THE CHARTERED ALTERNATIVE INVESTMENT ANALYST PROGRAM
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1 THE CHARTERED ALTERNATIVE INVESTMENT ANALYST PROGRAM CAIA LEVEL II Exam Topics SHOWCASE YOUR KNOWLEDGE
2 LEVEL II CURRICULUM MATERIALS 2 Standards of Practice Handbook 10th edition. Charlottesville, Virginia: CFA Institute ISBN: CAIA Level II: Advanced Core Topics in Alternative Investments, 2 nd edition. Wiley ISBN: CAIA Level II: Core and Integrated Topics Institutional Investor, Inc. ISBN: Level II Study Guide Found free on
3 EXAMINATION FORMAT 3 LEVEL II standards and ethics Application of skills and knowledge to current and integrated AI topics 100 Multiple Choice Questions + 3 Constructed Response Questions (essays) Section 1: 100 questions / 120 minutes (70% exam weight) Can focus on any topic Optional 30-minute break Exam Topics Minimum Weight Structured Products, Asset Allocation and 5% Hedge Funds and Managed Futures 10%, Manager Selection, Due Diligence and 5% Standards and 10% Private Equity 10% Section 2: 3 essays with multiple parts / 120 minutes (30% exam weight) Can focus on any topic Short answers: 1-3 paragraphs 10% 5%
4 Reading: Standards of Practice Handbook. 10th Edition, CFA Institute The practices and standards for ethical considerations experienced in the investment profession on a daily basis Topics: Standard I: ism Standard II: Integrity of Capital Markets Standard III: Duties to Clients Standard IV: Duties to Employers Standard V: Investment Analysis, Recommendations, and Actions Standard VI: Conflicts of Interest 4
5 Sample Questions Rui Gomes, CAIA, has created a website with a discussion room in order to attract new clients to the firm with which he is employed and to publish his recommendations. In a recent forum he placed a buy recommendation on a particular merger arbitrage fund based upon a study of the performance of the targets of three large recent takeovers. a. Describe the violation of the Code and Standards in this situation. You need not quote the number and/or letter of the standard, but must provide an explicit description as it applies to this situation. b. Describe two compliance procedures recommended for such situations by the Code and Standards. 5
6 Interim IRR LEVEL II EXAM TOPICS Reading: CAIA Level II: Advanced Core Topics in Alternative Investments. Wiley Part II, Chapters CAIA Level II: Core and Integrated Topics Institutional Investor, Inc. Part I Investment Products:. Structure of private equity (PE) funds Manager selection and monitoring processes PE benchmarking and performance attribution PE fund valuation methods of liquidity Properties of covenants and general partners that reduce the risk of VC investing PE fund success factors 15% 10% 5% 0% -5% -10% -15% Years 6
7 Sample Questions Consider two private equity funds (Fund A and Fund B) with cash flows and net asset values as summarized below (in $ millions): Fund A Fund B Year 0 Capital Contribution $100 $300 Year 1 Net Asset Value $110 $360 Question 1: Consider a portfolio comprised solely of two positions: a 100% stake in Fund A and a 100% stake in Fund B. Which of the following most accurately describes the pooled interim internal rate of return (IIRR)? A. 12.5% B. 15.0% C. 16.7% D. 17.5% 470/400 1 => IRR = 17.5% 7
8 Sample Questions Consider two private equity funds (Fund A and Fund B) with cash flows and net asset values as summarized below (in $ millions): Fund A Fund B Year 0 Capital Contribution $100 $300 Year 1 Net Asset Value $110 $360 Question 2: A private equity investor has committed $20 million to Fund A and $10 million to Fund B. Which of the following most accurately describes the investor s commitment-weighted interim internal rate of return (IIRR)? A. 13.3% B. 15.0% C. 16.7% D. 17.5% Fund A: 110/100 1 = 10% IRR Fund B: 360/300 1 = 20% IRR Commitment weighted IRR of the investor: 2/3 x 10% + 1/3 x 20% = 13.3% 8
9 Reading: CAIA Level II: Advanced Core Topics in Alternative Investments. Wiley Part IV, Chapters CAIA Level II: Core and Integrated Topics Institutional Investor, Inc. Part III Investment Products:. Advanced analysis of commodity markets and the role of commodities in asset allocation Various methods delivering commodity alpha and beta The term structure of commodity forward curves Risk management for commodity portfolios Strategic and tactical value of commodities 9
10 Sample Questions Which of the following best describes the average risk premium on commodities since 1959? a. It has been about the same as the risk premium on bonds b. It has been lower than the risk premium on bonds c. It has been higher than the risk premium on stocks d. It has been about the same as the risk premium on stocks Investors can gain exposure to commodities through owning bonds issued by firms that derive a significant part of their revenue from the sale of commodities. Which of the following types of bonds issued by companies producing commodities is likely to offer the highest exposure to the underlying commodity market? a. Triple-A rated bonds b. Single-B rated bonds c. Single-C rated bonds 10
11 Reading: CAIA Level II: Advanced Core Topics in Alternative Investments. Wiley Part III, Chapters CAIA Level II: Core and Integrated Topics Institutional Investor, Inc. Part II Investment Products:. Real estate investment styles Smoothing and methods to counter it Real estate benchmarking Real estate portfolio allocation Investing in intellectual property Real Estate Investment Trusts Infrastructure as an asset class Farmland and timberland investments Real assets in institutional portfolios 11
12 Sample Questions Why do real estate investment trusts (REITs), as an industry, have a relatively low potential for growth? a. Because they must pay out a minimum of 90% of their taxable income as dividends b. Because they have limited investment opportunities c. Because they generate most of their income from mortgage investments d. Because their size is limited by law A portfolio manager is allocating assets based on risk-adjusted performance. Which three of the following conditions are likely to cause inappropriately high allocations to assets with smoothed prices? I. Overestimated risk-adjusted returns II. III. Underestimated systematic risks (betas) Overestimated expected returns IV. Underestimated total risks (volatilities) a. II, III, and IV only b. I, III, and IV only c. I, II, and IV only d. I, II, and III only 12
13 Hedge Funds and Reading: CAIA Level II: Advanced Core Topics in Alternative Investments. Wiley Part V Hedge Funds and, Chapters CAIA Level II: Core and Integrated Topics Institutional Investor, Inc. Part IV Investment Products: Hedge Funds, Fund of Funds and. Detailed discussions of convertible arbitrage, global macro and equity hedge strategies Funds of funds and investible hedge fund indices Due diligence process for various hedge fund strategies Hedge fund replication Comparison of funds of hedge funds and multi-strategy funds Structure of the managed futures industry Managed futures strategies The role of managed futures in diversified portfolios Performance evaluation and manager selection processes A discussion of alpha and beta 13
14 Sample Questions The two most common investment vehicles in the managed futures industry are managed accounts and pooled funds. From the perspective of an investor, which of the following are two major advantages that managed futures accounts have relative to pooled funds? a. Reduced administrative costs and reduced financial liability b. Greater access to managers and enhanced legal representation c. Increased transparency and liquidity When evaluating the option embedded in a convertible bond, which term represents a measure of the sensitivity of the price of a convertible bond to changes in the volatility of the underlying stock? a. Delta b. Gamma c. Vega d. Theta 14
15 Reading: CAIA Level II: Core and Integrated Topics Institutional Investor, Inc. Part V Investment Products:. Structure, pricing and applications of credit default swaps The role of structured products in the financial crises The challenges faced by the rating agencies in evaluating structured products Insurance linked securities 15
16 Sample Question The Economics of Structured Finance by Coval, Jurek, and Strafford recommends applying which of the following methods to improve the accuracy of valuations of asset pools that underlie structured products? a. Hedonic approach b. Bayesian approach c. Core-satellite approach d. Bottom up approach 16
17 Reading: CAIA Level II: Advanced Core Topics in Alternative Investments. Wiley Part I, Chapters 2-4. CAIA Level II: Core and Integrated Topics Institutional Investor, Inc. Part VI Investment Products:. An introduction to endowments Risk management for endowment and foundation portfolios Pension fund portfolio management Risk profiles of dynamic strategies for asset allocation 17
18 Sample Question An investor follows a constant proportion portfolio insurance (CPPI) strategy with a floor set at $800 and a multiplier of two. Rebalancing is carried out on January 2 each year. Suppose that, on January 2 of year 1, the investor placed $1,000 into a combination of a stock market index fund and T-bills. Over the course of the year, the stock market index fund lost 20% of its value while the T-bills earned 0%. Which of the following values comes closest to the investor s stock market index position after rebalancing on January 2 of year 2? a. 560 b. 240 c. 320 d. 420 Starting dollars in stocks = m x (Assets Floor) = 2 x ( ) = 400 New allocation in stocks = m x (Assets Floor) = 2 x ([ ]-800) =
19 Sample Questions Consider the following rolling constant proportion portfolio insurance (CPPI) strategy. The strategy starts with a set multiplier and floor, but then, as total portfolio assets fluctuate in value, the floor adjusts so that it always remains a constant fraction of assets (for example, floor is reset to 70% of the assets). This process effectively transforms CPPI into what dynamic strategy? a. A convex strategy b. A buy-and-hold strategy c. An option-based portfolio d. A constant mix strategy 19
20 Reading: CAIA Level II: Core and Integrated Topics Institutional Investor, Inc. Part VII. Alternative investment risk management Contrasting parametric and non-parametric approaches to risk measurement Risk decomposition Stress testing Risk management for illiquid investments Transparency and risk management Implications of illiquidity during periods of financial distress Tail risk management 20
21 Sample Questions Recent studies argue that during tail-risk events, the returns earned by broad equity indices go to extremes. Which of the following is one of the primary forces driving this process? a. A dramatic increase of leverage across the universe of alternative investment strategies b. A reduction of short-term return correlation across large groups of securities c. A collapse in bid-offer spreads across large groups of securities d. Simultaneous de-levering across large groups of securities What type of hedging is effective during periods of financial stress in broad markets? a. Short gamma portfolio allocations b. Long positions in volatility (VIX) futures c. Short positions in out-of-the-money put options d. Long positions in out-of-the-money call options 21
22 Due Diligence, and Reading: CAIA Level II: Core and Integrated Topics Institutional Investor, Inc. Part VIII Due Diligence, and. Quantitative approaches to manager selection The nature of systemic risk during periods of financial distress Hedge Funds, Leverage and Counterparty Negotiations 22
23 Sample Questions Which of the following hedge fund styles is expected to have the largest degree of dispersion in return and volatility among the managers following the strategy? a. Merger arbitrage b. Equity long/short c. Distressed securities d. Fixed income arbitrage How is the omega measure used in hedge fund due diligence? a. To identify performance persistence b. To identify changes in managers risk profiles c. To measure downside protection d. To identify the best managers to add to a fund-of-funds portfolio 23
24 CANDIDATE EXPERIENCE
25 ADDITIONAL RESOURCES 25 Candidate Handbook - Provides all information related to the enrollment and exam process Sample Exam - Become familiar with the structure and format of the CAIA Level II exam Workbook - For additional practice involving content from CAIA Level II: Advanced Core Topics in Alternative Investments Preparatory Program Providers Third-party programs who offer additional resources in studying for CAIA exams
26 STUDY TIME 26 Average study time for Level II is 200+ hours. The Study Calculator is located on the Candidate Overview page.
27 EXAM DAY ID Policy Two valid (not expired) forms of ID Both must have a signature One must have a photo Passport preferred The name on your IDs must exactly match the name with which you schedule your exam. Calculator Policy Texas Instruments BA II Plus (including the model) Hewlett Packard 12C (including the Platinum edition) Exam proctors will require that all calculator memory be cleared prior to the start of the exam. 27
28 LENGTH OF EXAM SESSION 28 Level II Exam Entire Session Non-disclosure agreement Tutorial 5 minutes 5 minutes Section I: 100 multiple-choice questions 120 minutes Comment Period (optional) Break (optional) 10 minutes 30 minutes Section 2: 3 constructed-response questions 120 minutes Comment Period (optional) 10 minutes TOTAL EXAM SESSION TIME = 5 HOURS
29 PASS RATES Pass Rates September % March % September % March % September % March % September % 29
30 CANDIDATE PERFORMANCE REPORT The CAIA Candidate Performance Report is intended to aid in self-assessment by indicating your areas of relative strength and weakness among the topics in the exam, compared to a reference group. The reference group is comprised of all candidates whose total test scores were within the bottom quartile of those who passed the exam during the testing window in which you sat for the exam. Level II Examination Topic (Exam Weights) (10%-20%) Relative Performance Level* Weak Lower Comparable Higher Outstanding (5%-15%) (10%-20%) Hedge Funds and (10%-20%), and (5%-15%), and Manager Selection, Due Diligence, and (5% -15%) Constructed- Response Question (10%) Other Constructed-Response Questions (20%) 30
31 CONTACT US 31 Best of luck with exam preparations! If you have additional questions, please contact us at with your concern.
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