Preface
Acknowledgments
About the Authors
Part 1: Introduction to Alternative Investments
Chapter 1: What Is an Alternative Investment?
1.1 Alternative Investments by Exclusion
1.2 Alternative Investments by Inclusion
1.3 Structures among Alternative Investments
1.4 Investments Are Distinguished by Return Characteristics
1.5 Investments Are Distinguished by Methods of Analysis
1.6 Investments Are Distinguished by Other Factors
1.7 Goals of Alternative Investing
1.8 Overview of This Book
Review Questions
Chapter 2: The Environment of Alternative Investments
2.1 The Participants
2.2 Financial Markets
2.3 Regulatory Environment
2.4 Liquid Alternative Investments
2.5 Taxation
Review Questions
Notes
Chapter 3: Quantitative Foundations
3.1 Return and Rate Mathematics
3.2 Returns Based on Notional Principal
3.3 Internal Rate of Return
3.4 Problems with Internal Rate of Return
3.5 Distribution of Cash Waterfall
Review Questions
Chapter 4: Statistical Foundations
4.1 Return Distributions
4.2 Moments of the Distribution: Mean, Variance, Skewness, and Kurtosis
4.3 Covariance, Correlation, Beta, and Autocorrelation
4.4 Interpreting Standard Deviation and Variance
4.5 Testing for Normality
4.6 Time-Series Return Volatility Models
Review Questions
Chapter 5: Measures of Risk and Performance
5.1 Measures of Risk
5.2 Estimating Value at Risk (VaR)
5.3 Ratio-Based Performance Measures
5.4 Risk-Adjusted Return Measures
Review Questions
Note
Chapter 6: Foundations of Financial Economics
6.1 Informational Market Efficiency
6.2 Single-Factor and Ex Ante Asset Pricing
6.3 Multifactor and Empirical Models
6.4 Arbitrage-Free Models
6.5 The Term Structure of Forward Contracts
6.6 Option Exposures
6.7 Option Pricing Models
6.8 Option Sensitivities
Review Questions
Notes
Chapter 7: Benchmarking and Performance Attribution
7.1 Benchmarking
7.2 Types of Models
7.3 Performance Attribution
7.4 Distinctions Regarding Alternative Asset Benchmarking
Review Questions
Notes
Chapter 8: Alpha, Beta, and Hypothesis Testing
8.1 Overview of Beta and Alpha
8.2 Ex Ante versus Ex Post Alpha
8.3 Inferring Ex Ante Alpha from Ex Post Alpha
8.4 Return Attribution, Alpha, and Beta
8.5 Ex Ante Alpha Estimation and Return Persistence
8.6 Return Drivers
8.7 Using Statistical Methods to Locate Alpha
8.8 Sampling and Testing Problems
8.9 Statistical Issues in Analyzing Alpha and Beta
Review Questions
Notes
Chapter 9: Regression, Multivariate
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Alternative investments. CAIA level 1 by Donald R. Chambers. ISBN 9781119003373. Published by John Wiley & Sons in 2015. Publication and catalogue information, links to buy online and reader comments.
