[CFA level 1模拟真题]Version 4 Questions－Q50 face, successful, continued, database, standard

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Q50. An analyst compared the performance of a hedge fund index with the performance of a major stock index over the past eight years. She noted that the hedge fund index (created from a database) had a higher average return, higher standard deviation, and higher Sharpe ratio than the stock index. All the successful funds that have been in the hedge fund database continued to accept new money over the eight-year period. Are the average return and the standard deviation, respectively, for the hedge fund index most likely overstated or understated?

	Average return for the hedge fund index	Standard deviation for the hedge fund index
A	Overstated	Overstated
B	Overstated	understated
C	understated	Overstated
D	understated	understated

 

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答案和详解如下：

Q50.  B  Study Session  18-79-r

Survivorship bias affects both the returns and the risk (standard deviation) reported for the hedge funds. Hedge funds with low or negative returns will be excluded from the index as ill funds with high volatility; those funds will not survive for eight years. If only the successful funds remain in the index, the returns are overstated and risk is understated. Overstated returns and understated risk will both tend to overstate the Sharpe ratio.

LEEFEI571

选B

水模样

over under

fantasy_ln

see

jungle1009

see

ondesert

b

technet

b

stonede

kk

Linda_SCB

H