A portfolio manager runs the following regression: (1 Point) Ri,t = rft = i + Bi(Rm,t...

 

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A portfolio manager runs the following regression: (1 Point) Ri,t = rft = αi + Bi(Rm,t – rft) * where Rit refers to the returns on hedge fund i in month t, rf is the monthly risk-free rate and Rt is the monthly return on the market portfolio. The table below shows the beta estimates for three hedge funds: market neutral, dedicated short bias and emerging market. Hedge fund X Y Z В -0.80 0.05 1.20 Which of the following statements is likely to be correct? Fund X = emerging market; fund Y = dedicated short bias; fund Z = market neutral Fund X = emerging market; fund Y = market neutral; fund Z = dedicated short bias Fund X = market neutral; fund Y = emerging market; fund Z = dedicated short bias Fund X = dedicated short bias; fund Y = emerging market; fund Z = market neutral Fund X = market neutral; fund Y = dedicated short bias; fund Z= emerging market Fund X = dedicated short bias; fund Y = market neutral; fund Z = emerging market A portfolio manager runs the following regression: (1 Point) Ri,t = rft = αi + Bi(Rm,t – rft) * where Rit refers to the returns on hedge fund i in month t, rf is the monthly risk-free rate and Rt is the monthly return on the market portfolio. The table below shows the beta estimates for three hedge funds: market neutral, dedicated short bias and emerging market. Hedge fund X Y Z В -0.80 0.05 1.20 Which of the following statements is likely to be correct? Fund X = emerging market; fund Y = dedicated short bias; fund Z = market neutral Fund X = emerging market; fund Y = market neutral; fund Z = dedicated short bias Fund X = market neutral; fund Y = emerging market; fund Z = dedicated short bias Fund X = dedicated short bias; fund Y = emerging market; fund Z = market neutral Fund X = market neutral; fund Y = dedicated short bias; fund Z= emerging market Fund X = dedicated short bias; fund Y = market neutral; fund Z = emerging market

Answer rating: 100% (QA)

Answer If beta is positive but very low the hedge fund is known as market neutral fu... View the full answer