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LOS p, (Part 1): Contrast derivatives-based versus stock-based enhanced indexing strategies.
Q1. How is risk controlled in a stock-based enhanced indexing strategy?
A) Buying puts on equity indices.
B) Selling equity futures contracts.
C) Through monitoring factor risk and industry exposures.
Q2. Which of the following concerning investment strategies is least accurate?
A) Stock-based enhanced indexing strategy can produce higher information ratios because investors can apply their knowledge to a large number of securities.
B) In a long-short, market neutral strategy the benchmark should be the risk-free rate.
C) If a manager does not have an opinion about an index stock in stock-based enhanced indexing strategy, they will not hold the stock. | 
发表于 2009-3-6 18:00
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