Journal Of Alternative Investments

Alternative Investments:

Euromoney Institutional Investor PLC
Journal 4 issues per annum

The Journal of Alternative Investments is the only research publication on the alternative investments market. JAI offers institutional investors and portfolio managers research and analysis they can use to maximize returns and diversify allocations in today’s volatile alternative investments marketplace.

JAI’s mission is to provide knowledge that will contribute to an efficient and transparent alternative investments marketplace. Written by top professionals and academics, The Journal of Alternative Investments is intended to be the leading industry platform for the exchange of original research and practical analysis between money managers of alternative investments and institutional investors employing these alternative investment products in their portfolios.

A sampling of topics in The Journal of Alternative Investments will include:

finding the optimum way to define true performance
what is the standard deviation of a non-marketable investment
why the majority of indices distort real volatility levels
identifying unique manager skills to develop a fund of funds
evaluating the full range of distressed securities: a comparative analysis
Sample Contents:Volume 4, Number 1

Portfolio Evaluation and Benchmark Selection: A Mathematical Programming Approach
Wilkens, Kathryn ; Zhu, Joe
Summer 2001, Volume 4, Number 1, Pages 9 - 20
This paper illustrates a new approach to evaluating portfolios in the context of multiple performance measures. The approach is based upon linear programming techniques and identifies the n-dimensional efficient portfolio frontier. An illustrative example with commodity trading advisor (CTA) returns shows that benchmarks can be identified for each individual portfolio.

Hedge Funds: A Review of Historical Performance
Konberg, Magnus ; Lindberg, Martin
Summer 2001, Volume 4, Number 1, Pages 21 - 32
In recent years, various hedge fund strategies have shown wide swings in returns. In this paper, the authors show that this performance should have been expected. A review of performance under similar economic conditions in the past showed similar results. However, results also show that portfolios using alternative investments are more consistent with future portfolios under a wide range of market environments than portfolios composed only of traditional investments.

Empirical Risk-Return Analysis of Real Estate Investments in the U.S., 1972–1999
Francis, Jack Clark; Ibbotson, Roger G.
Summer 2001, Volume 4, Number 1, Pages 33 - 39
This article reviews empirical risk and return statistics from physical real estate and financial real estate investments made in the U.S. Twenty-seven years of returns from various categories of U.S. real estate are compared and contrasted with concurrent U.S. returns from bonds, gold, silver, common stocks, commodities, and the rate of inflation.

Benefits of Commodity Investment
Georgiev, Georgi
Summer 2001, Volume 4, Number 1, Pages 40 - 48
While various commodity investments performed poorly during the 1990s, in the latter part of the decade, various commodities experienced improved return performance. In this paper, the sources of potential return benefits are reviewed including the impact of commodity volatility on convenience yield.

The Benefits of International Small Capitalization Stocks in a Global Portfolio
Schor, Adam
Summer 2001, Volume 4, Number 1, Pages 49 - 53
Various hedge fund strategies take on equity risk. As a result hedge funds must consider the implications of holding a variety of international equity positions to improve potential risk and return performance.

The Relation Between Return and Volatility in the Commodity Markets
Giamouridis, Daniel G.; Tamvakis, Michael N.
Summer 2001, Volume 4, Number 1, Pages 54 - 62
In this article, results indicate that the relation between return and volatility in the commodity markets is inverse of that observed in the stock markets. The implication is that if the commodity market returns are negatively correlated with those of traditional financial assets, the introduction of commodities in those portfolios may result in the diversification of risk. This may also allow fund managers to hedge their investment portfolios with commodities, thus avoiding the use of more complicated instruments such as options.

Taking Full Advantage of the Statistical Properties of Commodity Investments
Till, Hilary
Summer 2001, Volume 4, Number 1, Pages 63 - 66
It is well documented that the statistical properties of commodities yield important risk-reduction benefits for a portfolio invested mainly in financial assets. It is perhaps less well known that individual commodity strategies can be so uncorrelated that they can significantly dampen the risk of a commodity-only portfolio. In this article, we suggest that investors take full advantage of the unique statistical properties of commodity investments in their portfolios by adding commodity assets to a financial-only portfolio as well as taking full advantage of the correlation properties of commodity strategies within a commodity-only portfolio.

Hedge Fund Indices
Crowder, Garry ; Hennessee, Lee
Summer 2001, Volume 4, Number 1, Pages 67 - 73
While indices are common in the areas of stock and bond investment, in recent years a number of performance indices which track the performance of hedge fund managers have also come into existence. In the following, two individuals with experience in the area of hedge fund index creation offer their views on the index creation process and their own index product.

Performance Measurement in Traditional and Alternative Investment Strategies: A Statistical Review
CISDM, .
Summer 2001, Volume 4, Number 1, Pages 74 - 80
A brief summary of the most common statistical terms and how they relate to the performance evaluation of traditional and alternative portfolios. Nothing of what is presented in this section should be new or shocking to anyone who has ever taken even the most basic of courses in statistics.

Review of Managing Hedge Fund Risk: From the Seat of the Practitioner
Yau, Jot
Summer 2001, Volume 4, Number 1, Pages 81 - 82
In this issue, two books are reviewed which offer fundamental information on new ways of evaluating or determining the risk of managing hedge funds as well as venture capital (Managing Hedge Fund Risk: From the Seat of the Practitioner—Views from Investors, Counterparties, Hedge Funds and Consultants, edited by Virginia Reynolds Parker, Risk Waters Group Ltd., 2000, and Paul Gompers and Josh Lerner’s The Venture Capital Cycle, The MIT Press, 1999).

Review of The Venture Capital Cycle
Yau, Jot
Summer 2001, Volume 4, Number 1, Pages 83 - 84
In this issue, two books are reviewed which offer fundamental information on new ways of evaluating or determining the risk of managing hedge funds as well as venture capital (Managing Hedge Fund Risk: From the Seat of the Practitioner—Views from Investors, Counterparties, Hedge Funds and Consultants, edited by Virginia Reynolds Parker, Risk Waters Group Ltd., 2000, and Paul Gompers and Josh Lerner’s The Venture Capital Cycle, The MIT Press, 1999).

Global Economic Information: Central and Eastern Europe
Licis, Kristaps
Summer 2001, Volume 4, Number 1, Pages 85 - 87
Given the increased interest in investment in central and eastern Europe, this article reviews information relative to economic information in central and eastern European countries.

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