Alternative Investments
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Preface xiii
Acknowledgments xvii
About the Authors xix
PART 1 Introduction to Alternative Investments
CHAPTER 1 What Is an Alternative Investment? 3
1.1 Alternative Investments by Exclusion 3
1.2 Alternative Investments by Inclusion 4
1.3 Structures among Alternative Investments 8
1.4 Investments Are Distinguished by Return Characteristics 12
1.5 Investments Are Distinguished by Methods of Analysis 15
1.6 Investments Are Distinguished by Other Factors 18
1.7 Goals of Alternative Investing 18
1.8 Overview of This Book 20
Review Questions 21
CHAPTER 2 The Environment of Alternative Investments 23
2.1 The Participants 23
2.2 Financial Markets 30
2.3 Regulatory Environment 32
2.4 Liquid Alternative Investments 37
2.5 Taxation 40
Review Questions 43
CHAPTER 3 Quantitative Foundations 45
3.1 Return and Rate Mathematics 45
3.2 Returns Based on Notional Principal 47
3.3 Internal Rate of Return 50
3.4 Problems with Internal Rate of Return 54
3.5 Distribution of Cash Waterfall 60
Review Questions 69
CHAPTER 4 Statistical Foundations 71
4.1 Return Distributions 71
4.2 Moments of the Distribution: Mean, Variance, Skewness, and Kurtosis 74
4.3 Covariance, Correlation, Beta, and Autocorrelation 79
4.4 Interpreting Standard Deviation and Variance 88
4.5 Testing for Normality 95
4.6 Time-Series Return Volatility Models 98
Review Questions 100
CHAPTER 5 Measures of Risk and Performance 101
5.1 Measures of Risk 101
5.2 Estimating Value at Risk (VaR) 105
5.3 Ratio-Based Performance Measures 111
5.4 Risk-Adjusted Return Measures 117
Review Questions 120
CHAPTER 6 Foundations of Financial Economics 121
6.1 Informational Market Efficiency 121
6.2 Single-Factor and Ex Ante Asset Pricing 124
6.3 Multifactor and Empirical Models 129
6.4 Arbitrage-Free Models 135
6.5 The Term Structure of Forward Contracts 142
6.6 Option Exposures 147
6.7 Option Pricing Models 153
6.8 Option Sensitivities 155
Review Questions 157
CHAPTER 7 Benchmarking and Performance Attribution 159
7.1 Benchmarking 159
7.2 Types of Models 162
7.3 Performance Attribution 165
7.4 Distinctions Regarding Alternative Asset Benchmarking 169
Review Questions 172
CHAPTER 8 Alpha, Beta, and Hypothesis Testing 175
8.1 Overview of Beta and Alpha 175
8.2 Ex Ante versus Ex Post Alpha 177
8.3 Inferring Ex Ante Alpha from Ex Post Alpha 180
8.4 Return Attribution, Alpha, and Beta 182
8.5 Ex Ante Alpha Estimation and Return Persistence 185
8.6 Return Drivers 186
8.7 Using Statistical Methods to Locate Alpha 188
8.8 Sampling and Testing Problems 193
8.9 Statistical Issues in Analyzing Alpha and Beta 197
Review Questions 201
CHAPTER 9 Regression, Multivariate, and Nonlinear Methods 203
9.1 Single-Factor Models and Regression 203
9.2 Multifactor Models and Regression 208
9.3 Three Dynamic Risk Exposure Models 210
9.4 Two Approaches to Modeling Changing Correlation 212
9.5 Four Multifactor Approaches to Understanding Hedge Fund Returns 215
9.6 Evidence on Fund Performance Persistence 219
Review Questions 221
PART 2 Real Assets
CHAPTER 10 Natural Resources and Land 225
10.1 Natural Resources Other Than Land 225
10.2 Land 230
10.3 Timber and Timberland 236
10.4 Farmland 238
10.5 Valuation and Volatility of Real Assets 242
10.6 Historical Risks and Returns 246
Review Questions 249
CHAPTER 11 Commodity Forward Pricing 251
11.1 Forward Contracts versus Futures Contracts 251
11.2 Rolling Contracts 259
11.3 The Term Structure of Forward Prices on Commodities 260
11.4 Backwardation and Contango 266
11.5 Returns on Forward Contracts 270
Review Questions 275
CHAPTER 12 Commodities: Applications and Evidence 277
12.1 Commodity Investing for Diversification 277
12.2 Commodity Investing for Return Enhancement 280
12.3 Investing in Commodities without Futures 282
12.4 Commodity Exposure through Futures Contracts 287
12.5 Commodity Futures Indices 294
12.6 Commodity Risks and Returns 296
12.7 Historical Risks and Return
Autor: | Chambers, Donald R. |
Nakladatel: | Wiley & Sons |
Rok vydání: | 2015 |
Jazyk : | Angličtina |
Vazba: | Hardback |
Počet stran: | 960 |
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