B. “COMMODITY FUTURES IN A PORTFOLIO CONTEXT” (STUDY SESSION 8) A)...

Question

8. B. “Commodity Futures in a Portfolio Context” (Study Session 8) a) evaluate the effect on the portfolio returns distribution of the addition of commodity futures to a traditional stock and bond portfolio. 2006 Level III Guideline Answers Morning Session - Page 28 Question:  10 Topic:  Asset Valuation – Alternatives Minutes:  17 Guideline Answer: Part A Template for Question 10-A Determine whether each of the features is appropriate or If inappropriate, explain, with one Global Long/Short Hedge Fund Index reason, why the feature limits the inappropriate for an Selected Features usefulness of the index as a benchmark index used as a benchmark (circle one) Backfill bias: Hedge funds may be added

Answer

8. B. “Commodity Futures in a Portfolio Context” (Study Session 8) a) evaluate the effect on the portfolio returns distribution of the addition of commodity futures to a traditional stock and bond portfolio. 2006 Level III Guideline Answers Morning Session - Page 28 Question:  10 Topic:  Asset Valuation – Alternatives Minutes:  17 Guideline Answer: Part A Template for Question 10-A Determine whether each of the features is appropriate or If inappropriate, explain, with one Global Long/Short Hedge Fund Index reason, why the feature limits the inappropriate for an Selected Features usefulness of the index as a benchmark index used as a benchmark (circle one) Backfill bias: Hedge funds may be added

B. “COMMODITY FUTURES IN A PORTFOLIO CONTEXT” (STUDY SESSION 8) A)...

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