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LOS f, (Part 2): Evaluate the advantages and disadvantages of alternative types of performance benchmarks.
Q1. Custom security-based benchmarks reflect the manager’s investment universe, weighted to reflect a particular approach. Which of the following is NOT an advantage of this type of benchmark?
A) Allows fund sponsors to effectively allocate risk across investment management teams.
B) It meets all the required benchmark properties and all of the benchmark validity criteria.
C) It is cheap to construct and easy to maintain.
Q2. All of the following would be regarded as a specific disadvantage of factor-based-models, EXCEPT:
A) the manager’s style may deviate from the style reflected in the benchmark.
B) it is possible to construct multiple benchmarks, all having the same factor exposures but with different returns.
C) the benchmark may not be investable.
Q3. Which of the following statements about style indexes is FALSE?
A) Some style indexes can contain weightings in certain securities and/or sectors that may be larger than considered prudent.
B) They are widely available, widely understood and widely accepted.
C) They help fund sponsors better understand a manager’s investment style, by capturing factor exposures. | 
发表于 2009-4-10 13:38
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