P2.T8. Investment Management

Practice questions for investment management and risk management

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  1. Nicole Seaman

    P2.T8.706. Alpha, style analysis and the risk anomaly (Ang)

    Learning objectives: Explain how to measure time-varying factor exposures and their use in style analysis. Describe issues that arise when measuring alphas for nonlinear strategies. Compare the volatility anomaly and beta anomaly, and analyze evidence of each anomaly. Describe potential explanations for the risk anomaly. Questions: 706.1. In order to evaluate the performance of its funds,...
    Learning objectives: Explain how to measure time-varying factor exposures and their use in style analysis. Describe issues that arise when measuring alphas for nonlinear strategies. Compare the volatility anomaly and beta anomaly, and analyze evidence of each anomaly. Describe potential explanations for the risk anomaly. Questions: 706.1. In order to evaluate the performance of its funds,...
    Learning objectives: Explain how to measure time-varying factor exposures and their use in style analysis. Describe issues that arise when measuring alphas for nonlinear strategies. Compare the volatility anomaly and beta anomaly, and analyze evidence of each anomaly. Describe potential...
    Learning objectives: Explain how to measure time-varying factor exposures and their use in style analysis. Describe issues that arise when measuring alphas for nonlinear strategies. Compare the...
    Replies:
    0
    Views:
    7
  2. Nicole Seaman

    P2.T8.705. Berkshire Hathaway versus its benchmark (Ang)

    Learning objectives: Describe Grinold’s fundamental law of active management, including its assumptions and limitations, and calculate the information ratio using this law. Apply a factor regression to construct a benchmark with multiple factors, measure a portfolio’s sensitivity to those factors and measure alpha against that benchmark. Questions: 705.1. Below are displayed the actual...
    Learning objectives: Describe Grinold’s fundamental law of active management, including its assumptions and limitations, and calculate the information ratio using this law. Apply a factor regression to construct a benchmark with multiple factors, measure a portfolio’s sensitivity to those factors and measure alpha against that benchmark. Questions: 705.1. Below are displayed the actual...
    Learning objectives: Describe Grinold’s fundamental law of active management, including its assumptions and limitations, and calculate the information ratio using this law. Apply a factor regression to construct a benchmark with multiple factors, measure a portfolio’s sensitivity to those...
    Learning objectives: Describe Grinold’s fundamental law of active management, including its assumptions and limitations, and calculate the information ratio using this law. Apply a factor...
    Replies:
    0
    Views:
    7
  3. Nicole Seaman

    P2.T8.704. Alpha and effective benchmarks (Andrew Ang)

    Learning objectives: Describe and evaluate the low-risk anomaly of asset returns. Define and calculate alpha, tracking error, the information ratio, and the Sharpe ratio. Explain the impact of benchmark choice on alpha, and describe characteristics of an effective benchmark to measure alpha. Questions: 704.1. Below is the regression output of a portfolio's excess returns against its...
    Learning objectives: Describe and evaluate the low-risk anomaly of asset returns. Define and calculate alpha, tracking error, the information ratio, and the Sharpe ratio. Explain the impact of benchmark choice on alpha, and describe characteristics of an effective benchmark to measure alpha. Questions: 704.1. Below is the regression output of a portfolio's excess returns against its...
    Learning objectives: Describe and evaluate the low-risk anomaly of asset returns. Define and calculate alpha, tracking error, the information ratio, and the Sharpe ratio. Explain the impact of benchmark choice on alpha, and describe characteristics of an effective benchmark to measure...
    Learning objectives: Describe and evaluate the low-risk anomaly of asset returns. Define and calculate alpha, tracking error, the information ratio, and the Sharpe ratio. Explain the impact of...
    Replies:
    0
    Views:
    13
  4. Nicole Seaman

    P2.T8.703. Value, size and momentum investing (Andrew Ang)

    Learning objectives: Assess methods of mitigating volatility risk in a portfolio, and describe challenges that arise when managing volatility risk. Explain how dynamic risk factors can be used in a multifactor model of asset returns, using the Fama-French model as an example. Compare value and momentum investment strategies, including their risk and return profiles. Questions: 703.1. Andrew...
    Learning objectives: Assess methods of mitigating volatility risk in a portfolio, and describe challenges that arise when managing volatility risk. Explain how dynamic risk factors can be used in a multifactor model of asset returns, using the Fama-French model as an example. Compare value and momentum investment strategies, including their risk and return profiles. Questions: 703.1. Andrew...
    Learning objectives: Assess methods of mitigating volatility risk in a portfolio, and describe challenges that arise when managing volatility risk. Explain how dynamic risk factors can be used in a multifactor model of asset returns, using the Fama-French model as an example. Compare value and...
    Learning objectives: Assess methods of mitigating volatility risk in a portfolio, and describe challenges that arise when managing volatility risk. Explain how dynamic risk factors can be used in...
    Replies:
    0
    Views:
    6
  5. Nicole Seaman

    P2.T8.702. Macroeconomic risk factors including growth, inflation and volatility (Andrew Ang)

    Hi @gwfrm16 Yes, indeed, our mistake. Thank you for noticing. I have corrected the answer to reflect the true version of the statement (ie, that all asset classes are worse under high inflation): "702.1. C. False. To be true, this should instead read: During periods of high inflation, all five asset classes perform significantly WORSE than during periods of low inflation." and added the...
    Hi @gwfrm16 Yes, indeed, our mistake. Thank you for noticing. I have corrected the answer to reflect the true version of the statement (ie, that all asset classes are worse under high inflation): "702.1. C. False. To be true, this should instead read: During periods of high inflation, all five asset classes perform significantly WORSE than during periods of low inflation." and added the...
    Hi @gwfrm16 Yes, indeed, our mistake. Thank you for noticing. I have corrected the answer to reflect the true version of the statement (ie, that all asset classes are worse under high inflation): "702.1. C. False. To be true, this should instead read: During periods of high inflation, all five...
    Hi @gwfrm16 Yes, indeed, our mistake. Thank you for noticing. I have corrected the answer to reflect the true version of the statement (ie, that all asset classes are worse under high inflation):...
    Replies:
    2
    Views:
    24
  6. Nicole Seaman

    P2.T8.701. Multifactor models (Andrew Ang)

    Learning objectives: Describe multifactor models, and compare and contrast multifactor models to the CAPM. Explain how stochastic discount factors are created and apply them in the valuation of assets. Describe efficient market theory and explain how markets can be inefficient. Questions: 701.1. In introducing multifactor models, Andrew Ang explains that "to capture the composite bad times...
    Learning objectives: Describe multifactor models, and compare and contrast multifactor models to the CAPM. Explain how stochastic discount factors are created and apply them in the valuation of assets. Describe efficient market theory and explain how markets can be inefficient. Questions: 701.1. In introducing multifactor models, Andrew Ang explains that "to capture the composite bad times...
    Learning objectives: Describe multifactor models, and compare and contrast multifactor models to the CAPM. Explain how stochastic discount factors are created and apply them in the valuation of assets. Describe efficient market theory and explain how markets can be...
    Learning objectives: Describe multifactor models, and compare and contrast multifactor models to the CAPM. Explain how stochastic discount factors are created and apply them in the valuation of...
    Replies:
    0
    Views:
    15
  7. Nicole Seaman

    P2.T8.700. Theory of factor risk premiums (Andrew Ang)

    Learning objectives: Provide examples of factors that impact asset prices, and explain the theory of factor risk premiums. Describe the capital asset pricing model (CAPM) including its assumptions, and explain how factor risk is addressed in the CAPM. Explain implications of using the CAPM to value assets, including equilibrium and optimal holdings, exposure to factor risk, its treatment of...
    Learning objectives: Provide examples of factors that impact asset prices, and explain the theory of factor risk premiums. Describe the capital asset pricing model (CAPM) including its assumptions, and explain how factor risk is addressed in the CAPM. Explain implications of using the CAPM to value assets, including equilibrium and optimal holdings, exposure to factor risk, its treatment of...
    Learning objectives: Provide examples of factors that impact asset prices, and explain the theory of factor risk premiums. Describe the capital asset pricing model (CAPM) including its assumptions, and explain how factor risk is addressed in the CAPM. Explain implications of using the CAPM to...
    Learning objectives: Provide examples of factors that impact asset prices, and explain the theory of factor risk premiums. Describe the capital asset pricing model (CAPM) including its...
    Replies:
    0
    Views:
    11
  8. Nicole Seaman

    P2.T8.414. Hedge fund due diligence, continued

    Hi @bpdulog Here's what Mirabile says (emphasis mine):
    Hi @bpdulog Here's what Mirabile says (emphasis mine):
    Hi @bpdulog Here's what Mirabile says (emphasis mine):
    Hi @bpdulog Here's what Mirabile says (emphasis mine):
    Replies:
    2
    Views:
    92
  9. Nicole Seaman

    P2.T8.413. Hedge fund due diligence

    I was thinking the same thing. I obviously saw A as an issue but C seemed to me like management was trying to hide something with vague wording.
    I was thinking the same thing. I obviously saw A as an issue but C seemed to me like management was trying to hide something with vague wording.
    I was thinking the same thing. I obviously saw A as an issue but C seemed to me like management was trying to hide something with vague wording.
    I was thinking the same thing. I obviously saw A as an issue but C seemed to me like management was trying to hide something with vague wording.
    Replies:
    7
    Views:
    172
  10. Nicole Seaman

    P2.T8.412. Hedge funds as diversifiers and agents

    AIMs: Describe the historical portfolio construction and performance trend of hedge funds compared to equity indices. Describe market events which resulted in a convergence of risk factors for different hedge fund strategies, and explain the impact of such a convergence on portfolio diversification strategies. Describe the problem of risk sharing asymmetry between principals and agents in the...
    AIMs: Describe the historical portfolio construction and performance trend of hedge funds compared to equity indices. Describe market events which resulted in a convergence of risk factors for different hedge fund strategies, and explain the impact of such a convergence on portfolio diversification strategies. Describe the problem of risk sharing asymmetry between principals and agents in the...
    AIMs: Describe the historical portfolio construction and performance trend of hedge funds compared to equity indices. Describe market events which resulted in a convergence of risk factors for different hedge fund strategies, and explain the impact of such a convergence on portfolio...
    AIMs: Describe the historical portfolio construction and performance trend of hedge funds compared to equity indices. Describe market events which resulted in a convergence of risk factors for...
    Replies:
    0
    Views:
    78
  11. Nicole Seaman

    P2.T8.411. Hedge funds strategies

    AIMs: Evaluate the role of investors in shaping the hedge fund industry. Explain the relationship between risk and alpha in hedge funds. Compare and contrast the different hedge fund strategies, describe their return characteristics, and describe the inherent risks of each strategy. Questions: 411.1. According to Fung and Hsieh "the majority of managed futures funds pursue trend following...
    AIMs: Evaluate the role of investors in shaping the hedge fund industry. Explain the relationship between risk and alpha in hedge funds. Compare and contrast the different hedge fund strategies, describe their return characteristics, and describe the inherent risks of each strategy. Questions: 411.1. According to Fung and Hsieh "the majority of managed futures funds pursue trend following...
    AIMs: Evaluate the role of investors in shaping the hedge fund industry. Explain the relationship between risk and alpha in hedge funds. Compare and contrast the different hedge fund strategies, describe their return characteristics, and describe the inherent risks of each...
    AIMs: Evaluate the role of investors in shaping the hedge fund industry. Explain the relationship between risk and alpha in hedge funds. Compare and contrast the different hedge fund strategies,...
    Replies:
    0
    Views:
    84
  12. Nicole Seaman

    P2.T8.410. Fung and Hsieh on hedge funds: industry and biases

    AIMs: Describe the characteristics of hedge funds and the hedge fund industry, and compare hedge funds with mutual funds. Explain biases which are commonly found in databases of hedge funds. Explain the evolution of the hedge fund industry and describe landmark events which precipitated major changes in the development of the industry. Questions: 410.1. Your wealthy Aunt Betty has capital to...
    AIMs: Describe the characteristics of hedge funds and the hedge fund industry, and compare hedge funds with mutual funds. Explain biases which are commonly found in databases of hedge funds. Explain the evolution of the hedge fund industry and describe landmark events which precipitated major changes in the development of the industry. Questions: 410.1. Your wealthy Aunt Betty has capital to...
    AIMs: Describe the characteristics of hedge funds and the hedge fund industry, and compare hedge funds with mutual funds. Explain biases which are commonly found in databases of hedge funds. Explain the evolution of the hedge fund industry and describe landmark events which precipitated major...
    AIMs: Describe the characteristics of hedge funds and the hedge fund industry, and compare hedge funds with mutual funds. Explain biases which are commonly found in databases of hedge funds....
    Replies:
    0
    Views:
    67
  13. Nicole Seaman

    P2.T8.409. Litterman on performance measurement

    @MBK Sorry, somehow the false choice (D) which I wrote myself as a deliberately and doubly false statement (i..e., "Both only need a limited amount of data and, if achieved risk rather than potential risk is calculated, can nullify (isolate from) the impact of the manager's environment";) was somehow copied to the end of the actual Litterman text. With respect to weaknesses of Sharpe and...
    @MBK Sorry, somehow the false choice (D) which I wrote myself as a deliberately and doubly false statement (i..e., "Both only need a limited amount of data and, if achieved risk rather than potential risk is calculated, can nullify (isolate from) the impact of the manager's environment";) was somehow copied to the end of the actual Litterman text. With respect to weaknesses of Sharpe and...
    @MBK Sorry, somehow the false choice (D) which I wrote myself as a deliberately and doubly false statement (i..e., "Both only need a limited amount of data and, if achieved risk rather than potential risk is calculated, can nullify (isolate from) the impact of the manager's environment";) was...
    @MBK Sorry, somehow the false choice (D) which I wrote myself as a deliberately and doubly false statement (i..e., "Both only need a limited amount of data and, if achieved risk rather than...
    Replies:
    10
    Views:
    159
  14. Nicole Seaman

    P2.T8.408. Risk planning and budgeting

    AIMs: Define, compare and contrast VaR and tracking error as risk measures. Describe risk planning, including its objectives, effects and the participants in its development. Describe risk budgeting and the role of quantitative methods in risk budgeting. Questions: 408.1. Both value at risk (VaR) and tracking error (TE) are considered risk measures. Which of the following statements is TRUE...
    AIMs: Define, compare and contrast VaR and tracking error as risk measures. Describe risk planning, including its objectives, effects and the participants in its development. Describe risk budgeting and the role of quantitative methods in risk budgeting. Questions: 408.1. Both value at risk (VaR) and tracking error (TE) are considered risk measures. Which of the following statements is TRUE...
    AIMs: Define, compare and contrast VaR and tracking error as risk measures. Describe risk planning, including its objectives, effects and the participants in its development. Describe risk budgeting and the role of quantitative methods in risk budgeting. Questions: 408.1. Both value at risk...
    AIMs: Define, compare and contrast VaR and tracking error as risk measures. Describe risk planning, including its objectives, effects and the participants in its development. Describe risk...
    Replies:
    0
    Views:
    74
  15. Nicole Seaman

    PQ-T8 P2.T8.407 Hedge fund strategies (topic review)

    Hi @Kashif Khalid I agree with you that global macro are top-down managers. But I think the reading stated that a global macro manager could employ some component of bottom-up approach, in addition to their top-down approach (which seems like the natural primary given their broad discretion across asset classses). But don't get me wrong, in terms of simplification and primary emphasis, I think...
    Hi @Kashif Khalid I agree with you that global macro are top-down managers. But I think the reading stated that a global macro manager could employ some component of bottom-up approach, in addition to their top-down approach (which seems like the natural primary given their broad discretion across asset classses). But don't get me wrong, in terms of simplification and primary emphasis, I think...
    Hi @Kashif Khalid I agree with you that global macro are top-down managers. But I think the reading stated that a global macro manager could employ some component of bottom-up approach, in addition to their top-down approach (which seems like the natural primary given their broad discretion...
    Hi @Kashif Khalid I agree with you that global macro are top-down managers. But I think the reading stated that a global macro manager could employ some component of bottom-up approach, in...
    Replies:
    4
    Views:
    207
  16. Nicole Seaman

    PQ-T8 P2.T8.406. Equity market neutral hedge funds (topic review)

    Ah I got it!Actually wasn't thinking from a hedged(post hedging)portfolio persepective,in which case what you say is bang on.Thanks a ton David!
    Ah I got it!Actually wasn't thinking from a hedged(post hedging)portfolio persepective,in which case what you say is bang on.Thanks a ton David!
    Ah I got it!Actually wasn't thinking from a hedged(post hedging)portfolio persepective,in which case what you say is bang on.Thanks a ton David!
    Ah I got it!Actually wasn't thinking from a hedged(post hedging)portfolio persepective,in which case what you say is bang on.Thanks a ton David!
    Replies:
    6
    Views:
    253
  17. Nicole Seaman

    PQ-T8 P2.T8.405. Style analysis and market timing (topic review)

    Thanks David,....this helps !!
    Thanks David,....this helps !!
    Thanks David,....this helps !!
    Thanks David,....this helps !!
    Replies:
    7
    Views:
    321
  18. Nicole Seaman

    PQ-T8 P2.T8.404. Information ratio, M-squared and the significance of performance (topic review)

    Right, that's clever and seems to pencil out in agreement, nice!
    Right, that's clever and seems to pencil out in agreement, nice!
    Right, that's clever and seems to pencil out in agreement, nice!
    Right, that's clever and seems to pencil out in agreement, nice!
    Replies:
    7
    Views:
    419
  19. Nicole Seaman

    PQ-T8 P2.T8.403. Time-weighted versus dollar-weighted returns (topic review)

    Yes Thanks David.
    Yes Thanks David.
    Yes Thanks David.
    Yes Thanks David.
    Replies:
    11
    Views:
    324
  20. Nicole Seaman

    PQ-T8 P2.T8.402. Performance evaluation (FRM handbook) (topic review)

    Hi @fjc120 I agree with @ARKnowlto88 but if it helps: personally I like to be mindful of VaR(aX + bY) = a^2*var(X) + b^2*var(Y) + 2*a*b*cov(X,Y) which handles difference of variables when we consider that the difference simply assumes (-b); ie, a negative weighting. The second squared term is unaffected as (-b)^2*var(Y) = b^2*var(Y), but the third term becomes +2*a*(-b)*cov(X,Y). In this way,...
    Hi @fjc120 I agree with @ARKnowlto88 but if it helps: personally I like to be mindful of VaR(aX + bY) = a^2*var(X) + b^2*var(Y) + 2*a*b*cov(X,Y) which handles difference of variables when we consider that the difference simply assumes (-b); ie, a negative weighting. The second squared term is unaffected as (-b)^2*var(Y) = b^2*var(Y), but the third term becomes +2*a*(-b)*cov(X,Y). In this way,...
    Hi @fjc120 I agree with @ARKnowlto88 but if it helps: personally I like to be mindful of VaR(aX + bY) = a^2*var(X) + b^2*var(Y) + 2*a*b*cov(X,Y) which handles difference of variables when we consider that the difference simply assumes (-b); ie, a negative weighting. The second squared term is...
    Hi @fjc120 I agree with @ARKnowlto88 but if it helps: personally I like to be mindful of VaR(aX + bY) = a^2*var(X) + b^2*var(Y) + 2*a*b*cov(X,Y) which handles difference of variables when we...
    Replies:
    12
    Views:
    308
  21. David Harper CFA FRM

    PQ-T8 P2.T8.401. Component and marginal value at risk (VaR) calculations (topic review)

    Thank you David,....fully understand the calculation now.
    Thank you David,....fully understand the calculation now.
    Thank you David,....fully understand the calculation now.
    Thank you David,....fully understand the calculation now.
    Replies:
    3
    Views:
    225
  22. Nicole Seaman

    PQ-T8 P2.T8.400. Diversified portfolio Value at Risk (VaR) (topic review)

    Hi @adambschrier That's a smart tendency, totally understandable because it's somewhat realistic. However, textbook incremental VaR does not rebalance the portfolio. For the FRM anyway, it has always been Jorion 7.21: Incremental VaR = VaR(p+a) - VaR(p); i.e., the reduction in portfolio VaR due to the removal of position (a), which would also equal the increase in portfolio VaR due to the...
    Hi @adambschrier That's a smart tendency, totally understandable because it's somewhat realistic. However, textbook incremental VaR does not rebalance the portfolio. For the FRM anyway, it has always been Jorion 7.21: Incremental VaR = VaR(p+a) - VaR(p); i.e., the reduction in portfolio VaR due to the removal of position (a), which would also equal the increase in portfolio VaR due to the...
    Hi @adambschrier That's a smart tendency, totally understandable because it's somewhat realistic. However, textbook incremental VaR does not rebalance the portfolio. For the FRM anyway, it has always been Jorion 7.21: Incremental VaR = VaR(p+a) - VaR(p); i.e., the reduction in portfolio VaR due...
    Hi @adambschrier That's a smart tendency, totally understandable because it's somewhat realistic. However, textbook incremental VaR does not rebalance the portfolio. For the FRM anyway, it has...
    Replies:
    28
    Views:
    508
  23. Suzanne Evans

    P2.T8.27. More arbitrage strategies (Stowell)

    Thanks David, understood we net off any divs recvd from long vs divs owed on short to broker.
    Thanks David, understood we net off any divs recvd from long vs divs owed on short to broker.
    Thanks David, understood we net off any divs recvd from long vs divs owed on short to broker.
    Thanks David, understood we net off any divs recvd from long vs divs owed on short to broker.
    Replies:
    8
    Views:
    127
  24. David Harper CFA FRM

    P2.T8.26. Arbitrage strategies (Stowell)

    With regards to question 2 i have following doubt :- a) How does she arbitrage in short position in swap and short position in bond. What i understand is she is paying floating rate in swap ( i.e there is outflow of money) and treasury bond she is paying fixed coupon (there is outflow). In both position there is outflow of money. b) what do u mean by the line "The modified duration of each...
    With regards to question 2 i have following doubt :- a) How does she arbitrage in short position in swap and short position in bond. What i understand is she is paying floating rate in swap ( i.e there is outflow of money) and treasury bond she is paying fixed coupon (there is outflow). In both position there is outflow of money. b) what do u mean by the line "The modified duration of each...
    With regards to question 2 i have following doubt :- a) How does she arbitrage in short position in swap and short position in bond. What i understand is she is paying floating rate in swap ( i.e there is outflow of money) and treasury bond she is paying fixed coupon (there is outflow). In both...
    With regards to question 2 i have following doubt :- a) How does she arbitrage in short position in swap and short position in bond. What i understand is she is paying floating rate in swap ( i.e...
    Replies:
    9
    Views:
    143
  25. Suzanne Evans

    P2.T8.25. Convertible arbitrage (Stowell)

    AIMs: Explain the common arbitrage strategies of hedge funds, including: Fixed income-based arbitrage; Convertible arbitrage; Relative value arbitrage Questions: 25.1. Arbitrage is possible in EACH of the following conditions EXCEPT for when: a. An otherwise identical bond trades at different prices in different markets b. Two assets with identical cash flows patterns trade at different...
    AIMs: Explain the common arbitrage strategies of hedge funds, including: Fixed income-based arbitrage; Convertible arbitrage; Relative value arbitrage Questions: 25.1. Arbitrage is possible in EACH of the following conditions EXCEPT for when: a. An otherwise identical bond trades at different prices in different markets b. Two assets with identical cash flows patterns trade at different...
    AIMs: Explain the common arbitrage strategies of hedge funds, including: Fixed income-based arbitrage; Convertible arbitrage; Relative value arbitrage Questions: 25.1. Arbitrage is possible in EACH of the following conditions EXCEPT for when: a. An otherwise identical bond trades at different...
    AIMs: Explain the common arbitrage strategies of hedge funds, including: Fixed income-based arbitrage; Convertible arbitrage; Relative value arbitrage Questions: 25.1. Arbitrage is possible in...
    Replies:
    0
    Views:
    73
  26. Suzanne Evans

    P2.T8.24. Equity long/short hedge fund strategies (Stowell)

    Hi Lee, As I understand, I *think* the difference is the strategic intent (the style) and maybe the role of beta exposures. While both are long/short: The key idea in equity long/short is to avail the manager of opportunities the additional opportunity to short (roughly doubling his/her opportunity set). But the equity/long short remains comfortable with beta exposures and probably engages...
    Hi Lee, As I understand, I *think* the difference is the strategic intent (the style) and maybe the role of beta exposures. While both are long/short: The key idea in equity long/short is to avail the manager of opportunities the additional opportunity to short (roughly doubling his/her opportunity set). But the equity/long short remains comfortable with beta exposures and probably engages...
    Hi Lee, As I understand, I *think* the difference is the strategic intent (the style) and maybe the role of beta exposures. While both are long/short: The key idea in equity long/short is to avail the manager of opportunities the additional opportunity to short (roughly doubling his/her...
    Hi Lee, As I understand, I *think* the difference is the strategic intent (the style) and maybe the role of beta exposures. While both are long/short: The key idea in equity long/short is to...
    Replies:
    3
    Views:
    115
  27. Suzanne Evans

    P2.T8.23. Hedge funds compared to private equity and mutual funds (Stowell)

    AIMs: Discuss the liquidity of hedge fund investments and the usage of lock-ups, gates and side pockets. Compare hedge funds to private equity and mutual funds. Describe what fund of funds are and provide arguments for and against using them as an investment vehicle. Questions: 23.1. Acme Hedge Fund earns an annual performance fee of 20%. During the current year, the valuation of an illiquid...
    AIMs: Discuss the liquidity of hedge fund investments and the usage of lock-ups, gates and side pockets. Compare hedge funds to private equity and mutual funds. Describe what fund of funds are and provide arguments for and against using them as an investment vehicle. Questions: 23.1. Acme Hedge Fund earns an annual performance fee of 20%. During the current year, the valuation of an illiquid...
    AIMs: Discuss the liquidity of hedge fund investments and the usage of lock-ups, gates and side pockets. Compare hedge funds to private equity and mutual funds. Describe what fund of funds are and provide arguments for and against using them as an investment vehicle. Questions: 23.1. Acme...
    AIMs: Discuss the liquidity of hedge fund investments and the usage of lock-ups, gates and side pockets. Compare hedge funds to private equity and mutual funds. Describe what fund of funds are and...
    Replies:
    0
    Views:
    66
  28. Suzanne Evans

    P2.T8.22. High-water marks and hedge fund performance

    Thank you for clearing it up !!
    Thank you for clearing it up !!
    Thank you for clearing it up !!
    Thank you for clearing it up !!
    Replies:
    13
    Views:
    201
  29. Suzanne Evans

    P2.T8.21. Hedge fund characteristics

    Hi Leli, Yes, EXCELLENT observation: I botched the question and meant to ask MOST characteristic, exactly as your annotated answers indicate. The text completely agrees with you. I have corrected above and we will have to re-post the PDF. Thank you,
    Hi Leli, Yes, EXCELLENT observation: I botched the question and meant to ask MOST characteristic, exactly as your annotated answers indicate. The text completely agrees with you. I have corrected above and we will have to re-post the PDF. Thank you,
    Hi Leli, Yes, EXCELLENT observation: I botched the question and meant to ask MOST characteristic, exactly as your annotated answers indicate. The text completely agrees with you. I have corrected above and we will have to re-post the PDF. Thank you,
    Hi Leli, Yes, EXCELLENT observation: I botched the question and meant to ask MOST characteristic, exactly as your annotated answers indicate. The text completely agrees with you. I have...
    Replies:
    4
    Views:
    112
  30. Suzanne Evans

    P2.T8.20. Style analysis and performance attribution

    Thanks again David.
    Thanks again David.
    Thanks again David.
    Thanks again David.
    Replies:
    13
    Views:
    264

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