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tycoon

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发表于 2008-9-16 14:59 | 只看该作者

With respect to weighting schemes for hedge fund indices, the weighting schemes:

A)are always equally weighted.
B)are always based upon assets under management.
C)are based upon neither an equal weighting nor assets under management.
D)
can be either equally weighted or based upon assets under management.

Answer and Explanation

Weighting schemes are usually either equally weighted or based upon assets under management.

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tycoon

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发表于 2008-9-16 14:59 | 只看该作者

Reading 34: Alternative Investm.... Management－LOS old v

CFA Institute Area 8-11, 13: Asset Valuation
Session 11: Alternative Investments for Portfolio Management
Reading 34: Alternative Investments Portfolio Management
LOS old v: Discuss the limitations of using hedge fund indices in analyzing hedge fund performance analysis.
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tycoon

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3#
发表于 2008-9-16 15:00 | 只看该作者

With respect to hedge fund indices, survivorship bias:

A)can be as high as 1.5% to 3% and is probably high for event-driven strategies and lower for hedged-equity strategies.
B)
can be as high as 1.5% to 3% and is probably low for event-driven strategies and higher for hedged-equity strategies.
C)does not exist for either event-driven strategies or hedged-equity strategies.
D)can be as high as 3% to 5% and is probably high for event-driven strategies and lower for hedged-equity strategies.

Answer and Explanation

Survivorship bias is a big problem for these indices. Indices may drop funds with poor track records or that fail, and this will overestimate returns in the overall market. Studies have shown that the bias can be as high as 1.5% to 3% per year. The degree of survivorship bias varies among the hedge-fund strategies. It is probably low for event-driven strategies and higher for hedged-equity strategies.

[此贴子已经被管理员于2008-9-18 16:55:34编辑过]

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tycoon

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4#
发表于 2008-9-16 15:00 | 只看该作者

With respect to hedge fund indices, back-fill bias refers to:

A)the increased inflow of investments to a given fund in an index right after the style of the index has performed well.
B)the ad-hoc adjustments made to an equally-weighted hedge fund index for short-term changes in the market value of the funds in the index.
C)
a hedge fund manager filling in historical values of his/her hedge funds performance when the fund has been selected to be included in an index.
D)modifying the historical series of the index by replacing the historical returns of recently dropped funds with the historical returns of new funds added to the index.

Answer and Explanation

Biases often exist in hedge fund indices because of the self-reporting of fund returns. This can apply to returns as they are earned or when filling in gaps in the historical data. The inclination is to over report. Backfill or inclusion bias is the name of the potential bias when a hedge fund joins an index and the manager adds historical data to complete the series.

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