Magerski’s concern about a biased Sharpe ratio for hedge funds is most likely because:
eliminating extreme returns reduces the standard deviation of returns.
smoothing returns can overstate true gains and losses and calculated volatility.
lengthening the measurement interval from weekly data to monthly data increases the estimate of annualized standard deviation of returns.
(Institute 115)
书后答案
Smoothing returns understates gains and losses and reduces volatility
(Institute 127)
Institute, CFA. 2019 CFA Program Curriculum Level III Volume 5. CFA Institute, 5/2018. VitalBook file.
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请问为什么smoothing understate gain and loss？？
