONITORING PROCESS
11.4 ACTIONS RESULTING FROM MONITORING
Chapter 12: Private Equity Fund Valuation
12.2 INTERNAL RATE OF RETURN (IRR)
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 SCHEDULES
14.3 INVESTMENT STRATEGIES FOR UNDRAWN CAPITAL
Chapter 15: Real Estate as an Investment
15.1 ATTRIBUTES OF REAL ESTATE
15.3 CATEGORIES OF REAL ESTATE
15.4 RETURN DRIVERS OF REAL ESTATE
Chapter 16: Unsmoothing of Appraisal-Based Returns
16.2 MODELS OF PRICE AND RETURN SMOOTHING
16.3 UNSMOOTHING A PRICE OR RETURN SERIES
16.4 AN ILLUSTRATION OF UNSMOOTHING
Chapter 17: Core, Value-Added, and Opportunistic Real Estate
17.1 DEFINING THE THREE NCREIF REAL ESTATE STYLES
17.2 DIFFERENTIATING STYLES WITH ATTRIBUTES
17.3 PURPOSES OF REAL ESTATE STYLE ANALYSIS
17.5 CAP RATES AND EXPECTED RETURNS
17.6 DEVELOPING RISK AND RETURN EXPECTATIONS WITH STYLES
Chapter 18: Real Estate Indices
18.1 THE MECHANICS OF APPRAISAL-BASED INDICES
18.2 NON-APPRAISAL-BASED INDICES
18.3 DESCRIPTION OF MAJOR REAL ESTATE INDICES
Chapter 19: Public versus Private Real Estate Risks
19.1 MARKET-BASED VERSUS APPRAISAL-BASED RETURNS
19.2 ARBITRAGE, LIQUIDITY, AND SEGMENTATION
19.3 PUBLIC REAL ESTATE PRODUCTS
Chapter 20: Portfolio Allocation within Real Estate
20.5 Liquidity and Transaction Costs
20.6 Cross-Border Real Estate Investment
Chapter 21: Farmland and Timber Investments*
21.1 GLOBAL DEMAND FOR AGRICULTURAL PRODUCTS
21.2 ACCESSING AGRICULTURAL RETURNS
21.3 UNDERSTANDING THE RETURNS TO FARMLAND
21.4 COMMODITY PRICE VOLATILITY AND ITS IMPLICATION FOR FARMLAND-BASED INVESTMENT STRATEGIES
21.5 GLOBAL INVESTING IN TIMBERLAND
21.6 KEY POINTS AND SUMMARY CONCLUSIONS
Chapter 22: Investing in Intellectual Property*
22.1 CHARACTERISTICS OF INTELLECTUAL PROPERTY
22.2 FILM PRODUCTION AND DISTRIBUTION
22.3 ART AS AN INVESTMENT ASSET
Chapter 23: Key Concepts in Commodity Market Analysis
23.2 REAL ASSETS AND FINANCIAL ASSETS
23.3 THE ROLE OF INVESTORS IN COMMODITY MARKETS
23.6 THEORIES OF COMMODITY FORWARD CURVES
Chapter 24: Role of Commodities in Asset Allocation
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
Chapter 25: Methods of Delivering Commodity Alpha
25.3 RELATIVE VALUE STRATEGIES
25.4 COMMODITY-BASED EQUITY AND DEBT STRATEGIES
25.5 FUNDAMENTAL ANALYSIS FOR DIRECTIONAL AND RELATIVE VALUE STRATEGIES
Chapter 26: Methods of Delivering Commodity Beta: Indices, Swaps, Notes, and Hedge Funds
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
Chapter 28: Effective Risk Management Strategies for Commodity Portfolios*
28.1 MARKING THE NET ASSET VALUE
28.3 STRESS TESTING USING VALUE AT RISK
28.4 MEASURING LIQUIDITY RISKS
28.6 MITIGATING OPERATIONAL RISKS
Chapter 29: Structure of the Managed Futures Industry
29.1 INVESTING IN CTAs AND CPOs
29.6 FOREIGN CURRENCY EXPOSURE
29.7 COLLATERAL INCOME AND SEGREGATION ISSUES
Chapter 30: Managed Futures: Strategies and Sources of Return
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
Chapter 31: Risk and Performance Analysis in Managed Futures Strategies
31.2 HISTORICAL PERFORMANCE OF CTAs
31.3 RESEARCH ON PERFORMANCE AND BENEFITS OF MANAGED FUTURES
31.5 ALPHA-BETA SEPARATION USING PASSIVE INDICES
31.6 PERFORMANCE OF CTAS DURING PERIODS OF FINANCIAL STRESS
Chapter 32: Structuring Investments in CTAs*
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
32.7 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
CHAPTER 33: Hedge Fund Replication
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
CHAPTER 34: Convertible Arbitrage
34.1 EVOLUTION OF THE CONVERTIBLE ARBITRAGE STRATEGY
34.3 VALUATION OF CONVERTIBLE SECURITIES
34.6 CONVERTIBLE ARBITRAGE IN PRACTICE: STRIPPING AND SWAPPING
34.7 LEVERAGE AND CONVERTIBLE ARBITRAGE
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
37.5 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
38.7 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
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