wanganjie

 

The correct answer is C

Hedge funds have demonstrated a lower risk profile than equities when measured by standard deviation. The Sharpe ratio, which is a reward-to-risk ratio, has been higher for hedge funds than for equities. There has been a low correlation between the performance of hedge funds and that of traditional investments. Hedge funds have historically outperformed the S& 500.

wanganjie

 

3、Hedge fund performance data suffers from serious biases that can be attributed to the fact that:

A) hedge funds as an asset class have not been in existence long enough to have meaningful performance data.

B) there is not a reliable index that tracks hedge fund performance.

C) fund managers tend to submit only favorable performance data.

D) hedge funds usually report returns before deducting any fees.

wanganjie

 

 

The correct answer is C

Hedge funds have been in existence since the early 1990’s, long enough to compile meaningful data. There are several reliable indexes designed to track hedge funds. Fund managers, when they do submit data, would report performance net of fees. One of the primary reasons why performance data has biases is that submission is strictly voluntary, so managers tend to only submit impressive performance information.

 

[此贴子已经被作者于2009-7-2 10:47:41编辑过]

wanganjie

 

7、With respect to the diversification that hedge funds can provide in a larger portfolio, it has been found that hedge funds have:

A) not provided much diversification in the past, and their effectiveness will probably decline in the future.

B) provided diversification in the past, and their effectiveness will probably increase in the future.

C) provided diversification in the past, but their effectiveness will probably decline in the future.

D) not provided much diversification in the past, but their effectiveness will probably increase in the future.

wanganjie

 

The correct answer is C

As hedge funds become more institutionalized, their correlation with the market will increase.

wanganjie

 

AIM 5: Discuss consideration that should be made when evaluating hedge fund performance and risk.

1、When comparing the historical returns and volatility of the Credit Suisse/Tremont Hedge Fund index to that of the Standard & Poor’s 500 over the period 1994 to 2006, the Credit Suisse/Tremont Hedge Fund index returns had a:

A) higher return and lower standard deviation. 

B) lower return and lower standard deviation. 

C) higher return and higher standard deviation. 

D) lower return and higher standard deviation. 

wanganjie

 

The correct answer is A

Net of fees, the average annualized hedge fund index and stock index returns were 10.8% and 10.3%, respectively. The standard deviations were 7.8% and 14.5%.

wanganjie

 

The correct answer is B

Both are usual restrictions.

wanganjie

 

5、As a percent of the money invested in hedge funds, funds-of-funds account for:

A) well over half, but not near 100%. 

B) about 100%. 

C) about 30%. 

D) a negligible amount that is near zero. 

wanganjie

 

The correct answer is C

This is the number studies have found.