[2008] Topic 80: Benchmarking Hedge Fund Performance 相关习题 relevant, returns, excess, market

gita

 

AIM 1: Discuss the challenges of benchmarking alpha returns.

1、In benchmarking hedge fund performance, returns due to managerial skill are best measured as the return in excess of the:

A) risk-free return.

B) return to a global market portfolio.

C) return to a comprehensive index of hedge funds.

D) risk-free return and relevant risk premia.

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gita

 

The correct answer is B

Backfilling refers to the practice of inserting the past performance of a new fund into the index, distorting the performance history of the index. Survivorship bias occurs when an unsuccessful fund is dropped from an index, causing the index to be more representative of funds with positive performance. Time-period bias occurs when the time period over which the index has been calculated is not representative of performance in a variety of market conditions.

gita

 

3、Which of the following is NOT an attribute of a good hedge fund index?

A) Based on reliable, verifiable information.

B) Transparent methodology.

C) Representative of the top performing funds in the asset class.

D) Easily replicated by a third party.

gita

 

The correct answer is C

The asset class should be completely covered, with all managers and strategies represented in the index.

gita

 

AIM 2: Identify the attributes of a good hedge fund index and discuss the problems with existing hedge fund indexes.

1、Which of the following statements does NOT describe existing hedge fund indices?

A) Index construction criteria sometimes include subjective asset weighting schemes. 

B) Indices are often difficult to replicate. 

C) Methodologies are often not transparent. 

D) The criteria used to assemble indices are highly uniform.

gita

 

The correct answer is D

The criteria used to assemble indices vary widely. The use of subjective criteria in index construction often results in a lack of transparency and indices that are difficult to replicate.

gita

 

2、Which of the following performance biases are likely when a fund is deleted from a hedge fund index and replaced with another fund?

I.           Backfilling bias.

II.         Survivorship bias.

III.        Time-period bias.

A) I and III.

B) I and II.

C) II and III.

D) I, II and III.