For use in evaluating hedge funds, which of the following is NOT a shortcoming of the Sharpe ratio? | A) | It has had little success in predicting winners. |
| | B) | Managers have been able to manipulate their reported returns to inflate the Sharpe ratio. |
| C) | It uses an arbitrary reference return. |
| | D) | It is a stand-alone measure that ignores the diversification contributions of a hedge fund to an overall portfolio. |
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Answer and Explanation
The Sharpe ratio is a very standardized measure, and none of the inputs are arbitrary. The other choices are recognized shortcomings of the Sharpe ratio. [此贴子已经被管理员于2008-9-18 16:56:35编辑过] | 
发表于 2008-9-16 15:01
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