[2008] Topic 82: Style Drifts: Monitoring, Detection, and Control 相关习题 concerning, investment, particular, statements, effective

gita

 

AIM 1: Compare how investment style is assessed between hedge funds and traditional long-only investments.

1、Which of the following statements concerning hedge fund style analysis is TRUE?

A) Style attributes capture the majority of the characteristics of a particular hedge fund strategy. 

B) Hedge fund investment style is best defined as the risk factors to which the fund is exposed.

C) The most effective way to analyze the style of a hedge fund is to review an up-to-date list of the fund’s holdings.

D) Because of the nature of their investments, style analysis is not appropriate for hedge funds. 

gita

 

The correct answer is B

Because hedge fund managers can use a wide array of asset classes and strategies such as short positions and leverage, hedge fund investment style is best defined as the risk factors to which the fund is exposed. Because a hedge fund manager can use holdings in different ways to create a desired risk exposure, holdings-based analysis is not as effective as it is for traditional long-only managers. Although style does not explain the majority of a hedge fund’s performance (studies show about 20%), style analysis is still important for hedge fund investors.

gita

 

AIM 3: Discuss why hedge fund managers may drift from their original styles.

1、The Peyton Formika Fund is a global macro asset allocation hedge fund designed to provide low correlations with U.S. assets. Dominic James is a fund of hedge funds manager that is analyzing the Peyton Formika Fund for signs of style drift. James makes note of the following findings about the fund:

I. The R2 of the fund versus the global macro peer group has changed from 0.72 to 0.78 over the past 12 months.

II. Due to outstanding returns, assets in the fund have increased from $70 million to $430 million over the past 12 months.

III. The fund made a major shift in allocation by moving 40 percent of its holdings from Eastern European equities to Asian equities.

IV. After a recent trip to India, the fund manager gained confidence in his existing Indian equity holdings and levered his existing 5% weighting in India by a 10 to 1 ratio.

Which of James’ findings are indicators that the Peyton Formika Fund is at risk for style drift?

A) I and II. 

B) II and III. 

C) I, III and IV. 

D) II and IV. 

gita

 

The correct answer is D

Hedge fund style drift occurs when there are changes in the risk factor exposures of the fund or changes in the overall risk of the fund, notably through leverage. Using leverage only for his Indian equity position would definitely be an indicator of style drift. Even though the initial position is small, a 10 to 1 leverage ratio would significantly change the risk of the fund. Excessive cash inflows which may be more money than the manager can sustain is also a potential indicator of style drift. The change in allocation from Eastern European equities to Asian equities is within the objectives of a global allocation fund, so that would not indicate style drift. Also, style drift would be a concern with a decrease, not an increase in the R-squared measure against the peer group.

gita

 

2、Which of the following are ways to detect hedge fund style drift? I. Holdings-based analysis. II. Analyze changes in the market environment. III. Performance attribution analysis. IV. Compare hedge fund performance to the fund’s peer group.

A) I and IV only.

B) II and III only.

C) I, II, III, and IV. 

D) I and III only.

gita

 

The correct answer is C

All of the listed items can help detect hedge fund style drift. Analyzing a fund’s holdings cannot prevent style drifts, but it may help any drifts to be detected more quickly. Both a change in market environment or a dramatic under- or overperformance versus a fund’s peers is a likely signal of style drift. Performance attribution assesses a manager’s performance against various dimensions of risk and can verify if the performance is commensurate with the risks of a manager’s strategy.

linken

谢谢

那一年

谢谢

陶吸坐

圊島魅仂亼玍葆健按摩會所宬竝衧2008哖，夲著品質第①、菔務至仩啲經營理念24H為您提供圊島仩冂按摩菔務。苚莪們啲雙掱為您解除裑吣疲勞，讓您嘚菿裑吣啲愉悅啝放凇；厷司茬宬竝之初噈致仂衧咑造荃圊島嘬專業、嘬健康、嘬貼吣啲葆健品簰菔務，專業提供圊島按摩，圊島仩冂按摩菔務。莪們啲技師嘟媞經過嚴格挑選啲，形潒、気質嘟狠優秀，裑高160-175.哖齡20-30歲，來自茳喃丠。，尛巧玲珑‘薀鍒岢噯、苗條性感、丯滿迷亼等類型啲技師應絠烬絠！②⑩④尛塒菔務電話⑴⑸⑵⑵⑷⑷⑸⑹⑻⑶⑹QQ①⑧⑦③⑦⑧0⑨④②