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LOS b: Compare and contrast the use of market indexes, hedge fund indexes, and positive risk-free rates as means to evaluating hedge fund performance.
Q1. Which of the following would be the most appropriate benchmark to use for hedge fund evaluation?
A) The S& 500.
B) The risk-free rate.
C) A multifactor model.
Q2. Which of the following is most accurate in describing the problems of survivorship bias and backfill bias in the performance evaluation of hedge funds?
A) Survivorship bias and backfill bias both result in downwardly biased hedge fund index returns.
B) Survivorship bias and backfill bias both result in upwardly biased hedge fund index returns.
C) Survivorship bias results in upwardly biased hedge fund index returns, but backfill bias results in downwardly biased hedge fund index returns.
Q3. Which of the following is least accurate regarding hedge fund performance evaluation?
A) The S& 500 is the most appropriate index for a market neutral equtiy hedge fund.
B) Serial correlation in hedge fund data results in artificially low standard deviations for hedge fund indicies.
C) Although a hedge fund can lever up to 20 times its capital, the benchmark is not usually adjusted to reflect the amount of leverage a manager uses.
Q4. Which of the following hedge fund types is most likely to have a return that is closest to risk-free?
A) An event driven hedge fund.
B) A market neutral hedge fund.
C) A long/short hedge fund. | 
发表于 2009-3-10 14:01
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