Question answers coursrea Investment Management in an Evolving and Volatile World by HEC Paris and AXA...
Perform a factor analysis of the fund by regressing the fund’s excess returns on the excess returns of the market and the value factors. Run two regressions; one using returns from January 1980 to December 1997 and one using returns from January 1998 to December 2015. Use the coefficients of the regressions to determine which one of the following statements is true.
1 / 1 point
Correct
2.
Question 2
The investment policy statement states that fund ABC US Value Opportunity is a value-oriented firm. Because of a change in managers, your boss is worried that the new management style does not have a value orientation that is as strong as before. Based on your previous regressions done over the 1980 to 1997 and the 1998 to 2015 periods, what can you say about the fund's risk factor exposure?
1 / 1 point
Correct
3.
Question 3
You can judge a regression coefficient's significance by looking at its t-ratio, which is the ratio of the coefficient to its standard errors. A coefficient greater than 2 in absolute value can be said to be significantly different from zero (approximately). Based on the regressions over the two sub-periods, which of the following statements is true?
1 / 1 point
Correct
4.
Question 4
The fund's investment policy statement states that it has a lower exposure to downside risk (tail risk for negative returns) than the market factor. To measure downside risk, compute the skewness of the monthly returns of the market factor and of the fund over the full 1980 to 2015 period. Which of the following is correct?
0 / 1 point
Incorrect
1 / 1 point
Correct
2.
Question 2
The investment policy statement states that fund ABC US Value Opportunity is a value-oriented firm. Because of a change in managers, your boss is worried that the new management style does not have a value orientation that is as strong as before. Based on your previous regressions done over the 1980 to 1997 and the 1998 to 2015 periods, what can you say about the fund's risk factor exposure?
1 / 1 point
Correct
3.
Question 3
You can judge a regression coefficient's significance by looking at its t-ratio, which is the ratio of the coefficient to its standard errors. A coefficient greater than 2 in absolute value can be said to be significantly different from zero (approximately). Based on the regressions over the two sub-periods, which of the following statements is true?
1 / 1 point
Correct
4.
Question 4
The fund's investment policy statement states that it has a lower exposure to downside risk (tail risk for negative returns) than the market factor. To measure downside risk, compute the skewness of the monthly returns of the market factor and of the fund over the full 1980 to 2015 period. Which of the following is correct?
0 / 1 point
Incorrect
Category
📚
Learning