The Sharpe ratio is inversely related to skewness; since returns subject to disasters are
negatively skewed and returns subject to booms are positively skewed, hedge funds who sell insurance by shorting options typically exhibit a higher Sharpe ratio than those who buy options.
BEDNAREK, Z., & PATEL, P. (2017). Effect of Booms and Busts on the Sharpe Ratio. Journal Of Portfolio Management, 43(2), 105-114.
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