"Alternative Investments":Diversification of hedge funds
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Questions 1:
If the price of a commodity futures contract is below the spot price, it is most likely that the:
A、 cost of carry exceeds the convenience yield.
B 、roll yield is negative.
C 、convenience yield exceeds storage costs.
Questions 2:
Investors will most likely have difficulty managing diversification across hedge funds if the funds:
A 、make decisions via investment committees.
B 、fail to appoint chief risk officers.
C、 seek to keep their strategies private.
C is correct. The convenience yield must exceed the cost of carry to arrive at a futures price below the spot price because the futures price is approximately equal to the spot price [(1 + r) + Storage cost – Convenience yield] and the cost of carry is defined as interest cost plus storage cost. Given that interest cost is always positive, the convenience yield must also exceed storage costs to arrive at a futures price below the spot price.
A is incorrect. If the cost of carry exceeds the convenience yield, the futures price is above the spot price.
B is incorrect. Roll yield is defined as the difference between the spot price and the price of the futures contract. If the price of a commodity futures contract is below the spot price, roll yield is positive.
C is correct. The lack of transparency in positions and strategies makes it difficult for investors to effectively manage diversification across funds.
A is incorrect. Decision making by an investment committee does not limit the information needed for an investor when considering diversification benefits.
B is incorrect. Failure to appoint a chief risk officer does not limit the information needed for an investor when considering diversification benefits.
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