- ホーム
- > 洋書
- > 英文書
- > Business / Economics
基本説明
The official reading material for the Chartered Althernative Investment Analyst (CAIA) Professional Examination (Level II). This book covers the main areas of hedge funds, private equity, commodities, real estate and managed futures.
Full Description
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
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
