wanganjie

 

2、Which of the following hedge fund styles has experienced high measures for the Sharpe ratio and serial correlation?

A) Convertible Arbitrage.

B) Long/Short Equity Hedge.

C) Dedicated Short Bias.

D) Managed Futures.

wanganjie

 

The correct answer is A

The Convertible Arbitrage funds have the highest relative performance using the Sharpe measure; however, funds with this style also have high positive serial correlation.

wanganjie

 

3、Based on historical relative performance measures for hedge fund strategies, which of the following funds are characterized as having low relative performance?

I.           Convertible Arbitrage.

II.         Dedicated Short Bias.

III.        Fixed Income Arbitrage.

IV.      Event Driven.

A) I only.

B) II only.

C) I and II.

D) I, III and IV.

wanganjie

 

The correct answer is B

The Dedicated Short Bias and the Managed Futures hedge fund styles have the lowest Sharpe ratios.

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AIM 3: Analyze the sources of hedge fund return variance when the performance is assessed in a multifactor model.

1、Each source of return variance for a hedge fund should yield which of the following?

A) Risk factor.

B) Sharpe Ratio.

C) A linear clone.

D) Risk premium.

wanganjie

 

The correct answer is D

There exist multiple sources of risk, and each source of risk should generate a risk premium including a risk-based alpha.

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AIM 4: Explain the relative performance of various hedge fund strategies based on factor analysis.

1、Which of the following hedge fund style categories has experienced the highest mean value for manager-specific alpha?

A) Convertible Arbitrage.

B) Fund of Funds.

C) Equity Market Neutral.

D) Emerging Markets.

wanganjie

 

The correct answer is D

The Emerging Markets style category has the highest intercept (i.e., manager-specific alpha) of 1.41, compared to the second highest, which is the Event Driven at 0.93, and the lowest, which is Managed Futures at 0.42.

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2、An Equity Market Neutral style hedge fund is most likely to have a factor exposure to the market with which of the following values?

A) ?1.0.

B) 0.5.

C) 0.0.

D) 1.0.

wanganjie

 

The correct answer is C

The Equity Market Neutral strategy style funds’ coefficient on the S& 500 risk factor is expected to be close to zero.