Acknowledgments.

About the Author.

Part One. Alternative Investments and Investors.

Chapter 1. Introduction.

Integration of Alternative Investments and Traditional Asset Classes through Factor Analysis.

Approaches to Portfolio Construction.

The Identification of Alpha and Beta in New Investment Strategies.

What the Future Holds.

Summary.

Chapter 2. Investors in Alternative Investments and the Necessary Ingredients for a Successful Program.

Types of Investors and Their Approaches to Alternative Investments.

The Necessary Ingredients for a Successful Alternative Investment Program.

Support from Investment Management Firms and Consultants.

Investors Deciding To Minimize the Use of Alternative Investments.

Summary.

Chapter 3. Hedge Funds.

Performance and Diversification Attributes.

Market Segmentation.

Hedge Fund Strategies.

The Construction of a Segregated Portfolio of Hedge Funds.

Summary.

Chapter 4. Private Equity.

Performance and Diversification Attributes.

Dispersion of Returns.

Private Equity Strategies.

The Construction of a Segregated Portfolio of Private Equity.

Summary.

Chapter 5. Real Estate.

What Is the Attraction?

Real Estate Strategies.

The Construction of a Segregated Portfolio of Real Estate.

Summary.

Chapter 6. Currency, Commodities, Timber and Oil & Gas.

The Qualitative Determinant of Returns.

The Attraction of Currency.

The Attraction of Commodities.

Currency and Commodity Strategies.

The Attraction of Timber.

Timber Strategies.

The Attraction of Oil & Gas.

Oil & Gas Strategies.

The Construction of a Segregated Portfolio of Currencies, Commodities, Timber and Oil & Gas.

Summary.

Part Two. Alternative Investments in Traditional Portfolios.

Chapter 7. The Migration of Hedge Funds into the Private Equity Realm.

Are Hedge Funds Gaining Market Share from Private Equity?

How Well Suited Are Hedge Funds To Private Equity Investments?

The Power of Compounding. A Comparative Advantage for Private Equity.

The Fee Differential between Hedge Funds and Private Equity.

Alternative Investment Fee and Term Components.

Summary.

Chapter 8. Cash Flow Forecasting and its Implications for Rebalancing.

Alternative Investment Cash Flow.

Asset Allocation. Achieving Policy Targets and Rebalancing.

Cash Flow Forecasting Tools.

Portfolio Rebalancing Tools.

Summary.

Chapter 9. Leverage and Portable Alpha.

Leverage.

Portable Alpha.

What Is Portable Alpha?

The Benefits and Issues with Portable Alpha.

Reevaluating the Premise for Portable Alpha.

The Use of Hedge Funds in Portable Alpha.

Alternative Thinking about Alpha.

Summary.

Chapter 10. Factor Analysis. The Rationale.

Marketplace Changes That Warrant Factor Analysis.

The Asset Class Concept.

Alternative Investments and Factor Analysis.

Problems with Selecting Vehicles for Alternative Investment Portfolio Construction.

Quantitative Building Blocks.

Risk Budgeting Using Factors.

Beyond Traditional Asset Class Risk Budgeting.

Qualitative Independent Variables.

Illiquidity Factor.

Summary.

Chapter 11. Factor Analysis. The Findings and Discovering Active Alpha.

Time Series Delineation and Issues.

Mean Variance Optimization^.

Problems Using Mean Variance Optimization with Alternative Investments^.

Regression Analysis with Alternative Investment Factors.

Regression Analysis Results and Observations.

Problems with Conducting Regression Analysis on Alternative Investments.

Factor Optimization.

Active Alpha vs. Passive Alpha.

Problems with Factor Optimization.

Synthetic Portfolios of Alternative Investments.

Factor Measurement and Risk Monitoring.

Summary.

Appendix. Regression Methodology.

Notes.

Glossary.

References.

Index.