1.Which of the following statements correctly describe characteristics of a systematic managed futures hedge fund strategy? Systematic managed futures strategies:
　　I. include trend following that utilizes a high volume of trades, many of which are unprofitable.
　　II. base trading decisions on fundamental changes such as an anticipated disequilibrium in commodity prices.
　　III. are exposed to the risk of over-fitting the optimization model used to select trades.
　　IV. select trades based on computer models that incorporate technical factors.
　　A. I, II and III.
　　B. I, III and IV.
　　C. I and II.
　　D. I only.
　　2.There are two assets in a portfolio, A and B. Given the following data, what is the percent of contribution to VaR of asset A?
　　A. 62.50%.
　　B. 18.25%.
　　C. 27.12%.
　　D. 38.28%.
　　3.Which type of distribution suggests that a random variable occurs when the sum of n exponentially distributed random variables is reached?
　　A. The loglogistic distribution.
　　B. The exponential distribution.
　　C. The Burr distribution.
　　D. The gamma distribution.
　　Answer:
　　1.B
　　Systematic managed futures strategies use computer-based optimization models that incorporate technical factors and indicators to select a high number of trades across many different markets. The high volume results in diversification for the fund and is profitable overall even though it may generate many unprofitable individual trades. Discretionary managed futures strategies base trading decisions on fundamental factors such as anticipated disequilibrium in commodity prices.
　　2.D
　　The component VaR factors in both the marginal VaR and the asset value.
　　For A: 0.06782 × $5,000,000 = $339,100
　　For B: 0.18224 × $3,000,000 = $546,720
　　The percent of contribution to VaR is Asset A's component VaR as a percent of total VaR:
　　$339,100 / ($339,100 + $546,720) = 38.28%
　　3.D
　　The gamma distribution suggests a random variable occurs when the sum of n exponentially distributed random variables is reached. For example, a machine’s failure time could be modeled by the gamma distribution if the machine fails after n components fail and each component’s time to failure is exponentially distributed.