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发表于 2008-9-17 17:15 | 只看该作者

Reading 43: Evaluating Portfolio Performance－LOS j

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CFA Institute Area 3-5, 7, 12, 14-18: Portfolio Management
Session 16: Performance Evaluation and Attribution
Reading 43: Evaluating Portfolio Performance
LOS j: Discuss the issues in assigning benchmarks to hedge funds.
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tycoon

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发表于 2008-9-17 17:16 | 只看该作者

Which of the following would be regarded as the least appropriate method to measure the performance of a hedge fund?

A)Separate long/short benchmarks.
B)The Sharpe ratio.
C)
Relative performance comparisons with traditional benchmarks.
D)Value added return.

Answer and Explanation

Value added return is the excess return on a long short portfolio where the weights sum to zero. Construct a separate long and short benchmark, which can then be combined together in their relevant proportions. The Sharpe ratio compares the return to risk free rather than a benchmark. Relative performance using traditional benchmarks is the least appropriate given hedge funds concentration on absolute returns and the lack of reliable traditional benchmarks.

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tycoon

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3#
发表于 2008-9-17 17:17 | 只看该作者

With regard to the use of value added return in the measurement of hedge fund performance, which of the following statements is TRUE?

A)To replicate a zero net asset hedge fund the weights must add to 1.0, that is equal to a market exposure.
B)
Value added return is simply the difference between the portfolio return and the benchmark return.
C)Although weights sum to zero a return is calculated by summing the performance impacts of the individual long positions.
D)Value added return is calculated as the difference between the portfolio return, given benchmark weightings, and the actual portfolio return.

Answer and Explanation

The portfolio return is not restated to compensate for weighting differences. To replicate a zero net asset hedge fund the weights must add to zero, not 1.0. Calculation of return is achieved by summing the individual long and short positions.

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