rahul.goyl
Member
Hi David,
Cud you plz take this one & explain the possible justification.
Hope all question posted by me shud help the community for better equipped for FRM, including myself.
The risk factors of HF should generate a risk premium including a risk based alpha, the returns of the HF can be decomposed into Beta Factor the systematic risk and Manager specific alpha ( risks not explained by systematic factors. What are the sources of variances of the HF
I. Variances of each risk factor times the square of the beta corresponding risk factor.
II.Weighted Covariance’s between the pairs of the risk factors.
III.Variance of the residual
IV.Beta Factor and risk free rate
Choose one answer.
a. I, II, III and IV
b. II,III and IV
c. I, II, III
d. I and IV
Thanks
Rahul
Cud you plz take this one & explain the possible justification.
Hope all question posted by me shud help the community for better equipped for FRM, including myself.
The risk factors of HF should generate a risk premium including a risk based alpha, the returns of the HF can be decomposed into Beta Factor the systematic risk and Manager specific alpha ( risks not explained by systematic factors. What are the sources of variances of the HF
I. Variances of each risk factor times the square of the beta corresponding risk factor.
II.Weighted Covariance’s between the pairs of the risk factors.
III.Variance of the residual
IV.Beta Factor and risk free rate
Choose one answer.
a. I, II, III and IV
b. II,III and IV
c. I, II, III
d. I and IV
Thanks
Rahul
