| ?Using the information provided in the Department of Labor evaluation of Hedge Funds and Private equity funds (http://www.dol.gov/ebsa/pdf/2011ACReport3.pdf) for question #1-4, detail the following:
What are the 8 primary issues that a plan sponsor should consider based on the board’s guidance? (Points : 10)?????? |
| Question 2.2.?Does the board believe that hedge funds and private equity funds outperform more traditional investments over time (100 words maximum)? ?Why or why not? (Points : 10)?????? ?????? |
| Question 3.3.?What are methods and strategies to address monitoring and due diligence of alternative investment fund managers (100 words maximum)? (Points : 10)?????? ?????? |
| Question 4.4.?What are all the fee types and structures to be considered when making an investment in an alternative investment fund manager (50 words maximum)? (Points : 10)?????? ?????? |
| Question 5.5.?Use the following information for Questions #5 and #6. ?Please refer to the following table of monthly returns for a hedge fund and an index portfolio. For the purpose of computation, the hurdle?rate is the U.S. T-bill rate, assumed to be 4.5 percent per year.
Month Hedge Fund Returns (%) Index Returns (%) A. Calculate the average rolling returns for the hedge fund if the investor?s investment?horizon is eight months. |
| Question 6.6.?Using the same information from Question #5, answer the following:
A. Compute the annualized downside deviations for the hedge fund and the index, and?contrast them to the standard deviation. The annualized standard deviations for the?hedge fund and the index are, respectively, 8.54 percent and 9.17 percent. |
| Question 7.7.?Based on information from Hessessee Group’s database of hedge fund returns (http://www.hennesseegroup.com/indices/), provide answers to the following for questions #7 and #8.
Which was the best performing and worst performing index on a risk-adjusted basis for January 1993 to December 2012 – Hedge Fund Index, Long-Short Equity Index, Arbitrage/Event Driven Index, ?or Global Macro Index? (Points : 5)?????? |
| Question 8.8.?A. ?On an absolute return basis, which hedge fund sub-strategy was the best performing index in 2008? B. ?On an absolute return basis, which hedge fund sub-strategy was the worst performing index in 2008? C. ?On an absolute return basis, which hedge fund sub-strategy was the best performing index in 2009? D. ?On an absolute return basis, which hedge fund sub-strategy was the worst performing index in 2009? E. ?On an absolute return basis, which hedge fund sub-strategy was the best and worst performing index for 2008 and 2009 combined? (Points : 15)?????? |
| Question 9.9.?An investment manager placed a limit order to buy 400,000 shares of Alpha Corporation?at $21.25 limit at the opening of trading on February 8. The closing market price of?Alpha Corporation on February 7 was also $21.25. The limit order filled 45,000 shares,?and the remaining 355,000 shares were never filled. Some good news came out about Alpha Corporation on February 8, and its price increased to $23.40 by the end of that?day. However, by the close of trading on February 14, the price had declined to $21.94. The investment manager is analyzing the missed trade opportunity cost using the closing?price on February 8 as the benchmark price. A. What is the estimate of the missed trade opportunity cost if it is measured at a one-day?interval after the decision to trade? B. What is the estimate of the missed trade opportunity cost if it is measured at a?one-week interval after the decision to trade? C. What are some of the problems in estimating the missed trade opportunity cost? (Points : 15)?????? |
| Question 10.10.?A client of a broker evaluates the broker?s performance by measuring transaction costs?with a specified price benchmark. The broker has discretion over the timing of his trades?for the client. Discuss what the broker could do to make his performance look good to?the client (even though the broker?s execution decisions may not be in the best interests?of the client) if the price benchmark used by the client for evaluation is the:
A. Opening price. |
| Question 11.11.?An investment manager has time-weighted returns for the first six months of the year as?follows:
January: 1.15% A. Calculate a time-weighted rate of return for the investment manager by chain-linking?the monthly time-weighted returns. |
| Question 12.12.?A U.S. large-cap value portfolio run by Anderson Investment Management returned?19.8 percent during the first three quarters of 2013. During the same time period, the?Russell 1000 Value Index had returns of 22.9 percent and the Wilshire 5000 returned?26.4 percent.
A. What is the return due to style? |