wanganjie

 

The correct answer is B

The Convertible Arbitrage style manager’s on average have a negative contribution to expected return (?33.3%). All of the following have contributions to expected returns that are greater than 70%: Dedicated Short Bias (225.6%), Equity Market Neutral (80.8%), Event Driven (79.0%), Multi-Strategy (78.9%), Emerging Markets (78.3%), Fixed Income Arbitrage (71.1%), Fund of Funds (71.1%) and Long/Short Equity Hedge (70.5%).

wanganjie

 

7、Which of the following hedge fund style categories is most likely to experience a factor risk associated with bonds?

A) Convertible Arbitrage.

B) Emerging Markets.

C) Fund of Funds.

D) Long/Short Equity Hedge.

wanganjie

 

3、Hedge funds with the Emerging Markets style are most likely to be exposed to which of the following:

I.           long stocks.

II.         long U.S. Dollar.

III.        short stocks.

IV.      short U.S. Dollar.

A) II and III.

B) I and IV.

C) IV only.

D) II only.

wanganjie

 

The correct answer is B

Emerging Markets style funds’ primary exposures are: long stocks, short U.S. Dollar, long credit spread, and long commodities.

wanganjie

 

4、Which of the following hedge fund style categories has experienced the highest on average contribution from the manager-specific alpha to the category’s mean return?

A) Emerging Markets.

B) Dedicated Short Bias.

C) Convertible Arbitrage.

D) Equity Market Neutral.

wanganjie

 

The correct answer is B

The managers of the Dedicated Short Bias style category are shown to contribute the most to the expected rate of returns (225.6% contribution by manger-specific alpha).

wanganjie

 

5、Which of the following hedge fund style categories has experienced the lowest on average contribution from the manager-specific alpha to the category’s mean return?

A) Convertible Arbitrage.

B) Emerging Markets.

C) Dedicated Short Bias.

D) Equity Market Neutral.

wanganjie

 

The correct answer is D

There exist multiple sources of risk, and each source of risk should generate a risk premium including a risk-based alpha.

wanganjie

 

AIM 4: Explain the relative performance of various hedge fund strategies based on factor analysis.

1、Which of the following hedge fund style categories has experienced the highest mean value for manager-specific alpha?

A) Convertible Arbitrage.

B) Fund of Funds.

C) Equity Market Neutral.

D) Emerging Markets.

wanganjie

 

The correct answer is D

The Emerging Markets style category has the highest intercept (i.e., manager-specific alpha) of 1.41, compared to the second highest, which is the Event Driven at 0.93, and the lowest, which is Managed Futures at 0.42.