The Pros and Cons of Trend Following Programs

If you were to measure maybe the sharp of various trend following programs for the period, say 2010 to 2019, and that would have been a decade where there was no major equity drawdown. Some of the managers or programs that did best in terms of sharp may not then do well once you go into maybe 2020 type scenario or 2022 type scenario. So I think that was kind of the idea behind the cliff estimates paper that obviously sharp is a good measure of risky just to return, but it doesn't tell you about this kind of second possible mandate of crisis alpha.

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