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LOS e: Discuss the construction and interpretation of benchmarks and the problem of benchmark bias in alternative investment groups.
Q1. With respect to weighting schemes for hedge fund indices, the weighting schemes:
A) can be either equally weighted or based upon assets under management.
B) are always based upon assets under management.
C) are always equally weighted.
Q2. With respect to commodities and managed futures, which have investable indices?
A) Both commodities and managed futures.
B) Neither commodities nor managed futures.
C) Commodities but not managed futures.
Q3. Real estate has the National Council of Real Estate Investment Fiduciaries (NCREIF) Property Index as its principal benchmark. Which of the following is most accurate?
A) The volatility of the index has a downward bias.
B) The volatility of the index has an upward bias.
C) The average return of the index has an upward bias.
Q4. With respect to hedge fund indices, back-fill bias refers to:
A) the increased inflow of investments to a given fund in an index right after the style of the index has performed well.
B) a hedge fund manager filling in historical values of his/her hedge fund’s performance when the fund has been selected to be included in an index.
C) modifying the historical series of the index by replacing the historical returns of recently dropped funds with the historical returns of new funds added to the index.
Q5. With respect to hedge fund indices, survivorship bias:
A) can be as high as 1.5% to 3% and is probably high for event-driven strategies and lower for hedged-equity strategies.
B) can be as high as 1.5% to 3% and is probably low for event-driven strategies and higher for hedged-equity strategies.
C) can be as high as 3% to 5% and is probably high for event-driven strategies and lower for hedged-equity strategies.
Q6. One problem in creating a private equity index is the:
A) infrequent repricing of the components.
B) issue of leverage and how to deal with it.
C) problems with defining what constitutes a private equity investment. | 
发表于 2009-3-11 09:24
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