Unfortunately, I also have plenty of real world examples of alts failing to provide the promised downside protection, some very recent and very extreme: in March 2020, a leveraged credit fund that was boasting a
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10-year Sharpe of 3.0 experienced a 23-sigma event; that’s my whole point, volatility is a flawed and unreliable measure of alternative investment risk, and so any analysis that is based on it is also flawed and unreliable.