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LOS t: Explain alpha and beta separation as an approach to active management and demonstrate the use of portable alpha.
Q1. Which of the following is least accurate regarding an alpha and beta separation approach?
A) This approach may obscure investment risks.
B) The alpha position is more costly than the beta position.
C) A portable alpha strategy means that an investor can easily pick up systematic risk through a variety of positions.
Q2. Which of the following would least likely be a component of an alpha and beta separation approach for an investor who is restricted from explicit long-short investing strategies?
A) A long position in a large-cap equity futures contract.
B) A short position in a small-cap equity futures contract.
C) A market neutral hedge fund.
Q3. Which of the following is least likely to be a limitation of an alpha and beta separation approach?
A) The investor may be exposed to systematic risk.
B) It may be difficult to implement in markets.
C) Some long-short strategies may have a degree of systematic risk. | 
发表于 2009-3-9 09:40
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