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Alternative Assets and Strategic Allocation: Rethinking the Institutional Approach


Praise for Alternative Assets and Strategic Allocation

"This book fills an otherwise empty niche in the literature of alternative investing. Neither breathless cheerleading nor a dry mathematical tome, it focuses on the numerous real-world issues that face practitioners. I recommend Alternative Assets and Strategic Allocation to anyone with a serious interest in investing."
Steven Resnick, General Partner, Navigator Capital Partners

"I think this book is a must-read for those interested in alternative investments. John's years of due diligence experience and his fresh and candid writing style make this a valuable body of work whether you are a fund allocator looking for a robust and practical analytical framework or a fund manager who could benefit from the perspective of his target audience."
James Murchie, founder, Energy Income Partners, LLC

"The key question for all investors is asset allocation, [which is] far more important than investment management. Thus, whether you are exposed to alternative investments or not, you must know why you've chosen where to allocate. Abbink offers ingenious answers and provides endless food for thought, yet delivers the even more valuable service of indicating where answers are unavailable and unlikely to be forthcoming."
Michael Mainelli, Professor Emeritus of Commerce and Fellow of Gresham College and cofounder of the Z/Yen Group of companies

"This volume is addressed to investment policymakers who are confronted with the task of making investment allocation decisions that embrace both conventional and alternative assets."
From the Introduction

In this innovative and practical guide, investment expert John Abbink offers institutional investors, analysts, researchers, portfolio managers, and financial academics a down-to-earth method for measuring and analyzing alternative assets.

Written as a practical (rather than a theoretical) guide, Alternative Assets and Strategic Allocation includes a clear explanation of how to apply the book's techniques to investment decisions. Abbink outlines a strategic approach for including alternative investments into portfolios and shows the pivotal role they play in an investment allocation. This reliable resource also offers a wealth of methods on valuation as applied to alternatives.

Using the information found in this book, investors will have a clearer sense of how to approach investment problems when working with alternative assets.

JOHN B. ABBINK has twenty-nine years' experience in investment firms, including Merrill Lynch, Credit Suisse, and Deutsche Bank, and was formerly a senior vice president and director of manager research at National City Corporation. Abbink received his BA from Michigan State University and his PhD from Yale University.
List of Illustrations.



What Is Alternative about Alternative Investments?

The Plan of This Book.


1 Risk and Return.

2 Return Enhancement.

3 Some Features of the Quantitative Toolkit.

4 Risk Estimation.


5 Long/Short Equity.

6 Direct Lending.

7 Merger Arbitrage.

8 High-Frequency Trading.

9 Holding Private Assets for Their Cash Flows.

10 Fixed-Income Arbitrage.

11 Event-Driven Investment.


12 Investment Strategies in Practice.

13 Optionality.

14 Trade Capacity.

15 Institutional Liquidity.

16 Tactical Allocation.

17 Portfolio Liquidity.

18 Alternative Investments and Information Theory.


19 Classification of Investments.

20 Diversification among Strategies.

21 Multi-Dimensional Risk.

22 Filling Out the Allocation.

23 Time and Tide.

24 Managing the Allocation Decision.

25 Concluding Remarks.