For a portfolio of illiquid assets hedge fund managers

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For a portfolio of illiquid assets, hedge fund managers often have considerable discretion in portfolio valuation at the end of each month and may have incentives to smooth returns by marking values below actual in high-return months and above actual in low-return months. Which of the following is nota consequence of return smoothing over time?

A. Higher Sharpe ratio

B. Lower volatility

C. Higher serial correlation

D. Higher market beta

Reference no: EM13568229

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