wanganjie

 

AIM 5: Discuss consideration that should be made when evaluating hedge fund performance and risk.

1、When comparing the historical returns and volatility of the Credit Suisse/Tremont Hedge Fund index to that of the Standard & Poor’s 500 over the period 1994 to 2006, the Credit Suisse/Tremont Hedge Fund index returns had a:

A) higher return and lower standard deviation. 

B) lower return and lower standard deviation. 

C) higher return and higher standard deviation. 

D) lower return and higher standard deviation. 

wanganjie

 

The correct answer is A

Net of fees, the average annualized hedge fund index and stock index returns were 10.8% and 10.3%, respectively. The standard deviations were 7.8% and 14.5%.

wanganjie

 

2、Which of the following statements regarding hedge fund performance is FALSE?

A) Hedge funds have demonstrated a lower risk profile than traditional equity investments.

B) The Sharpe ratio for hedge funds has been consistently higher than for most traditional equity investments.

C) Hedge funds have historically underperformed the S& 500.

D) There is a low correlation between the performance of hedge funds and traditional investments.

wanganjie

 

The correct answer is C

Hedge funds have demonstrated a lower risk profile than equities when measured by standard deviation. The Sharpe ratio, which is a reward-to-risk ratio, has been higher for hedge funds than for equities. There has been a low correlation between the performance of hedge funds and that of traditional investments. Hedge funds have historically outperformed the S& 500.

wanganjie

 

3、Hedge fund performance data suffers from serious biases that can be attributed to the fact that:

A) hedge funds as an asset class have not been in existence long enough to have meaningful performance data.

B) there is not a reliable index that tracks hedge fund performance.

C) fund managers tend to submit only favorable performance data.

D) hedge funds usually report returns before deducting any fees.

wanganjie

 

 

The correct answer is C

Hedge funds have been in existence since the early 1990’s, long enough to compile meaningful data. There are several reliable indexes designed to track hedge funds. Fund managers, when they do submit data, would report performance net of fees. One of the primary reasons why performance data has biases is that submission is strictly voluntary, so managers tend to only submit impressive performance information.

 

[此贴子已经被作者于2009-7-2 10:47:41编辑过]

wanganjie

 

AIM 6: Summarize the empirical research on hedge fund performance.

1、The serial correlation of a hedge fund’s returns is usually:

A) negative and is considered evidence of managers massaging their returns data. 

B) positive and is caused by low liquidity. 

C) positive and is considered evidence of managers massaging their returns data. 

D) negative and is caused by low liquidity. 

wanganjie

 

The correct answer is C

The positive serial correlation is considered evidence of managers massaging their reported returns in that they are probably trying to reduce the period-to-period variability of the returns.

linken

谢谢楼主

binsi

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