标题: Reading 43: Evaluating Portfolio Performance－LOS j [打印本页]
作者: tycoon 时间: 2008-9-17 17:15 标题: [2008] Session 16- Reading 43: Evaluating Portfolio Performance－LOS j
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.
作者: tycoon 时间: 2008-9-17 17:16
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. |
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C) | Relative performance comparisons with traditional benchmarks. |
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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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作者: tycoon 时间: 2008-9-17 17:17
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. |
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B) | Value added return is simply the difference between the portfolio return and the benchmark return. |
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| C) | Although weights sum to zero a return is calculated by summing the performance impacts of the individual long positions. |
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| D) | Value added return is calculated as the difference between the portfolio return, given benchmark weightings, and the actual portfolio return. |
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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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