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5min chapter
Trend Setters: Crypto, Crowding & Convexity, with Prof. Cam Harvey
Long Story Short
Why You Shouldn't Look at Sharp Ratios on Trend Following Strategies
The sharp ratio, the denominator, is a very narrow measure of risk. And since we're talking about anything that's got convexity, well, that goes beyond volatility. You just can't look at sharp ratios. If you're evaluating a nonlinear strategy, then your benchmark has to have non linearities in it also.
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