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Alternative Investment Strategies
Euromoney Institutional Investor, Jan 2002, Pages: 384
Author biographies
Foreword
Part I: Introduction
Chapter 1: Alternative investment strategies: an investor’s viewpoint
Definitions and model sets
Recent growth
Investors’ rationales and characteristics
Choosing from the alternative investment menu
Summary
Part II: Private equity and venture capital
Chapter 2: Private equity investing
Types of private equity
Some general features of private equity investing
How to invest in private equity
Limited partnerships
Alternative approaches
Asset allocation
Conclusion
Chapter 3: Venture capital: an overview of the European industry
Venture capital in the United Kingdom
The benefits of venture capital
Venture capital funds
The BVCA Performance Measurement Survey
Venture-backed flotations
Investing in venture capital
The outlook for venture capital in the United Kingdom
About the BVCA
Part III: Skill-based strategies
Chapter 4: Market-neutral investing
Market-neutral strategies
Performance characteristics of market-neutral strategies
Considerations when implementing market-neutral strategies
Conclusion
Chapter 5: Multi-manager products and institutional investors
Institutional interest in multi-manager products
Issues involved in structuring multi-manager products
Conclusion
Chapter 6: Managed futures: a growth area
Managed futures and other alternative investments
Fierce competition and the need for new products
The nature and appeal of managed futures
Remaining doubts
A case study: constructing a naive index
Managers’ skill and investment philosophy
Controlling a structured approach
Conclusion and outlook
Chapter 7: The strategic case for commodities
What makes a new asset class
Why commodities have returns
Returns and the economic environment
Making a difference in hostile markets
Comparing commodities with other assets
Commodities in a classical portfolio optimisation
Looking forward: a question of returns
Chapter 8: Managed currencies: a powerful alternative
investment strategy
An investment approach: the valuation of currency pairs
The suitability of managed currencies for institutional investors
How to participate: attractive currency products for institutional
investors
Seeking global currency returns using a disciplined risk framework:
a case study of Millennium
A perspective on the risk/return of managed currencies
Why fundamentals matter: a framework for spotting a currency
crisis in the making
Conclusion and outlook
Chapter 9: Capturing diversified alpha from the global
currency markets
The historical performance of major, minor and emerging
currency markets
A risk-adjusted proxy for the historical performance of currency
managers: a case study of the Parker foreign exchange indices
Building an optimal multi-manager portfolio
Fine-tuning the calibration of risk and source of return through
the allocation of VaR
Strategic applications for multi-manager currency portfolios
Measuring and managing risk as a fiduciary
The buyers of risk
Conclusion
Part IV: Hedge fund performance and risk management
Chapter 10: Structural and selection criteria for institutional portfolios
Structuring programmes for institutional investors
Risk management and fiduciary controls
Correlation and sensitivity to the broad market
Measuring performance
Trends: what lies ahead?
Chapter 11: Performance measurement and hedge funds
The numbers in the rearview mirror: Markowitz revisited
Number-crunching
Risk variables
Conclusion
Chapter 12: A comparison of return patterns in traditional and
alternative investments
Commodity, managed futures and hedge fund indices in
asset management
Data and methodology
Results
Conclusions and industry implications
Annex to Chapter 12: Description of commodity, managed
futures and hedge fund indices
Part V: Emerging markets
Chapter 13: New techniques in emerging-market fund management
Defining terms
The crucial importance of investors’ perceptions
How alternative investments benefit institutional investors
The range of quantitative techniques
Key issues in using quantitative techniques in emerging markets
Asset allocation and risk management
Product strategies
Trends for the future
Part VI: Asset-backed securities
Chapter 14: The evolution towards investor-driven alternative
investments
Asset-backed securities: market trends
The development of securitisation
Collateralised debt obligations
Future trends
Part VII: Insurance and credit derivatives
Chapter 15: The insurance-derivatives market and securitisation
Recognising the potential for insurance derivatives
Recognising the need
Insurance derivatives at the CBOT
Catastrophe-linked notes
Bermuda-based exchange initiatives
Future trends
Conclusion
Chapter 16: Insurance-linked securities
Background
Catastrophe futures and options
Securitisation of insurance risk
Conclusion
Chapter 17: Credit derivatives: revolutionising the financial markets
The distinctive features of credit spreads
Credit swaps
Total-return swaps
Spread options
Credit-linked notes
The Chase Secured Loan Note: a case study
Conclusion and market outlook
Part VIII: Rating methodologies
Chapter 18: Credit arbitrage using event-linked synthetic structures
The diversification, pooling and transfer of credit risk via
credit-linked investment vehicles
The principle of credit arbitrage: relative value in the pricing of
credit risk
The role of asset volatility in valuing the option of default
Tranched and pooled structures: collateralised debt obligations
Emerging-market collateralised bond obligations: market volatility,
duration and the term structure of emerging-market credit risk
Swap-dependent structures: insurance derivatives, price-indexed
synthetics and credit-derivative-linked debt issues
Entry: convergence between the credit and reinsurance markets
The use of credit derivatives to credit-wrap synthetic-note structures
Chapter 19: Credit- and insurance-linked notes and collateralised
debt obligations
General considerations
Credit-linked notes
Catastrophe-linked notes
Collateralised loan and bond obligations
Future developments
Part IX: Regulatory environment
Chapter 20: Marketing alternative investment funds:
law and regulation
EU directives
The United Kingdom
The United States
France
Germany
Switzerland
Chapter 21: Taxation of hedge funds
The United Kingdom
The United States
Luxembourg
Part X: Appendices
Appendix A: A portfolio approach to alternative investing
Introduction
The mathematical basis for alternative investing
The historical performance of alternative investments
The portfolio approach to alternative investing
Summary and conclusions
Annex to Appendix A
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