Alternative Investments
Alternative Investments
Alternative Investments
Set of flashcards Details
| Flashcards | 33 |
|---|---|
| Language | English |
| Category | Finance |
| Level | University |
| Created / Updated | 17.03.2018 / 04.07.2019 |
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Capital Assets, Assets as economic inputs, Assets as a store of value
Capital assets are defined by their claim of the future cash flows of an enterprise. (Hedge Funds, Private equity funds, credit derivatives, and corporate governance funds.
Assets can be consumed as part of the production cycle. (Physical commodities) Can not be valued using the NPV method.
Examples: Art, Gold and precious metals. Value is subjective.
Equity, Fised Income, Cash, Real Estate
Investing against a benchmark. Same weights as the index.
Concerned with long-termm asset mix to acomplish a long term goal such as funding pernsion benefits.
Short-term in nature. Take advantage Of current market conditions.
Constraint: Benchmark followers; Unconstraint and unconditional: exp. Returns and the variance-covariance inputs into the asset allocation purely on past realisations. Unconstraint and conditional: Uses information available today, over and the aboce information is past asset returns.
Beta drivers capture financial market risk premiums in an efficient manner.
Alpha drivers seek pockets of excess returns often without regard to benchmarks.
No reference to a benchmark, low correlation, long and short positions are traded.
only trade in selected markets
Diversification you minimise the probability to outperform
Merger arbitragem event driven, fixed income strategy
Geometric average
Internal rate of return (IRR)
Reward to total volatitlity trade off
Rewards to systematic risk
Portfolios alpha value
Abnormal return per unit of risk that in principle could be diversified away. (Apparaisal ratio)
Compare returns of adjusted portfolio against market portfolio
Entire risky investment: Sharpe, One of many: Jensen or Treynor
Limited liability partnership that provides only minimal disclosure vs. Public disclosure of strategy and portfolio composition
Equity long/short, Equity market timing, Short selling
Distressed securities, Merger arbitrage, event driven
Fixed income arbitrage,Convertible bond arbitrage, Equity market neutral, Statistical arbitrage, Relative value arbitrage
Global macro, Fund of funds
The previous value of a portfolio that must be reattained before a hedge fund can charge incentive fees is known as a high water mark.
The minimum return for an investment to be considered as valuable risk budgeting proposal.
The symmetry of a distribution
The tails of a distribution. >3 then fat tails leptokurtosis, < 3 then platykurtosis.
Business cycle?
Downward: Bonds rising, Bottom: Equities rising and commodities bottom, Upward: Commodities rising and bonds falling, Top: Equities falling, Downward: Commodities falling
