a right for sharpe
Which of the following is least accurate regarding the completeness fund approach? A) It will increase the misfit return. B) It can be managed passively or semiactively. C) Combining a completeness fund with an active fund will result in risk exposure similar to the benchmark.
C is correct for sharpe ratio. The equation for the Sharpe ratio = (RP − RF) / óP. The Sharpe ratio contains standard deviation in the denominator of the equation which is total risk and is comprised of both systematic risk called beta and unsystematic risk thus the Sharpe ratio does contain a component of beta. A for completeness
Which of the following asset allocation strategies passively assumes that risk tolerance is directly related to wealth levels? A) Buy and hold. B) Constant mix. C) Constant proportion portfolio insurance (CPPI).
A for completeness, correct C) CPPI A portfolio manager has used a Treasury bond futures contract to hedge a mortgage security, which is trading at par, against a decrease in value from a 50 basis point increase in yield. If the yield were to decrease 50 basis points, the most likely result is: A) the net value of the position with the hedge will decline. B) the net value of the position with the hedge will increase. C) the net value of the position with the hedge will not change.
Should be B) Constant Mix
The correct answer was A) Buy and hold. answer is B? This is tricky. Style drift and survivorship bias are often mentioned in the analysis of hedge fund performance. Which of the following statements is most accurate? Fund of funds can serve as better indicators of aggregate hedge fund performance than hedge fund indices because they tend to have a lower level of: A) both survivorship bias and style drift. B) style drift only. C) survivorship bias only.
I can see why the answer is A) Buy and hold - “passively” A) net value will decrease - as yeild decreases, the prepayment option goes in the money and the value of the security does not go up by as much as the value of the short futures position goes down because the futures position has positive convexity. a) both survivorship bias and style drift What is the projected annual increase in global spending for BRIC countries, compared to G6 countries (measured in U.S. dollar terms) by 2050? A) The increase in global spending for BRIC countries should be two times as large. B) The increase in global spending for BRIC countries should be equal. C) The increase in global spending for BRIC countries should be four times as large.
c for survivorship bias only. c for global spending to increase 4 times as large.