An analyst compared the performance of a h

问题单项选择题

An analyst compared the performance of a hedge fund index with the performance of a major stock index over the past eight years. He noted that the hedge fund index (created from a database) had a higher average return, higher standard deviation, and higher Sharpe ratio than the stock index. All the successful funds that have been in the hedge fund database continued to accept new money over the eight-year period. Are the average return and the standard deviation, respectively, for the hedge fund index most likely overstated or understated（）

A. Both average return and standard deviation are overstated.

B. Average return is overstated and standard deviation is understated.

C. Average return is understated and standard deviation is overstated.

答案

参考答案：B

解析：

[分析]：存续性误导会对对冲基金的回报率和风险(标准差)同时产生影响。存续性误导的存在意味着具有较低的回报率或回报率为负的基金将被排除在基金指数的计算之外。由于只有成功的基金被保留在基金指数的计算范围中，因而得出的回报率将被高估，而风险(标准差)则被低估。进一步地，被高估的回报率和被低估的风险(标准差)将导致夏普比率被高估。 [考点] 对冲基金的投资业绩与“存续性误导”