Title Reading 38 Backtesting and Simulation.pdf ✅

Question #1 of 16 Question ID: 1473997 In the presence of return distribution asymmetry and excess kurtosis, the most appropriate approach would be to make use of a Monte Carlo simulation using a: A) F-distribution. B) normal distribution. C) skewed Student’s t-distribution. Question #2 of 16 Question ID: 1473991 Which of the following metrics are most likely to be reported in a backtest of an investment strategy? A) Enterprise value, volume, and market capitalization. B) Maximum drawdown, Sharpe ratio, and Sortino ratio. C) Altman Z-score, Sloan ratio, and Beneish M-score. Question #3 of 16 Question ID: 1473985 Which of the following statements about backtesting an investment strategy is least accurate? Backtesting: A) ensures that a strategy will perform well in the future. B) lends rigor to the investment process. C) approximates the real-life investment process. Question #4 of 16 Question ID: 1473992
Which of the following identifies problems that are most likely to arise in a backtest of an investment strategy? A) Survivorship bias, look-ahead bias, and data snooping. B) Including lagged dependent variables as independent variables. C) Heteroskedasticity, serial correlation, and multicollinearity. Question #5 of 16 Question ID: 1473993 Which of the following is the least likely to result from using information that would have been unavailable at the time of the investment decision? A) Survivorship bias. B) Look-ahead bias. C) Data snooping. Question #6 of 16 Question ID: 1473987 Which of the following statements about backtesting an investment strategy is least accurate? Backtesting: A) is incompatible with quantitative and systematic investment styles. B) is based on the implied assumption that the future will somewhat resemble history. C) can take the randomness of the future into account. Question #7 of 16 Question ID: 1473986 Which of the following statements about backtesting an investment strategy is least accurate? Backtesting is: A) a new methodology that is slowly gaining acceptance in the investment community. B) widely used by managers that use a fundamental investment style. C) useful as a rejection or acceptance criterion for an investment strategy.