IV

问题如下：

The Peyton Formika Fund is a global macro asset allocation hedge fund designed to provide low correlations with U.S. assets. Dominic James is a fund of hedge funds manager that is analyzing the Peyton Formika Fund for signs of style drift. James makes note of the following findings about the fund: I. The R2 of the fund versus the global macro peer group has changed from 0.72 to 0.78 over the past 12 months. II. Due to outstanding returns, assets in the fund have increased from $70 million to $430 million over the past 12 months. III. The fund made a major shift in allocation by moving 40 percent of its holdings from Eastern European equities to Asian equities. IV. After a recent trip to India, the fund manager gained confidence in his existing Indian equity holdings and levered his existing 5% weighting in India only by a 10 to 1 ratio. Which of James’ findings are indicators that the Peyton Formika Fund is at risk for style drift?

选项：

A.II and IV only

B.I and II only

C.II and III only

D.I, III and IV only

解释：

Hedge fund style drift occurs when there are changes in the risk factor exposures of the fund or changes in the overall risk of the fund, notably through leverage. Using leverage only for his Indian equity position would definitely be an indicator of style drift. Even though the initial position is small, a 10 to 1 leverage ratio would significantly change the risk of the fund. An excessive cash inflow which may be more money than the manager can sustain is also a potential indicator of style drift. The change in allocation from Eastern European equities to Asian equities is within the objectives of a global allocation fund, so that would not indicate style drift. Also, style drift would be a concern with a decrease, not an increase in the R-squared measure against the peer group.