wanganjie

 

The correct answer is Bfficeffice" />

Statements I and II are correct. Returns can be increasing as the market moves up or down, due to the fund’s short positions. Also, hedge funds in the TASS database voluntarily provide their information.

 

wanganjie

 

5、Which of the following statement best describes a long/short strategy?

A) Trading an equal dollar amount of long and short positions.

B) Buying the previous periods winners.

C) Buying the previous periods losers.

D) Long firm A’s stock, short firm A’s bonds.

wanganjie

 

The correct answer is A

Although many different forms of the long/short strategy exist, long/short involves trading an equal dollar amount of long and short positions.

wanganjie

 

The correct answer is C

The cumulative three-day loss for August 7 through August 9, 2007 for a simulated long/short market neutral equity strategy was -6.85%, followed by a 5.92% reversal on August 10, 2007 for the full sample of simulated data.

wanganjie

 

2、Which of the following statements is (are) CORRECT regarding hedge fund categories?

I.           The long/short equity is the broadest class.

II.         Statistical arbitrage entails a focused number of securities.

III.        Quantitative equity market-neutral is more focused than Statistical Arbitrage.

A) II only.

B) II and III.

C) I only.

D) I, II and III.

wanganjie

 

The correct answer is C

Statement I is correct. Long/short is the broadest class (in fact all of the strategies can be described as some form of long/short). Statistical arbitrage entails a broad number of securities. Quantitative equity market neutral is broader than statistical arbitrage.

wanganjie

 

3、Hedge funds are classified into many different categories depending upon the fund’s strategy. Evaluate which of the following statements are CORRECT regarding hedge fund trading strategies.

I.           Statistical arbitrage funds trade a large amount of securities, use extremely brief holding periods, and use large infrastructure involving calculations, computer trades and technical trading systems.

II.         Quantitative equity market-neutral is broader in scope than statistical arbitrage, as it involves more quantitative models, not as many securities, forecasts of earnings, and economic indicators.

III.        Long/short equity encompasses the most portfolios, those that use short selling, and are indiscriminate of being market-neutral, quantitative, or technology-based. This category of funds is the largest both in terms of market value and number of funds.

IV.      Quantitative-based 130/30 strategy (or active extension strategy) funds are the fastest growing. Funds in this subsection allow a limited divergence from the traditional long-only strategy. These funds are generally assembled by a quantitative mechanism.

A) I, III and IV.

B) II, III and IV.

C) I, II and III.

D) I, II, III and IV.

wanganjie

 

The correct answer is D

All of the statements are correct.

wanganjie

 

The correct answer is A

The market events of August 2007 are similar to the market events of August 1998 when Russia defaulted on its GKO government bonds that led to a global flight to quality and the fall of Long-Term Capital Management (LTCM).

wanganjie

 

6、Which of the following statements best describes hedge funds use of leverage?

A) No hedge funds use leverage.

B) Only statistical arbitrage funds use leverage.

C) Only equity market-neutral funds use leverage.

D) Most hedge funds use leverage.