Bias arises when the returns of unsuccessful funds

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38. ______ bias arises when the returns of unsuccessful funds are left out of the sample. A. Survivorship B. Backfill C. Omission D. Incubation E. none of the above Survivorship bias arises when the returns of unsuccessful funds are left out of the sample. Difficulty: Moderate 39. Performance evaluation of hedge funds is complicated by ______. Performance evaluation of hedge funds is complicated by liquidity premiums, survivorship bias, unreliable market valuations of infrequently traded assets, and unstable risk attributes. Difficulty: Moderate 40. Lo (2201) examined up and down betas of hedge funds and concluded that up market betas were ______ down market betas. Lo (2201) examined up and down betas of hedge funds and concluded that up market betas were generally smaller than down market betas. Difficulty: Difficult 26-18
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Chapter 26 - Hedge Funds 41. The typical hedge fund fee structure is The typical hedge fund fee structure is a management fee of 1% to 2% and annual incentive fee equal to 20% of investment profits beyond a stipulated benchmark performance. Difficulty: Moderate 42. Hedge fund incentive fees are essentially A. put options on the portfolio with a strike price equal to the current portfolio value B. put options on the portfolio with a strike price equal to the expected future portfolio value C. call options on the portfolio with a strike price equal to the expected future portfolio value D. call options on the portfolio with a strike price equal to the current portfolio value E. straddles Hedge fund incentive fees are essentially call options on the portfolio with a strike price equal to the current portfolio value. Difficulty: Moderate 43. Regarding hedge fund incentive fees, hedge fund managers ______ if the portfolio return is very large and ______ if the portfolio return is negative. Regarding hedge fund incentive fees, hedge fund managers get the fee if the portfolio return is very large and lose nothing except the incentive fee if the portfolio return is negative. Difficulty: Moderate 26-19
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Chapter 26 - Hedge Funds 26-20
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Chapter 26 - Hedge Funds
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