wanganjie

 

3、Hedge funds with the Emerging Markets style are most likely to be exposed to which of the following:

I.           long stocks.

II.         long U.S. Dollar.

III.        short stocks.

IV.      short U.S. Dollar.

A) II and III.

B) I and IV.

C) IV only.

D) II only.

wanganjie

 

The correct answer is B

Emerging Markets style funds’ primary exposures are: long stocks, short U.S. Dollar, long credit spread, and long commodities.

wanganjie

 

4、Which of the following hedge fund style categories has experienced the highest on average contribution from the manager-specific alpha to the category’s mean return?

A) Emerging Markets.

B) Dedicated Short Bias.

C) Convertible Arbitrage.

D) Equity Market Neutral.

wanganjie

 

The correct answer is B

The managers of the Dedicated Short Bias style category are shown to contribute the most to the expected rate of returns (225.6% contribution by manger-specific alpha).

wanganjie

 

5、Which of the following hedge fund style categories has experienced the lowest on average contribution from the manager-specific alpha to the category’s mean return?

A) Convertible Arbitrage.

B) Emerging Markets.

C) Dedicated Short Bias.

D) Equity Market Neutral.

wanganjie

 

The correct answer is A

The Convertible Arbitrage style managers on average have a negative contribution to expected return (?33.3%).

wanganjie

 

6、Which of the following hedge fund style categories has over 75% of the total return for the style category that contributed to the manager-specific alpha?

I.           Dedicated Short Bias.

II.         Convertible Arbitrage.

III.        Multistrategy.

IV.      Emerging Market.

V.        Equity Neutral.

A) I, II, III, IV and V.

B) I, III, IV and V.

C) I, IV and V.

D) II and III.

wanganjie

 

The correct answer is B

The Convertible Arbitrage style manager’s on average have a negative contribution to expected return (?33.3%). All of the following have contributions to expected returns that are greater than 70%: Dedicated Short Bias (225.6%), Equity Market Neutral (80.8%), Event Driven (79.0%), Multi-Strategy (78.9%), Emerging Markets (78.3%), Fixed Income Arbitrage (71.1%), Fund of Funds (71.1%) and Long/Short Equity Hedge (70.5%).

wanganjie

 

7、Which of the following hedge fund style categories is most likely to experience a factor risk associated with bonds?

A) Convertible Arbitrage.

B) Emerging Markets.

C) Fund of Funds.

D) Long/Short Equity Hedge.

wanganjie

 

The correct answer is A

Convertible Arbitrage style funds’ returns have three main factors:

1、   long credit spread.

2、   long bonds.

3、   long volatility.

Convertible Arbitrage funds, along with Managed Futures, have a large portion of their respective total returns contributed from the bond risk-factor, 34.9% and 53.8%, respectively.