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Hedge funds can sometimes present a misleading image by appearing to have a low level of systematic risk. What would be an appropriate method from the options provided to correct this perception?
A
Account for negative serial correlation of returns by first differencing the data when extrapolating risk to longer time horizons.
B
Account for positive serial correlation of returns by aggregating the data.
C
Use regressions with fewer lags of the market factors and sum the coefficients across lags.
D
Use regressions with additional lags of the market factors and sum the coefficients across lags.
