abcd

问题如下：

A pension fund invests in a variety of asset classes including bonds, equities, commodities and currencies. To meet growing pension liabilities, the fund’s board has been putting a lot of pressure on the chief investment officer (CIO) to increase returns. One proposal that came up at the last board meeting was to invest in hedge funds. The chief risk officer (CIO), in preparing a quarterly report to the board, is concerned about giving an accurate and appropriate representation of the risk the fund faces, responding to several requests from the CIO for information to be included in the report, and investigating the issue of risks related to investing in hedge funds.One of the board members has suggested that the CIO look at several hedge funds that have reported strong performance in recent years. The CRO is familiar with many of these funds and is aware that several invest heavily in illiquid assets and that this may cause standard risk measures based on daily returns to give a misleading picture of their risk. Which of following statements about daily risk measures applied to hedge funds that invest in illiquid assets is correct?

选项：

A.Correlation with other investments will be artificially lowered, giving the appearance of low systematic risk.

B.Infrequent trading reduces the smoothing effects from mark-to-market valuation, giving the appearance of high volatility.

C.Returns of illiquid assets tend to exhibit negative serial correlation, leading to higher long-term volatility.

D.All else being equal, illiquid assets tend to have lower Sharpe ratios, causing the incorrect appearance of an illiquid premium.