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2019 CFA level 3 qbank reading 36 evaluating portfolio performance answers
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Question #1 of 170
With regard to the use of value added return in the measurement of hedge fund performance,
which of the following statements is most accurate?
A) Value added return is calculated as the di×erence between the portfolio return,
given benchmark weightings, and the actual portfolio return.
B) Value added return is simply the di×erence between the portfolio return and the benchmark return.
C) Although weights sum to zero a return is calculated by summing the performance impacts of the individual long positions.
E x p l a n a t i o n
To replicate a zero net asset hedge fund the weights must add to zero. Calculation of return is achieved by summing the individual long and short positions and the value added return is the di×erence between the portfolio return and the benchmark return.
(Study Session 19, Module 36.3, LOS 36.j)
R e l a t e d M a t e r i a l
SchweserNotes - Book 5
...
LƯU Ý:
Tài liệu được chia sẻ bởi Thành viên có FB "Ngọc An" chỉ được dùng phục vụ mục đích học tập và nghiên cứu.
Question #1 of 170
With regard to the use of value added return in the measurement of hedge fund performance,
which of the following statements is most accurate?
A) Value added return is calculated as the di×erence between the portfolio return,
given benchmark weightings, and the actual portfolio return.
B) Value added return is simply the di×erence between the portfolio return and the benchmark return.
C) Although weights sum to zero a return is calculated by summing the performance impacts of the individual long positions.
E x p l a n a t i o n
To replicate a zero net asset hedge fund the weights must add to zero. Calculation of return is achieved by summing the individual long and short positions and the value added return is the di×erence between the portfolio return and the benchmark return.
(Study Session 19, Module 36.3, LOS 36.j)
R e l a t e d M a t e r i a l
SchweserNotes - Book 5
...
LƯU Ý:
Tài liệu được chia sẻ bởi Thành viên có FB "Ngọc An" chỉ được dùng phục vụ mục đích học tập và nghiên cứu.
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