标题: Reading 34: Alternative Investm....olio Management－LOS t [打印本页]
作者: tycoon 时间: 2008-9-16 14:38 标题: [2008] Session 11－Reading 34: Alternative Investm....olio Management－LOS t
CFA Institute Area 8-11, 13: Asset Valuation
Session 11: Alternative Investments for Portfolio Management
Reading 34: Alternative Investments Portfolio Management
LOS t: Explain the market opportunities that may be exploited to earn excess returns in derivative markets that are otherwise zero-sum games.
作者: tycoon 时间: 2008-9-16 14:39
Actively managed derivative-based hedge funds try to earn excess returns by:
| A) | finding pricing relationships that are not in equilibrium only. |
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| B) | following momentum strategies only. |
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| C) | neither finding pricing relationships that are not in equilibrium nor by following momentum strategies. |
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D) | finding pricing relationships that are not in equilibrium or by following momentum strategies. |
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Answer and Explanation
Actively managed funds do try to earn excess returns by finding cases where pricing relationships are not in equilibrium or by following momentum strategies.
作者: tycoon 时间: 2008-9-16 14:39
Actively managed derivative-based hedge funds can:
| A) | only earn the risk-free rate over the long-term. |
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B) | earn a risk premium by taking the opposite position to investors hedging cash portfolios. |
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| C) | only earn a zero rate of return over the long-term. |
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| D) | only earn a negative return over the long-term. |
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Answer and Explanation
This is one of the sources of a risk premium along with using momentum and other strategies.
作者: tycoon 时间: 2008-9-16 14:40
Which of the following statements concerning derivative portfolios is most accurate?
| A) | The gross long-term return on actively managed and levered derivative portfolios should be the risk-free rate because derivatives are zero-sum games. |
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B) | The gross long-term return on passively managed and unlevered derivative portfolios should be the risk-free rate because derivatives are zero-sum games. |
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| C) | The gross long-term return on passively managed and levered derivative portfolios should be the risk-free rate because the market for derivatives is heavily regulated. |
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| D) | The gross long-term return on actively managed and unlevered derivative portfolios should be the risk-free rate because the market for derivatives is heavily regulated. |
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Answer and Explanation
This is one of the realities of derivative investing. Thus the active manager must use active strategies and leverage to earn a premium above the risk-free rate.
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