文档介绍：专注国际财经教育 FRM 一级模拟题 1. Which concept gives a measure of historical value added per unit of risk taken and can be useful, among other tools, to risk managers? A. Tracking error ' B. Model alpha C. Information ratio D. Heteroskedasticity Answer: C William Sharpe developed the concept of information ratio to describe the value added per unit of risk bya manager or activity. It is usually developed by analyzing at least 36 months of returns. Tracking error is an estimate of how much risk a manager takes asa measure of the deviation from a benchmark. stack-and-roti h edge as described in the Metallgesellschaft case is best described as: A. Buying futures contracts of different expirations and allowing them to expire in sequence. B. Buying futures contracts of different expirations and closing out the position shortly before expiration. C. Using short-term futures to hedge a long-term risk exposure by replacing them with longer-term contracts shortly before they expire. D. Using short-term futures contracts with a larger notional value than the long-term risk they are meant to hedge. Answer: CA stack isa bundle of futures contracts with the same expiration. Over time, a firm may acquire stacks with various expiry dates. To hedge a long-term risk exposure, a firm would close out each stack as it approaches expiry and enter into a contract with a more distant delivery, known asa rol