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The Sharpe ratio has become a commonly used performance measure for hedge funds. Which of the following statements in relationship to the use of the Sharpe ratio in the assessment of hedge fund performance is least accurate? A. The Sharpe ratio is the excess returns to the volatility encountered in earning them. B. The use of derivatives positions in a hedge fund removes most of the skewness in returns making the use of standard deviations appropriate. C. A hedge fund’s Sharpe ratio can be compared to that of a universe of similar hedge funds. |