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Alternative Investments: Instruments, Performance, Benchmarks and Strategies


The Robert W. Kolb Series in Finance is an unparalleled source of information dedicated to the most important issues in modern finance. Each book focuses on a specific topic in the field of finance and contains contributed chapters from both respected academics and experienced financial professionals. As part of the Robert W. Kolb Series in Finance, Alternative Investments aims to provide a comprehensive understanding of the essential elements associated with this important area of finance.

Filled with in-depth insights and practical advice, Alternative Investments provides a thorough look at the historical performance, benchmarks, and strategies associated with many of today's most effective alternative investments. It offers valuable insights on the latest trends, research, and thinking in each major area, and empirical evidence on each type of alternative investment is featured.

Comprising five informative parts, this timely guide contains a detailed discussion of alternative investments, covering everything from real estate and private equity to commodities, managed futures, and hedge funds. Along the way, it will help you navigate through the key areas of alternative investments and show you how to balance their opportunities and risks.

Alternative investments provide a means of diversification, risk control, and return enhancement and, as such, are attractive to many sophisticated investors. If you are looking for an effective way to hone your skills in this dynamic area of finance, look no further than this book.

H. KENT BAKER, PhD, CFA, CMA, is University Professor of Finance at the Kogod School of Business, American University in Washington, D.C. As one of the most prolific finance academics, he is the author or editor of 18 books, and more than 150 refereed articles in such publications as the Journal of Finance, Journal of Financial and Quantitative Analysis, Financial Management, Financial Analysts Journal, Journal of Portfolio Management, and Harvard Business Review. He has consulting and training experience with more than 100 organizations. Professor Baker received a BSBA from Georgetown University; MEd, MBA, and DBA degrees from the University of Maryland; and an MA, MS, and two PhDs from American University. He also holds CFA and CMA designations.

GREG FILBECK holds the Samuel P. Black III Professor of Insurance and Risk Management at Penn State Erie, The Behrend School, and serves as Program Chair for Finance. He previously served as senior vice-president at Kaplan Schweser, and also held academic appointments at Miami University (Ohio) and the University of Toledo, where he served as the associate director of the Center for Family and Privately-Held Business. Professor Filbeck is a coauthor of Derivatives and Risk Management and editor of CFA Basics: The Schweser Study Guide to Getting Started. He has published more than 70 refereed academic journal articles that have appeared in the Financial Analysts Journal, Financial Review, and Journal of Business Finance and Accounting. Professor Filbeck serves on the editorial board of the Journal of Business and Economic Perspectives and as a board member for the Southern Finance Association.

Acknowledgments ix

PART I Introduction 1

1 Alternative Investments: An Overview 3
H. Kent Baker and Greg Filbeck

2 The Role of Alternative Investments in Strategic Asset Allocation 19
Douglas Cumming, Lars Helge Haß, and Denis Schweizer

3 Trends in Alternative Investments 37
Erik Benrud

4 Alternative Investments and Due Diligence 53
Gökhan Afyonolu

PART II Real Estate 77

5 REITs and the Private Real Estate Market 79
Shaun A. Bond and Qingqing Chang

6 Commercial Real Estate 99
Peter Chinloy

7 Real Estate Investment Trusts 119
Brad Case

8 Mortgaged-Backed Securities 143
Eric J. Higgins

9 Mezzanine Debt and Preferred Equity in Real Estate 163
Andrew R. Berman

10 Real Estate Appraisal and Valuation 185
Jeffrey D. Fisher and Demetrios Louziotis, Jr.

11 Performance of Real Estate Portfolios 213
David Geltner

PART III Private Equity 239

12 Venture Capital 241
Tom Vanacker and Sophie Manigart

13 Mezzanine Capital 263
Sameer Jain and Phillip Myburgh

14 Buyout Funds 281
Christian Rauch and Mark Wahrenburg

15 Distressed Debt Investing 303
Michelle M. Harner, Paul E. Harner, Catherine M. Martin, and Aaron M. Singer

16 Performance of Private Equity 323
Christoph Kaserer and Rüdiger Stucke

17 Private Equity: Risk and Return Profile 345
Axel Buchner, Arif Khurshed, and Abdulkadir Mohamed

PART IV Commodities and Managed Futures 363

18 Investing in Commodities 365
Claudio Boido

19 Performance of Commodities 381
Andrew Clark

20 Commodity Futures and Strategic Asset Allocation 399
Yongyang Su, Marco C. K. Lau, and Frankie Chau

21 Managed Futures:Markets, Investment Characteristics, and Role in a Portfolio 419
Davide Accomazzo

22 An Overview of Managed Futures’ Performance: 1983 to Post-2008 Credit Crisis 437
Kai-Hong Tee

PART V Hedge Funds 453

23 Investing in Hedge Funds 455
Hunter M. Holzhauer

24 Performance of Hedge Funds 475
Dianna Preece

25 Hedge Funds and Risk Management 495
Theodore Syriopoulos

26 Hedge Funds and the Financial Crisis 521
Jing-Zhi Huang and Ying Wang

27 Hedge Funds: Replication and Nonlinearities 541
Mikhail Tupitsyn and Paul Lajbcygier

28 Fund-of-Funds: A Tale of Two Fees 567
Kartik Patel

Answers to Discussion Questions 587

Index 619