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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.

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The correct answer is D

Systematic managed futures strategies use computer-based optimization models that incorporate technical factors and indicators to select a high number of trades across many different markets. The high volume results in diversification for the fund and is profitable overall even though it may generate many unprofitable individual trades. Discretionary managed futures strategies base trading decisions on fundamental factors such as anticipated disequilibrium in commodity prices.

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[em57]非常感谢

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好帖子

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[em57]我来了

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学习一下,谢谢楼主

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PMP确实得考,但等我先考了软考再做决定。

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。

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上一主题:[ 2009 FRM Sample Exam ] Market risk measurement and management Q22
下一主题:[求助]F1 P237 1.1.4 Teeming and lading 怎么翻译??