A long-only Bitcoin strategy with a target Sharpe ratio of 0.8–1.2 and 60–70% volatility is an inherently risky proposition. The asset is high-beta with extreme negative skew and fat tails. While the elevated Sharpe suggests a high risk premium, this masks a pathological risk of ruin during retail capitulation events.
The market's inefficiency stems…
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Beyond the Sharpe Ratio: Why Tail-Risk Hedging Is Essential in Bitcoin’s Fat-Tailed Markets
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