InvestmentLOs_sortbyLearningOut
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Reading
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Learning Outcome
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P. Jorion, VaR 3rd Edition, Chapter 7 (Portfolio Risk)
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LO 9.1: With respect to portfolio risk analysis, define diversified portfolio VAR.
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P. Jorion, VaR 3rd Edition, Chapter 7 (Portfolio Risk)
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LO 9.2: With respect to portfolio risk analysis, define individual VAR.
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P. Jorion, VaR 3rd Edition, Chapter 7 (Portfolio Risk)
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LO 9.3: For a two-asset portfolio, calculate the portfolio VAR when the returns of the two assets have a zero correlation and when the correlation is one (perfectly correlated).
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P. Jorion, VaR 3rd Edition, Chapter 7 (Portfolio Risk)
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LO 9.4: Calculate the standard deviation and VAR of an equally weighted portfolio of assets whose returns all have the same standard deviation and where the correlations of the returns are all equal for each pair of assets.
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P. Jorion, VaR 3rd Edition, Chapter 7 (Portfolio Risk)
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LO 9.5: With respect to portfolio risk analysis, define marginal VAR.
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P. Jorion, VaR 3rd Edition, Chapter 7 (Portfolio Risk)
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LO 9.6: With respect to portfolio risk analysis, define and calculate incremental VAR, explain why calculating incremental VAR may be difficult, and give a useful approximation.
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P. Jorion, VaR 3rd Edition, Chapter 7 (Portfolio Risk)
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LO 9.7: With respect to portfolio risk analysis, define the variance minimizing allocation or “best hedge” when adding a single risk factor to a portfolio.
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P. Jorion, VaR 3rd Edition, Chapter 7 (Portfolio Risk)
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LO 9.8: Estimate component VAR in a portfolio with a large number of positions and use it to decompose VAR.
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P. Jorion, VaR 3rd Edition, Chapter 7 (Portfolio Risk)
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LO 9.9: Describe ways we can compute component VARs for a distribution of returns that is not normal or elliptical.
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P. Jorion, VaR 3rd Edition, Chapter 7 (Portfolio Risk)
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LO 9.10. Demonstrate how a manager can manage risk by using marginal VARs to make decisions to lower portfolio VAR.
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P. Jorion, VaR 3rd Edition, Chapter 7 (Portfolio Risk)
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LO 9.11. Explain the difference between risk management and portfolio management, and demonstrate how to use marginal VAR in portfolio management.
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P. Jorion, VaR 3rd Edition, Chapter 17 (VaR and Risk Budgeting in I/M)
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LO 17.1: Define risk budgeting.
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P. Jorion, VaR 3rd Edition, Chapter 17 (VaR and Risk Budgeting in I/M)
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LO 17.2: With respect to VAR and managing risk on the “buy side” and “sell side” of the investment industry, compare the following characteristics: horizon, turnover, leverage, risk measures, and risk controls.
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P. Jorion, VaR 3rd Edition, Chapter 17 (VaR and Risk Budgeting in I/M)
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LO 17.3: Summarize the two basic steps of the investment process, and explain two trends in the investment process that have led to a greater need for dynamic risk management. LO 17.4: With respect to hedge funds, explain why risk measurement problems exist. LO 17.5: With respect to investment managers, explain absolute versus relative risk and distinguish between policy mix and active risk. LO 17.6: Explain how VAR can apply to funding risk, and calculate the negative surplus associated with a VAR level of loss. LO 17.7: Define plan sponsor risk and distinguish between economic risk and cash flow risk. LO 17.8: Explain how to use VAR to monitor risk and why it is important in a large firm. LO 17.9: With respect to risk management, explain the pros and cons of having a global custodian. LO 17.10: Discuss the trend towards risk management systems by money managers. LO 17.11: Explain how to use VAR to design better investment guidelines and how to use VAR for the investment process. LO 17.12: Explain how to budget risk across asset classes. LO 17.13: Explain how to budget risk across active managers.
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P. Jorion, VaR 3rd Edition, Chapter 17 (VaR and Risk Budgeting in I/M)
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LO 17.4: With respect to hedge funds, explain why risk measurement problems exist.
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P. Jorion, VaR 3rd Edition, Chapter 17 (VaR and Risk Budgeting in I/M)
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LO 17.5: With respect to investment managers, explain absolute versus relative risk and distinguish between policy mix and active risk.
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P. Jorion, VaR 3rd Edition, Chapter 17 (VaR and Risk Budgeting in I/M)
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LO 17.6: Explain how VAR can apply to funding risk, and calculate the negative surplus associated with a VAR level of loss.
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P. Jorion, VaR 3rd Edition, Chapter 17 (VaR and Risk Budgeting in I/M)
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LO 17.7: Define plan sponsor risk and distinguish between economic risk and cash flow risk.
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P. Jorion, VaR 3rd Edition, Chapter 17 (VaR and Risk Budgeting in I/M)
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LO 17.8: Explain how to use VAR to monitor risk and why it is important in a large firm.
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P. Jorion, VaR 3rd Edition, Chapter 17 (VaR and Risk Budgeting in I/M)
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LO 17.9: With respect to risk management, explain the pros and cons of having a global custodian.
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P. Jorion, VaR 3rd Edition, Chapter 17 (VaR and Risk Budgeting in I/M)
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LO 17.10: Discuss the trend towards risk management systems by money managers.
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P. Jorion, VaR 3rd Edition, Chapter 17 (VaR and Risk Budgeting in I/M)
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LO 17.11: Explain how to use VAR to design better investment guidelines and how to use VAR for the investment process.
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P. Jorion, VaR 3rd Edition, Chapter 17 (VaR and Risk Budgeting in I/M)
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LO 17.12: Explain how to budget risk across asset classes. LO 17.13: Explain how to budget risk across active managers.
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P. Jorion, VaR 3rd Edition, Chapter 17 (VaR and Risk Budgeting in I/M)
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LO 17.13: Explain how to budget risk across active managers.
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N. Amenc, Portfolio Theory, Chapter 4 (CAPM)
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LO 41.1: Calculate, compare, and evaluate the Treynor measure, the Sharpe measure, and Jensen’s alpha.
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N. Amenc, Portfolio Theory, Chapter 4 (CAPM)
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LO 41.2: Discuss extensions to Jensen’s alpha.
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N. Amenc, Portfolio Theory, Chapter 4 (CAPM)
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LO 41.3: Calculate and interpret tracking error, the information ratio, and the Sortino ratio.
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N. Amenc, Portfolio Theory, Chapter 6 (Multi-factor models)
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LO 41.4: Compare and contrast the characteristics of arbitrage and empirical multifactor models.
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N. Amenc, Portfolio Theory, Chapter 6 (Multi-factor models)
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LO 41.5: Compare and contrast the explicit and implicit factor methods for determining factors in multifactor models.
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N. Amenc, Portfolio Theory, Chapter 6 (Multi-factor models)
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LO 41.6: Identify and discuss three categories of multifactor models, and describe how multifactor models can be applied to international portfolios.
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N. Amenc, Portfolio Theory, Chapter 6 (Multi-factor models)
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LO 41.7: Discuss the application of multifactor models to portfolio risk analysis, and describe examples of multifactor risk models.
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N. Amenc, Portfolio Theory, Chapter 6 (Multi-factor models)
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LO 41.8: Discuss the application of multifactor models to portfolio performance decomposition, and describe examples of multifactor performance analysis models.
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N. Amenc, Portfolio Theory, Chapter 6 (Multi-factor models)
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LO 41.9: Compare and contrast returns-based style analysis models with portfolio-based style analysis models.
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N. Amenc, Portfolio Theory, Chapter 8 (Fixed-income security investment)
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LO 41.10: Identify and discuss two alternatives for modeling a yield curve.
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N. Amenc, Portfolio Theory, Chapter 8 (Fixed-income security investment)
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LO 41.11: Discuss direct and indirect methods for estimating a range of zero-coupon rates given yields to maturity.
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N. Amenc, Portfolio Theory, Chapter 8 (Fixed-income security investment)
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LO 41.12: Describe dynamic interest rate models used to estimate a yield curve including the Vasicek model, the Cox-Ingersoll-Ross model, and the Heath-Jarrow-Morton model.
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N. Amenc, Portfolio Theory, Chapter 8 (Fixed-income security investment)
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LO 41.13: Identify the two primary risks that explain the variation in bond returns, and describe quantitative models used to assess each of these risks.
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N. Amenc, Portfolio Theory, Chapter 8 (Fixed-income security investment)
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LO 41.14: Describe various strategies employed for managing fixed-income portfolios.
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N. Amenc, Portfolio Theory, Chapter 8 (Fixed-income security investment)
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LO 41.15: Identify and describe models used to analyze and decompose fixed-income portfolio performance.
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Lars Jaeger, Through the Alpha Screen, Chapter 5 (Individual Hedge Funds)
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LO 42.1: Describe an equity long/short strategy and discuss its major determinants of return.
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Lars Jaeger, Through the Alpha Screen, Chapter 5 (Individual Hedge Funds)
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LO 42.2: Describe an equity market-neutral strategy, define pair trading, and identify examples of market inefficiencies exploited by market-neutral hedge fund managers.
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Lars Jaeger, Through the Alpha Screen, Chapter 5 (Individual Hedge Funds)
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LO 42.3: Describe an equity market timing strategy.
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Lars Jaeger, Through the Alpha Screen, Chapter 5 (Individual Hedge Funds)
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LO 42.4: Describe a short-selling strategy and discuss issues specific to short-selling managers.
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Lars Jaeger, Through the Alpha Screen, Chapter 5 (Individual Hedge Funds)
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LO 42.5: Describe a convertible arbitrage strategy and identify and describe three potential sources of return from a convertible arbitrage strategy.
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Lars Jaeger, Through the Alpha Screen, Chapter 5 (Individual Hedge Funds)
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LO 42.6: Describe the various forms of a fixed-income arbitrage strategy and its primary sources of risk and return.
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Lars Jaeger, Through the Alpha Screen, Chapter 5 (Individual Hedge Funds)
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LO 42.7: Describe a volatility arbitrage strategy.
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Lars Jaeger, Through the Alpha Screen, Chapter 5 (Individual Hedge Funds)
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LO 42.8: Describe a capital structure arbitrage strategy.
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Lars Jaeger, Through the Alpha Screen, Chapter 5 (Individual Hedge Funds)
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LO 42.9: Identify types of event-driven strategies.
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Lars Jaeger, Through the Alpha Screen, Chapter 5 (Individual Hedge Funds)
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LO 42.10: Describe a merger arbitrage strategy and its primary sources of risk and return.
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Lars Jaeger, Through the Alpha Screen, Chapter 5 (Individual Hedge Funds)
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LO 42.11: Describe a distressed securities strategy.
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Lars Jaeger, Through the Alpha Screen, Chapter 5 (Individual Hedge Funds)
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LO 42.12: Describe a Regulation D strategy and identify its primary sources of risk and return.
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Lars Jaeger, Through the Alpha Screen, Chapter 5 (Individual Hedge Funds)
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LO 42.13: Describe a global macro strategy and identify its primary sources of risk and return.
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Lars Jaeger, Through the Alpha Screen, Chapter 5 (Individual Hedge Funds)
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LO 42.14: Differentiate between a systematic and discretionary managed futures strategy and describe trend following as a systematic managed-futures strategy.
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Lars Jaeger, New Generation of Risk Management for Hedge Funds, Chapter 6 (Funds of Hedge Funds)
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LO 42.15: Discuss the general structure and objective of a fund of hedge funds, explain how it can be classified according to diversification characteristics, and discuss considerations for strategy allocation in a fund of hedge funds.
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Lars Jaeger, Through the Alpha Screen, Chapter 9 (Benchmarking Hedge Fund Performance)
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LO 43.1: Discuss the challenges of benchmarking alpha returns.
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Lars Jaeger, Through the Alpha Screen, Chapter 9 (Benchmarking Hedge Fund Performance)
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LO 43.2: Explain the problems with existing hedge fund indices.
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Lars Jaeger, Through the Alpha Screen, Chapter 9 (Benchmarking Hedge Fund Performance)
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LO 43.3: Identify the attributes of a good hedge fund index.
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Lars Jaeger, Through the Alpha Screen, Chapter 9 (Benchmarking Hedge Fund Performance)
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LO 43.4: Discuss considerations for creating a more useful hedge fund index.
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Hsieh & Fung, Risk in Fixed Income Hedge Fund Strategies
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LO 43.5: Discuss how a trend-following strategy and a convergence strategy can be represented through a combination of options.
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Hsieh & Fung, Risk in Fixed Income Hedge Fund Strategies
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LO 43.6: Identify the five primary HFR fixed-income index categories, and discuss characteristics of each.
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Hsieh & Fung, Risk in Fixed Income Hedge Fund Strategies
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LO 43.7: Discuss actual and hypothetical performance of fixed-income hedge funds during market extremes.
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Hsieh & Fung, Risk in Fixed Income Hedge Fund Strategies
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LO 43.8: Discuss implications of identifying fixed-income hedge fund asset-based style factors for investors, counterparties, and regulators.
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Lars Jaeger, New Generation of Risk Management for Hedge Funds, Chapter 6 (Funds of Hedge Funds)
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LO 44.1: Identify and discuss the types of risk faced by a fund of hedge funds.
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Lars Jaeger, New Generation of Risk Management for Hedge Funds, Chapter 6 (Funds of Hedge Funds)
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LO 44.2: List primary risk factors for various examples of hedge fund strategies.
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Lars Jaeger, New Generation of Risk Management for Hedge Funds, Chapter 6 (Funds of Hedge Funds)
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LO 44.3: Discuss the role of leverage in defining the risk profile of a hedge fund.
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Lars Jaeger, New Generation of Risk Management for Hedge Funds, Chapter 6 (Funds of Hedge Funds)
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LO 44.4: Discuss the issue of hedge fund transparency as it pertains to the risk and return goals of an investor.
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Lars Jaeger, New Generation of Risk Management for Hedge Funds, Chapter 6 (Funds of Hedge Funds)
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LO 44.5: Identify two components of proactive risk management, and discuss how each component addresses a fund of hedge fund’s generic risk.
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Lars Jaeger, New Generation of Risk Management for Hedge Funds, Chapter 6 (Funds of Hedge Funds)
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LO 44.6: Discuss how ongoing risk monitoring and management should be applied at the investment and portfolio levels of a fund of hedge funds.
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Lars Jaeger, New Generation of Risk Management for Hedge Funds, Chapter 27 (Style Drifts)
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LO 44.7: Discuss the differences in how investment style is assessed between hedge funds and traditional long-only investments.
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Lars Jaeger, New Generation of Risk Management for Hedge Funds, Chapter 27 (Style Drifts)
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LO 44.8: Define the concept of style drift as it pertains to hedge funds and the importance of style drift monitoring for hedge fund investors.
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Lars Jaeger, New Generation of Risk Management for Hedge Funds, Chapter 27 (Style Drifts)
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LO 44.9: Discuss the reasons why hedge fund managers may drift from their styles and approaches for monitoring and detecting style drift.
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Stulz, "Hedge Funds: Past, Present, Future"
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LO 45.1: Compare the economic function of mutual funds and hedge funds and the most basic choices the funds make in achieving that function.
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Stulz, "Hedge Funds: Past, Present, Future"
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LO 45.2: Compare the size of hedge funds and mutual funds and give the reason for the difference in size.
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Stulz, "Hedge Funds: Past, Present, Future"
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LO 45.3: Explain how hedge funds are usually organized and how the organization can help avoid regulation.
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Stulz, "Hedge Funds: Past, Present, Future"
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LO 45.4: Explain the distinction between symmetric compensation and asymmetric compensation and how they apply to the fees paid to the managers of mutual funds and hedge funds.
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Stulz, "Hedge Funds: Past, Present, Future"
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LO 45.5: Describe typical restrictions that hedge fund investors face with respect to withdrawing capital from the fund.
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Stulz, "Hedge Funds: Past, Present, Future"
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LO 45.6: With respect to diversification, explain why it is especially important when investing in hedge funds, and give two reasons why it is difficult.
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Stulz, "Hedge Funds: Past, Present, Future"
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LO 45.7: With respect to diversification, explain how a fund-of-funds can help a hedge fund investor and how hedge funds prove to be a useful tool in a larger portfolio.
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Stulz, "Hedge Funds: Past, Present, Future"
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LO 45.8: Discuss how hedge funds might make markets more efficient.
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Stulz, "Hedge Funds: Past, Present, Future"
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LO 45.9: Compare the returns and volatility of the Credit Suisse/Tremont Hedge Fund index to that of the S&P 500, and the growth of investments in hedge funds to that in mutual funds.
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Stulz, "Hedge Funds: Past, Present, Future"
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LO 45.10: List and explain four reasons why it is difficult to ascertain if individual hedge funds provide a positive abnormal risk-adjusted return.
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Stulz, "Hedge Funds: Past, Present, Future"
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LO 45.11: Cite evidence that hedge funds managers massage their reported returns.
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Stulz, "Hedge Funds: Past, Present, Future"
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LO 45.12: Discuss the alpha of hedge funds.
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Stulz, "Hedge Funds: Past, Present, Future"
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LO 45.13: Explain why regulators are concerned about the risks hedge funds pose to individual investors and institutions, and discuss evidence for the justification for those concerns and the need for increased regulation.
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Stulz, "Hedge Funds: Past, Present, Future"
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LO 45.14: Explain why regulators are concerned about liquidity and volatility risks that hedge funds might introduce into the economy, and discuss evidence for the justification for those concerns and the need for increased regulation.
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Stulz, "Hedge Funds: Past, Present, Future"
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LO 45.15: With respect to the future of hedge funds, explain why their aggregate performance may decline and why they may become more institutionalized and regulated.
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Stulz, "Hedge Funds: Past, Present, Future"
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LO 45.16: Discuss how trends in hedge funds and mutual funds will lead to mutual funds being more competitive with hedge funds.
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Chincarini, Amaranth Debacle
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LO 61.1: With respect to the collapse of Amaranth in September 2006, summarize the size and source of the losses.
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Chincarini, Amaranth Debacle
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LO 61.2: With respect to the collapse of Amaranth in September 2006, explain why it is important to determine whether standard risk measures at the time could have predicted the possible losses.
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Chincarini, Amaranth Debacle
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LO 61.3: List and describe three important properties of the natural gas futures market.
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Chincarini, Amaranth Debacle
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LO 61.4: With respect to natural gas, describe the futures and options available and their markets.
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Chincarini, Amaranth Debacle
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LO 61.5: Describe two historical patterns of natural gas futures returns for the month of September that would have led a trader to feel justified in taking large positions in that market on August 31, 2006.
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Chincarini, Amaranth Debacle
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LO 61.6: Describe how the patterns of returns for natural gas futures returns for the month of September 2006 were very different from the historical patterns.
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Chincarini, Amaranth Debacle
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LO 61.7: Compare the size of the losses on natural gas futures contracts in September 2006 to Amaranth’s losses and outline the questions this comparison raises.
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Chincarini, Amaranth Debacle
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LO 61.8: Describe the positions in energy derivatives that Amaranth Advisors would have to have held in order to incur its September 2006 losses.
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Chincarini, Amaranth Debacle
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LO 61.9: Explain whether Amaranth Advisors should have been aware of the potential market risk for the month of September 2006.
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Chincarini, Amaranth Debacle
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LO 61.10: Summarize the level of expected gains and VAR that Amaranth Advisors’ management may have had with respect to the positions they took and a probable reason why the losses exceeded the VAR. lesson that the Amaranth Advisors debacle provides with respect to making risk
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Chincarini, Amaranth Debacle
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LO 61.11: Describe empirical evidence that liquidity risk from higher than usual positions played a role in the losses incurred by Amaranth Advisors in September 2006.
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Chincarini, Amaranth Debacle
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LO 61.12: Summarize the lesson that the Amaranth Advisors debacle provides with respect to making risk
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Chincarini, Amaranth Debacle
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LO 61.13: Summarize Greenspan’s liquidity at risk measure as it would apply to hedge funds.
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PWG on Financial Markets, Private Pools of Capital
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LO 64.1: List and describe the two overarching principles of the agreement among the President's Working Group on Financial Markets and U.S. Agency Principals on principles and guidelines regarding private pools of capital.
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PWG on Financial Markets, Private Pools of Capital
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LO 64.2: Explain why PWG promotes limiting investors in private pools to only sophisticated investors.
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PWG on Financial Markets, Private Pools of Capital
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LO 64.3: According to the PWG agreement, list the duties of investors in private pools.
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PWG on Financial Markets, Private Pools of Capital
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LO 64.4: According to the PWG agreement, list the duties of fiduciaries that invest less sophisticated investors’ capital in private pools.
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PWG on Financial Markets, Private Pools of Capital
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LO 64.5: According to the PWG agreement, list the duties of key creditors and counterparties.
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PWG on Financial Markets, Private Pools of Capital
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LO 64.6: According to the PWG agreement, list and describe the duties of managers of private pools of capital.
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PWG on Financial Markets, Private Pools of Capital
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LO 64.7: According to the PWG agreement, list and describe the duties of supervisors.
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InvestmentLOs_sortbyReading
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Reading
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Learning Outcome
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Chincarini, Amaranth Debacle
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LO 61.1: With respect to the collapse of Amaranth in September 2006, summarize the size and source of the losses.
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Chincarini, Amaranth Debacle
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LO 61.2: With respect to the collapse of Amaranth in September 2006, explain why it is important to determine whether standard risk measures at the time could have predicted the possible losses.
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Chincarini, Amaranth Debacle
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LO 61.3: List and describe three important properties of the natural gas futures market.
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Chincarini, Amaranth Debacle
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LO 61.4: With respect to natural gas, describe the futures and options available and their markets.
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Chincarini, Amaranth Debacle
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LO 61.5: Describe two historical patterns of natural gas futures returns for the month of September that would have led a trader to feel justified in taking large positions in that market on August 31, 2006.
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Chincarini, Amaranth Debacle
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LO 61.6: Describe how the patterns of returns for natural gas futures returns for the month of September 2006 were very different from the historical patterns.
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Chincarini, Amaranth Debacle
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LO 61.7: Compare the size of the losses on natural gas futures contracts in September 2006 to Amaranth’s losses and outline the questions this comparison raises.
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Chincarini, Amaranth Debacle
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LO 61.8: Describe the positions in energy derivatives that Amaranth Advisors would have to have held in order to incur its September 2006 losses.
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Chincarini, Amaranth Debacle
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LO 61.9: Explain whether Amaranth Advisors should have been aware of the potential market risk for the month of September 2006.
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Chincarini, Amaranth Debacle
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LO 61.10: Summarize the level of expected gains and VAR that Amaranth Advisors’ management may have had with respect to the positions they took and a probable reason why the losses exceeded the VAR. lesson that the Amaranth Advisors debacle provides with respect to making risk
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Chincarini, Amaranth Debacle
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LO 61.11: Describe empirical evidence that liquidity risk from higher than usual positions played a role in the losses incurred by Amaranth Advisors in September 2006.
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Chincarini, Amaranth Debacle
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LO 61.12: Summarize the lesson that the Amaranth Advisors debacle provides with respect to making risk
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Chincarini, Amaranth Debacle
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LO 61.13: Summarize Greenspan’s liquidity at risk measure as it would apply to hedge funds.
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Hsieh & Fung, Risk in Fixed Income Hedge Fund Strategies
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LO 43.5: Discuss how a trend-following strategy and a convergence strategy can be represented through a combination of options.
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Hsieh & Fung, Risk in Fixed Income Hedge Fund Strategies
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LO 43.6: Identify the five primary HFR fixed-income index categories, and discuss characteristics of each.
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Hsieh & Fung, Risk in Fixed Income Hedge Fund Strategies
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LO 43.7: Discuss actual and hypothetical performance of fixed-income hedge funds during market extremes.
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Hsieh & Fung, Risk in Fixed Income Hedge Fund Strategies
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LO 43.8: Discuss implications of identifying fixed-income hedge fund asset-based style factors for investors, counterparties, and regulators.
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Lars Jaeger, New Generation of Risk Management for Hedge Funds, Chapter 27 (Style Drifts)
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LO 44.7: Discuss the differences in how investment style is assessed between hedge funds and traditional long-only investments.
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Lars Jaeger, New Generation of Risk Management for Hedge Funds, Chapter 27 (Style Drifts)
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LO 44.8: Define the concept of style drift as it pertains to hedge funds and the importance of style drift monitoring for hedge fund investors.
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Lars Jaeger, New Generation of Risk Management for Hedge Funds, Chapter 27 (Style Drifts)
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LO 44.9: Discuss the reasons why hedge fund managers may drift from their styles and approaches for monitoring and detecting style drift.
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Lars Jaeger, New Generation of Risk Management for Hedge Funds, Chapter 6 (Funds of Hedge Funds)
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LO 42.15: Discuss the general structure and objective of a fund of hedge funds, explain how it can be classified according to diversification characteristics, and discuss considerations for strategy allocation in a fund of hedge funds.
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Lars Jaeger, New Generation of Risk Management for Hedge Funds, Chapter 6 (Funds of Hedge Funds)
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LO 44.1: Identify and discuss the types of risk faced by a fund of hedge funds.
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Lars Jaeger, New Generation of Risk Management for Hedge Funds, Chapter 6 (Funds of Hedge Funds)
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LO 44.2: List primary risk factors for various examples of hedge fund strategies.
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Lars Jaeger, New Generation of Risk Management for Hedge Funds, Chapter 6 (Funds of Hedge Funds)
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LO 44.3: Discuss the role of leverage in defining the risk profile of a hedge fund.
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Lars Jaeger, New Generation of Risk Management for Hedge Funds, Chapter 6 (Funds of Hedge Funds)
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LO 44.4: Discuss the issue of hedge fund transparency as it pertains to the risk and return goals of an investor.
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Lars Jaeger, New Generation of Risk Management for Hedge Funds, Chapter 6 (Funds of Hedge Funds)
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LO 44.5: Identify two components of proactive risk management, and discuss how each component addresses a fund of hedge fund’s generic risk.
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Lars Jaeger, New Generation of Risk Management for Hedge Funds, Chapter 6 (Funds of Hedge Funds)
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LO 44.6: Discuss how ongoing risk monitoring and management should be applied at the investment and portfolio levels of a fund of hedge funds.
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Lars Jaeger, Through the Alpha Screen, Chapter 5 (Individual Hedge Funds)
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LO 42.1: Describe an equity long/short strategy and discuss its major determinants of return.
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Lars Jaeger, Through the Alpha Screen, Chapter 5 (Individual Hedge Funds)
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LO 42.2: Describe an equity market-neutral strategy, define pair trading, and identify examples of market inefficiencies exploited by market-neutral hedge fund managers.
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Lars Jaeger, Through the Alpha Screen, Chapter 5 (Individual Hedge Funds)
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LO 42.3: Describe an equity market timing strategy.
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Lars Jaeger, Through the Alpha Screen, Chapter 5 (Individual Hedge Funds)
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LO 42.4: Describe a short-selling strategy and discuss issues specific to short-selling managers.
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Lars Jaeger, Through the Alpha Screen, Chapter 5 (Individual Hedge Funds)
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LO 42.5: Describe a convertible arbitrage strategy and identify and describe three potential sources of return from a convertible arbitrage strategy.
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Lars Jaeger, Through the Alpha Screen, Chapter 5 (Individual Hedge Funds)
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LO 42.6: Describe the various forms of a fixed-income arbitrage strategy and its primary sources of risk and return.
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Lars Jaeger, Through the Alpha Screen, Chapter 5 (Individual Hedge Funds)
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LO 42.7: Describe a volatility arbitrage strategy.
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Lars Jaeger, Through the Alpha Screen, Chapter 5 (Individual Hedge Funds)
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LO 42.8: Describe a capital structure arbitrage strategy.
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Lars Jaeger, Through the Alpha Screen, Chapter 5 (Individual Hedge Funds)
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LO 42.9: Identify types of event-driven strategies.
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Lars Jaeger, Through the Alpha Screen, Chapter 5 (Individual Hedge Funds)
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LO 42.10: Describe a merger arbitrage strategy and its primary sources of risk and return.
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Lars Jaeger, Through the Alpha Screen, Chapter 5 (Individual Hedge Funds)
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LO 42.11: Describe a distressed securities strategy.
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Lars Jaeger, Through the Alpha Screen, Chapter 5 (Individual Hedge Funds)
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LO 42.12: Describe a Regulation D strategy and identify its primary sources of risk and return.
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Lars Jaeger, Through the Alpha Screen, Chapter 5 (Individual Hedge Funds)
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LO 42.13: Describe a global macro strategy and identify its primary sources of risk and return.
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Lars Jaeger, Through the Alpha Screen, Chapter 5 (Individual Hedge Funds)
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LO 42.14: Differentiate between a systematic and discretionary managed futures strategy and describe trend following as a systematic managed-futures strategy.
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Lars Jaeger, Through the Alpha Screen, Chapter 9 (Benchmarking Hedge Fund Performance)
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LO 43.1: Discuss the challenges of benchmarking alpha returns.
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Lars Jaeger, Through the Alpha Screen, Chapter 9 (Benchmarking Hedge Fund Performance)
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LO 43.2: Explain the problems with existing hedge fund indices.
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Lars Jaeger, Through the Alpha Screen, Chapter 9 (Benchmarking Hedge Fund Performance)
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LO 43.3: Identify the attributes of a good hedge fund index.
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Lars Jaeger, Through the Alpha Screen, Chapter 9 (Benchmarking Hedge Fund Performance)
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LO 43.4: Discuss considerations for creating a more useful hedge fund index.
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N. Amenc, Portfolio Theory, Chapter 4 (CAPM)
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LO 41.1: Calculate, compare, and evaluate the Treynor measure, the Sharpe measure, and Jensen’s alpha.
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N. Amenc, Portfolio Theory, Chapter 4 (CAPM)
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LO 41.2: Discuss extensions to Jensen’s alpha.
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N. Amenc, Portfolio Theory, Chapter 4 (CAPM)
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LO 41.3: Calculate and interpret tracking error, the information ratio, and the Sortino ratio.
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N. Amenc, Portfolio Theory, Chapter 6 (Multi-factor models)
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LO 41.4: Compare and contrast the characteristics of arbitrage and empirical multifactor models.
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N. Amenc, Portfolio Theory, Chapter 6 (Multi-factor models)
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LO 41.5: Compare and contrast the explicit and implicit factor methods for determining factors in multifactor models.
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N. Amenc, Portfolio Theory, Chapter 6 (Multi-factor models)
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LO 41.6: Identify and discuss three categories of multifactor models, and describe how multifactor models can be applied to international portfolios.
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N. Amenc, Portfolio Theory, Chapter 6 (Multi-factor models)
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LO 41.7: Discuss the application of multifactor models to portfolio risk analysis, and describe examples of multifactor risk models.
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N. Amenc, Portfolio Theory, Chapter 6 (Multi-factor models)
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LO 41.8: Discuss the application of multifactor models to portfolio performance decomposition, and describe examples of multifactor performance analysis models.
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N. Amenc, Portfolio Theory, Chapter 6 (Multi-factor models)
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LO 41.9: Compare and contrast returns-based style analysis models with portfolio-based style analysis models.
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N. Amenc, Portfolio Theory, Chapter 8 (Fixed-income security investment)
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LO 41.10: Identify and discuss two alternatives for modeling a yield curve.
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N. Amenc, Portfolio Theory, Chapter 8 (Fixed-income security investment)
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LO 41.11: Discuss direct and indirect methods for estimating a range of zero-coupon rates given yields to maturity.
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N. Amenc, Portfolio Theory, Chapter 8 (Fixed-income security investment)
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LO 41.12: Describe dynamic interest rate models used to estimate a yield curve including the Vasicek model, the Cox-Ingersoll-Ross model, and the Heath-Jarrow-Morton model.
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N. Amenc, Portfolio Theory, Chapter 8 (Fixed-income security investment)
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LO 41.13: Identify the two primary risks that explain the variation in bond returns, and describe quantitative models used to assess each of these risks.
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N. Amenc, Portfolio Theory, Chapter 8 (Fixed-income security investment)
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LO 41.14: Describe various strategies employed for managing fixed-income portfolios.
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N. Amenc, Portfolio Theory, Chapter 8 (Fixed-income security investment)
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LO 41.15: Identify and describe models used to analyze and decompose fixed-income portfolio performance.
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P. Jorion, VaR 3rd Edition, Chapter 17 (VaR and Risk Budgeting in I/M)
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LO 17.1: Define risk budgeting.
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P. Jorion, VaR 3rd Edition, Chapter 17 (VaR and Risk Budgeting in I/M)
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LO 17.2: With respect to VAR and managing risk on the “buy side” and “sell side” of the investment industry, compare the following characteristics: horizon, turnover, leverage, risk measures, and risk controls.
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P. Jorion, VaR 3rd Edition, Chapter 17 (VaR and Risk Budgeting in I/M)
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LO 17.3: Summarize the two basic steps of the investment process, and explain two trends in the investment process that have led to a greater need for dynamic risk management. LO 17.4: With respect to hedge funds, explain why risk measurement problems exist. LO 17.5: With respect to investment managers, explain absolute versus relative risk and distinguish between policy mix and active risk. LO 17.6: Explain how VAR can apply to funding risk, and calculate the negative surplus associated with a VAR level of loss. LO 17.7: Define plan sponsor risk and distinguish between economic risk and cash flow risk. LO 17.8: Explain how to use VAR to monitor risk and why it is important in a large firm. LO 17.9: With respect to risk management, explain the pros and cons of having a global custodian. LO 17.10: Discuss the trend towards risk management systems by money managers. LO 17.11: Explain how to use VAR to design better investment guidelines and how to use VAR for the investment process. LO 17.12: Explain how to budget risk across asset classes. LO 17.13: Explain how to budget risk across active managers.
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P. Jorion, VaR 3rd Edition, Chapter 17 (VaR and Risk Budgeting in I/M)
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LO 17.4: With respect to hedge funds, explain why risk measurement problems exist.
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P. Jorion, VaR 3rd Edition, Chapter 17 (VaR and Risk Budgeting in I/M)
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LO 17.5: With respect to investment managers, explain absolute versus relative risk and distinguish between policy mix and active risk.
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P. Jorion, VaR 3rd Edition, Chapter 17 (VaR and Risk Budgeting in I/M)
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LO 17.6: Explain how VAR can apply to funding risk, and calculate the negative surplus associated with a VAR level of loss.
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P. Jorion, VaR 3rd Edition, Chapter 17 (VaR and Risk Budgeting in I/M)
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LO 17.7: Define plan sponsor risk and distinguish between economic risk and cash flow risk.
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P. Jorion, VaR 3rd Edition, Chapter 17 (VaR and Risk Budgeting in I/M)
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LO 17.8: Explain how to use VAR to monitor risk and why it is important in a large firm.
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P. Jorion, VaR 3rd Edition, Chapter 17 (VaR and Risk Budgeting in I/M)
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LO 17.9: With respect to risk management, explain the pros and cons of having a global custodian.
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P. Jorion, VaR 3rd Edition, Chapter 17 (VaR and Risk Budgeting in I/M)
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LO 17.10: Discuss the trend towards risk management systems by money managers.
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P. Jorion, VaR 3rd Edition, Chapter 17 (VaR and Risk Budgeting in I/M)
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LO 17.11: Explain how to use VAR to design better investment guidelines and how to use VAR for the investment process.
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P. Jorion, VaR 3rd Edition, Chapter 17 (VaR and Risk Budgeting in I/M)
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LO 17.12: Explain how to budget risk across asset classes. LO 17.13: Explain how to budget risk across active managers.
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P. Jorion, VaR 3rd Edition, Chapter 17 (VaR and Risk Budgeting in I/M)
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LO 17.13: Explain how to budget risk across active managers.
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P. Jorion, VaR 3rd Edition, Chapter 7 (Portfolio Risk)
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LO 9.1: With respect to portfolio risk analysis, define diversified portfolio VAR.
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P. Jorion, VaR 3rd Edition, Chapter 7 (Portfolio Risk)
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LO 9.2: With respect to portfolio risk analysis, define individual VAR.
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P. Jorion, VaR 3rd Edition, Chapter 7 (Portfolio Risk)
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LO 9.3: For a two-asset portfolio, calculate the portfolio VAR when the returns of the two assets have a zero correlation and when the correlation is one (perfectly correlated).
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P. Jorion, VaR 3rd Edition, Chapter 7 (Portfolio Risk)
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LO 9.4: Calculate the standard deviation and VAR of an equally weighted portfolio of assets whose returns all have the same standard deviation and where the correlations of the returns are all equal for each pair of assets.
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P. Jorion, VaR 3rd Edition, Chapter 7 (Portfolio Risk)
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LO 9.5: With respect to portfolio risk analysis, define marginal VAR.
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P. Jorion, VaR 3rd Edition, Chapter 7 (Portfolio Risk)
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LO 9.6: With respect to portfolio risk analysis, define and calculate incremental VAR, explain why calculating incremental VAR may be difficult, and give a useful approximation.
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P. Jorion, VaR 3rd Edition, Chapter 7 (Portfolio Risk)
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LO 9.7: With respect to portfolio risk analysis, define the variance minimizing allocation or “best hedge” when adding a single risk factor to a portfolio.
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P. Jorion, VaR 3rd Edition, Chapter 7 (Portfolio Risk)
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LO 9.8: Estimate component VAR in a portfolio with a large number of positions and use it to decompose VAR.
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P. Jorion, VaR 3rd Edition, Chapter 7 (Portfolio Risk)
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LO 9.9: Describe ways we can compute component VARs for a distribution of returns that is not normal or elliptical.
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P. Jorion, VaR 3rd Edition, Chapter 7 (Portfolio Risk)
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LO 9.10. Demonstrate how a manager can manage risk by using marginal VARs to make decisions to lower portfolio VAR.
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P. Jorion, VaR 3rd Edition, Chapter 7 (Portfolio Risk)
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LO 9.11. Explain the difference between risk management and portfolio management, and demonstrate how to use marginal VAR in portfolio management.
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PWG on Financial Markets, Private Pools of Capital
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LO 64.1: List and describe the two overarching principles of the agreement among the President's Working Group on Financial Markets and U.S. Agency Principals on principles and guidelines regarding private pools of capital.
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PWG on Financial Markets, Private Pools of Capital
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LO 64.2: Explain why PWG promotes limiting investors in private pools to only sophisticated investors.
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PWG on Financial Markets, Private Pools of Capital
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LO 64.3: According to the PWG agreement, list the duties of investors in private pools.
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PWG on Financial Markets, Private Pools of Capital
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LO 64.4: According to the PWG agreement, list the duties of fiduciaries that invest less sophisticated investors’ capital in private pools.
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PWG on Financial Markets, Private Pools of Capital
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LO 64.5: According to the PWG agreement, list the duties of key creditors and counterparties.
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PWG on Financial Markets, Private Pools of Capital
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LO 64.6: According to the PWG agreement, list and describe the duties of managers of private pools of capital.
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PWG on Financial Markets, Private Pools of Capital
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LO 64.7: According to the PWG agreement, list and describe the duties of supervisors.
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Stulz, "Hedge Funds: Past, Present, Future"
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LO 45.1: Compare the economic function of mutual funds and hedge funds and the most basic choices the funds make in achieving that function.
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Stulz, "Hedge Funds: Past, Present, Future"
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LO 45.2: Compare the size of hedge funds and mutual funds and give the reason for the difference in size.
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Stulz, "Hedge Funds: Past, Present, Future"
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LO 45.3: Explain how hedge funds are usually organized and how the organization can help avoid regulation.
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Stulz, "Hedge Funds: Past, Present, Future"
|
LO 45.4: Explain the distinction between symmetric compensation and asymmetric compensation and how they apply to the fees paid to the managers of mutual funds and hedge funds.
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Stulz, "Hedge Funds: Past, Present, Future"
|
LO 45.5: Describe typical restrictions that hedge fund investors face with respect to withdrawing capital from the fund.
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Stulz, "Hedge Funds: Past, Present, Future"
|
LO 45.6: With respect to diversification, explain why it is especially important when investing in hedge funds, and give two reasons why it is difficult.
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Stulz, "Hedge Funds: Past, Present, Future"
|
LO 45.7: With respect to diversification, explain how a fund-of-funds can help a hedge fund investor and how hedge funds prove to be a useful tool in a larger portfolio.
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|
Stulz, "Hedge Funds: Past, Present, Future"
|
LO 45.8: Discuss how hedge funds might make markets more efficient.
|
|
Stulz, "Hedge Funds: Past, Present, Future"
|
LO 45.9: Compare the returns and volatility of the Credit Suisse/Tremont Hedge Fund index to that of the S&P 500, and the growth of investments in hedge funds to that in mutual funds.
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|
Stulz, "Hedge Funds: Past, Present, Future"
|
LO 45.10: List and explain four reasons why it is difficult to ascertain if individual hedge funds provide a positive abnormal risk-adjusted return.
|
|
Stulz, "Hedge Funds: Past, Present, Future"
|
LO 45.11: Cite evidence that hedge funds managers massage their reported returns.
|
|
Stulz, "Hedge Funds: Past, Present, Future"
|
LO 45.12: Discuss the alpha of hedge funds.
|
|
Stulz, "Hedge Funds: Past, Present, Future"
|
LO 45.13: Explain why regulators are concerned about the risks hedge funds pose to individual investors and institutions, and discuss evidence for the justification for those concerns and the need for increased regulation.
|
|
Stulz, "Hedge Funds: Past, Present, Future"
|
LO 45.14: Explain why regulators are concerned about liquidity and volatility risks that hedge funds might introduce into the economy, and discuss evidence for the justification for those concerns and the need for increased regulation.
|
|
Stulz, "Hedge Funds: Past, Present, Future"
|
LO 45.15: With respect to the future of hedge funds, explain why their aggregate performance may decline and why they may become more institutionalized and regulated.
|
|
Stulz, "Hedge Funds: Past, Present, Future"
|
LO 45.16: Discuss how trends in hedge funds and mutual funds will lead to mutual funds being more competitive with hedge funds.
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