​Lake Hill's Sternberg: Sharpening Expectations

Nov 3, 2014

An investor in hedge funds recently told me that he only invests in funds with a Sharpe ratio greater than 2.0. In addition, he cuts his capital allocation to a fund if it has a drawdown greater than 5%. He has a serious problem. Even with great managers and a strict drawdown control, he was losing money. Why?

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