medium · FRM Part 2 Risk & Investment Management
An institutional investor is reviewing a new hedge fund index. The index shows an average annual return of 11.0% over 20 years.
If the index is subject to backfill bias estimated at 1.5% and survivorship bias estimated at 2.5%, what is the most defensible 'bias-adjusted' historical return?
- 9.5%
- 8.5%
- 7.0%
- 15.0%
Sign up free to see the explanation and track your rank →
More FRM Part 2 Risk & Investment Management practice
- A hedge fund strategy captures frequent small gains but suff… — This risk profile is most
- An active manager has an Information Coefficient (IC) of 0.06 and a breadth (BR) of 400 in
- A risk manager is evaluating an 'Illiquid Asset' (e.g., Priv… — Why is the 'Autocorrelatio
- If the reported volatility is 10% and the first-order autocorrelation (φ) of returns is 0.
- In the context of Liquidity Risk, the 'Denominator Effect' refers to which of the followin
- If the manager effectively doubles the breadth (BR) of the strategy while maintaining the
- If the returns exhibit an autocorrelation of φ = 0.50, what is the corrected Sharpe ratio
- What is the most defensible estimate for the fund's 'true' economic beta?