rahul.goyl
Member
Another Gud one,
This is a challening FRM Question.
Two types of the multifactor model are used to create linear clones that replicate the factor exposure of the hedge funds, the weight clone and the rolling window clone method. Which of the following is incorrect about the two strategies
I.The fixed weight model does not include a intercept
II.In fixed weight model negative weights are allowed to indicate short selling and the sum of the beta coefficients from the regression is constraint to 1.
III.Rolling window clone method has smaller estimation error because the clones are created with a 24 month rolling window.
IV.More active investors engaging in dynamic asset allocation will prefer Rolling window clone method .
Choose one answer.
a. I and II
b. II and III
c. III & I
d. III only
I Think answer is D.
Regards,
Rahul
This is a challening FRM Question.
Two types of the multifactor model are used to create linear clones that replicate the factor exposure of the hedge funds, the weight clone and the rolling window clone method. Which of the following is incorrect about the two strategies
I.The fixed weight model does not include a intercept
II.In fixed weight model negative weights are allowed to indicate short selling and the sum of the beta coefficients from the regression is constraint to 1.
III.Rolling window clone method has smaller estimation error because the clones are created with a 24 month rolling window.
IV.More active investors engaging in dynamic asset allocation will prefer Rolling window clone method .
Choose one answer.
a. I and II
b. II and III
c. III & I
d. III only
I Think answer is D.
Regards,
Rahul
