What the fund manager total return is closest to

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Reference no: EM132808817

Problem 1: Assume the initial margin for S&P 500 Index futures is $30,938 per contact. A fund manager buys 100 contracts at an initial index value of 2,875. After 6 months, the index has risen to 3,000. The contract multiplier is $250. Assume the manager finances her margin deposit at one-year Libor, which is 3.375%. The fund manager's total return is closest to:

A. $3,125,001

B. $2,977, 782

C. $3,035,721

Problem 2: Susan Sneed, CFA is an analyst at a quantitative focused equity hedge fund. Sneed is required to perform backtests of the fund's algorithm trading strategies. Sneed is told that one particular strategy appears to be overfitted. An overfitted model is best described as a

A. statistical model that contains more parameters than can be justified by the data

B. statistical model that cannot adequately capture the underlying structure of the data

C. statistical model that contains more observations than parameters

Reference no: EM132808817

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