问题如下：
The Sharpe ratio is a less-than-idealperformance measure for alternative investments because:
选项：
A.it uses a semi-deviation measure ofvolatility.
B.returns of alternative assets are notnormally distributed.
C.alternativeassets exhibit low correlation with traditional asset classes
解释：
Bis correct. The Sharpe ratio assumes normally distributed returns. However,alternative assets tend to have non-normal return distributions withsignificant skewness (fat tails in one direction or the other) and kurtosis(sharper peak than a normal distribution has, with fatter tails). Therefore,the Sharpe ratio may not be a good risk-adjusted performance measure to rely onfor alternative investments.
Ais incorrect because the Sharpe ratio does not use a semi-deviation measure ofvolatility; it uses standard deviation. The Sortino ratio uses a semi-deviationmeasure of volatility. Further, the use of semi-deviation instead of standarddeviation actually makes the Sortino ratio a more attractive measure of alternativeasset performance than the Sharpe ratio.
C is incorrectbecause correlation does not enter into the calculation of the Sharpe ratio.However, it is true that alternative assets can have low correlations withother asset classes. In contrast to the Sharpe ratio, the Treynor ratioincorporates the beta of the alternative asset relative to a benchmark, whichis conceptually similar to correlation.
老师，这道题不是很理解。麻烦解释一下
