CAIA Level II: Advanced Core Topics in Alternative by CAIA Association, Hossein Kazemi, Keith H. Black, Donald R.

By CAIA Association, Hossein Kazemi, Keith H. Black, Donald R. Chambers

CAIA Association has built examinations that are used to certify Chartered substitute funding Analysts. The Level I curriculum builds a origin in either conventional and replacement funding markets--for instance, the diversity of information which are used to outline funding functionality in addition as the many varieties of hedge fund strategies. The readings for the extent II exam focus at the comparable concepts, yet switch the context to at least one of possibility administration and portfolio optimization. Level II CAIA examination takers have to paintings in the course of the following agenda:

  • asset allocation & portfolio oversight
  • style analysis
  • risk management
  • alternative asset securitization
  • secondary industry creation
  • performance and elegance attribution 
  • indexation and benchmarking

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Sample text

Swensen (2009) explains the role of tactical asset allocation and rebalancing. Investors are encouraged to be contrarian and consider valuation when making allocations. Rather than considering what peers were doing, Swensen entered alternative asset classes earlier and more aggressively than other institutional investors. In contrast to the common practice of increasing allocations to asset classes after a period of outperformance, Swensen sought to aggressively rebalance back to the strategic asset allocation weights by selling outperforming asset classes and buying underperforming ones.

A sticky spending rate, such as $3 million per year, provides Risk Management for Endowment and Foundation Portfolios 23 certainty of income to the university, but can create concerns of intergenerational equity after a large gain or loss in the value of the endowment. Recognizing that volatility in the income provided to university operations was unwelcome, more flexible spending rules were developed. Spending 4% of the average value of the endowment over the trailing three to five years creates a smoothing process that dampens the impact of the volatility of portfolio returns on the income provided to the university.

6% of the variance in fund returns. 5%, can be explained by security selection and market timing. ) Return attribution = Contributions from strategic asset allocation + Security selection + Market timing/tactical allocation The returns from strategic asset allocation are measured by multiplying the targeted long-term asset allocation weights by the benchmark returns to each asset class. Security selection is defined as the return within asset classes relative to a benchmark, such as the return to the domestic fixed-income portfolio when compared to the domestic fixed-income benchmark.

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