Due to a regrettable technical error some Greek and special letters in the paper were not reproduced. Please, find here the fully corrected article.In pump-probe experiments, we measured the anisotropic exchange energy splitting of the low-lying electron-hole pair states in an ensemble of as-grown InAs/GaAs self-assembled quantum dots. This splitting shows a monotonic decrease with the energy of interband emission. We discuss this result considering different parameters: shape anisotropy, wavefunction confinement, size of the quantum dots, and piezoelectric effect.