Ep. 941: Trend Following Perspectives with Michael Covel on Trend Following Radio
Michael Covel's Trend Following
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The Pros and Cons of a Sharp Ratio in a Market
The sharp ratio is the expected excess return, usually over some benchmark divided by the volatility. Managed futures has a positive skew and does well in market meltdowns. For them, you need to have some extra return on average because investors really don't like that severe downside. The sharp ratio does not take that into account.
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