Question
25. Which of the following statements regarding the return characteristics of the Barclay Diversified Traders Index is TRUE? Distribution characteristics and performance Mount Lucas Management
25. Which of the following statements regarding the return characteristics of the Barclay Diversified Traders Index is TRUE?
Distribution characteristics and performance | Mount Lucas Management Index | Barclays Diversified Traders Index |
Mean | 0.57% | 0.74% |
Standard deviation | 1.74% | 3.53% |
Sharpe ratio | 0.10 | 0.10 |
Skewness | 0.26 | 0.35 |
Kurtosis | 1.93 | 0.11 |
The Barclay Diversified Traders Index
A. is positively skewed and has a positive Sharpe ratio; therefore, the managed futures do not add value to the investor
B. is positively skewed. The higher standard deviation return indicates that the manager did not add value to the investor.
C. is positively skewed and the positive expected return indicates that the futures manager does not add value to the investor.
D. has a low value for kurtosis, indiating that the return distribution has thin tails and is not greatly influenced by outliers.
48. What does Chapter 11 concern?
A. Liquidation. A trustee is picked, ceases operations, takes control and liquidates assets
B. reorganization or sale cases, and sometimes orderly liquidation
C. IPOs
D. Leveraged buyouts
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