[2008]Topic 76: Hedge Funds: Past, Present, and Future 相关习题 bets, guidelines, making, mutual

wanganjie

 

AIM 2: Compare hedge funds with mutual funds.

1、Hedge funds operating in the United States that abide by certain guidelines:

A) gain exemption from most SEC regulations. 

B) may advertise to “accredited” investors.

C) can utilize certain hedging strategies. 

D) avoid restrictions on making macroeconomic bets.

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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.

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.