CFAI EOC # 23:
Magerski’s concern about a biased Sharpe ratio for hedge funds is most likely because:
eliminating extreme returns reduces the standard deviation of returns.
smoothing returns can overstate true gains and losses and calculated volatility.
lengthening the measurement interval from weekly data to monthly data increases the estimate of annualized standard deviation of returns.
I am confused. I picked C which is wrong. Why is it wrong?