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The effect of the investment horizon on the investment performance, which is known as time diversification effect, is not necessarily positive. While the Sharpe ratio

The effect of the investment horizon on the investment performance, which is known as time diversification effect, is not necessarily positive. While the Sharpe ratio grows with the square root of the investment horizon, the magnitude of underperformance in the event of underperformance, which is typically measured by VaR, will be progressively worse. Is the above statement true or false?

A. True

B. False

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