Which of the following concerning investment strategies is least accurate? | A) | Stock-based enhanced indexing strategy can produce higher information ratios because investors can apply their knowledge to a large number of securities. |
| | B) | In a long-short, market neutral strategy the benchmark should be the risk-free rate. |
| C) | If a manager does not have an opinion about an index stock in stock-based enhanced indexing strategy, they will not hold the stock. |
| | D) | Growth portfolios will have higher turnover than value portfolios. |
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Answer and Explanation
If a manager does not have an opinion about an index stock in a stock-based enhanced indexing strategy, they will hold the stock at the same level as the benchmark. Stock-based enhanced indexing strategies can produce higher information ratios because the investor can systematically apply his knowledge to a large number of securities, each of which would require independent decisions. Because a long-short, market neutral strategy has no systematic risk, its benchmark should be the risk-free rate (the return on T-bills).
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发表于 2008-9-16 10:37
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