[2008] Topic 79: Individual Hedge Fund Strategies 相关习题 structure, including, long, category

gita

 

AIM 1: Describe various hedge fund strategies, including equity long/short, market-neutral, pair trading, market timing, short-selling, event-driven, distressed securities, Regulation D, and global macro as well as arbitrage strategies, including convertible, fixed-income, volatility, capital structure, merger.

1、A hedge fund that focuses on earning returns from mergers, spin-offs, and takeovers would be most accurately placed in which style category?

A) Equity market neutral. 

B) Hedged equity.

C) Global macro. 

D) Merger arbitrage. 

hp1876

PMP确实得考，但等我先考了软考再做决定。去智鼎东方瞧瞧看。

xoap3440

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alabi

学习一下，谢谢楼主

那一年

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neda

好帖子

linken

[em57]非常感谢

gita

 

30、Which of the following statements regarding various hedge fund strategies least accurately reflects a source of return for the strategy?

A) Equity long/short strategies earn returns from their exposure to systematic risk factors related to value and small-cap stocks.

B) Volatility arbitrage strategies earn returns from mispricings on fixed-income options resulting in accurate implied volatility estimates.

C) Regulation D strategies earn returns from their exposure to unsystematic risk factors related to credit and liquidity risk resulting from private placement.

D) Event-driven strategies earn returns from their exposure to unsystematic risk factors such as an expected merger or the expected outcome of a lawsuit.

gita

 

The correct answer is C

Regulation D strategies are exposed systematic risk factors related to credit risk and liquidity risk. These risks arise as a result of the lower credit quality of private convertible debt issuers and the fact that private convertible debt securities are not tradable in the public market for some time after the issuance.

gita

 

AIM 3: Differentiate between systematic and discretionary managed futures strategy.

Which of the following statements correctly describe characteristics of a systematic managed futures hedge fund strategy? Systematic managed futures strategies:

      I. include trend following that utilizes a high volume of trades, many of which are unprofitable.

     II. base trading decisions on fundamental changes such as an anticipated disequilibrium in commodity prices.

    III. are exposed to the risk of over-fitting the optimization model used to select trades.

    IV. select trades based on computer models that incorporate technical factors.

A) I, II and III.

B) I and II.

C) I only.

D) I, III and IV.