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Which of the following statements regarding performance analysis is NOT correct? A. Return regression model assumes that the error terms are uncorrelated over time. B. Performance of two portfolio managers cannot be compared based on estimates of IR (information ratio)—excess returns per unit of risk. C. CAPM is based on a single factor, the market portfolio, which explains the variations in realized portfolio returns. D. Sharpe ratio of an actively managed portfolio (statistically) significantly greater than the benchmark Sharpe ratio is taken as evidence of superior performance. |