"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 diat embrace both onventional 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 die pivotal role diey play in an investment allocation. This reliable resource also offers a wealth of methods on valuation as applied to alternatives.
Using die information found in this book, investors will have a clearer sense of how to approach investment problems when working with alternative assets.
The usual approaches to asset allocation no longer suffice. Market turmoil has revealed the need for fresh ideas and innovation. Institutional investors have for too long relied upon strategies that are poorly equipped to deal with the unexpected metrics that volatility creates. To fulfill their fiduciary mandates and remain competitive, investors must look to the tools of the new investment age.
In this much-needed resource, alternative and portfolio management expert John Abbink demonstrates new ways of analyzing and deploying alternative assets and explains the practical application of these techniques. Alternative Assets and Strategic Allocation clearly shows how alternative investments fit into portfolios and the role they play in an investment allocation that includes traditional investments as well. This book also describes innovative methods for valuation as applied to alternatives that previously have been difficult to analyze.
Engaging and informative, Alternative Assets and Strategic Allocation contains an analytical toolkit that gives investors new ways to assess any investment product and provides criteria by which commonality or distinctiveness among them can be detected. In addition, Abbink reviews some of the latest alternatives that are increasing in popularity, for better or worse, such as high-frequency trading, direct lending, long-term investment in real assets, and more.
Filled with in-depth insights and practical advice, this important resource offers a new approach and vision for alternatives as they relate to insti
List of Illustrations
Acknowledgments
Introduction 1
What Is Alternative about Alternative Investments? 5
The Plan of This Book 11
Part One Analytic Tools
1 Risk and Return 17
2 Return Enhancement 37
3 Some Features of the Quantitative Toolkit 59
4 Risk Estimation 81
Part Two Some Examples
5 Long/Short Equity 103
6 Direct Lending 123
7 Merger Arbitrage 141
8 High-Frequency Trading 161
9 Holding Private Assets for Their Cash Flows 183
10 Fixed-Income Arbitrage 199
11 Event-Driven Investment 217
Part Three Position Management
12 Investment Strategies in Practice 237
13 Optionality 253
14 Trade Capacity 271
15 Institutional Liquidity 287
16 Tactical Allocation 305
17 Portfolio Liquidity 323
18 Alternative Investments and Information Theory 343
Part Four Portfolio Construction
19 Classification of Investments 361
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