答案和详解如下： Q10. Regarding Neiberlein’s statement concerning the use of the Sharpe ratio for hedge fund evaluation: A) Neiberlein is incorrect because hedge fund returns are not serially correlated and the standard deviation of returns will be artificially low. B) Neiberlein is incorrect because hedge fund returns are not serially correlated. C) Neiberlein is incorrect because the standard deviation of returns will be artificially low. Correct answer is C) Neiberlein is incorrect because, although the returns for hedge funds are often serially correlated, the resulting standard deviation of returns will be artificially low. For example, if returns are trending for a period of time, the measured standard deviation will be lower than what may occur in the future. Serially correlated returns also result when the asset is illiquid and previous period prices are used (because current prices are not available). | 
发表于 2009-1-20 09:37
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