Before revision:  As a consequence, in leptokurtic market conditions, the new estimator yields smaller Sharpe ratios than moment-based estimators, which implies that the standard estimator overestimates the information content of prices when the return distribution has heavy tails. Accordingly, using the standard estimator for taking trend-following decisions enhances large price fluctuations .
After revision:  As a consequence, in leptokurtic market conditions, the new estimator yields smaller Sharpe ratios than moment-based Sharpe ratio estimators and the tail exponent of the distribution of heavy-tailed price returns. The heterogeneity of tail exponents at any given time among assets implies that our new methods yields significantly different asset rankings than moment-based methods, especially in periods large volatility. This is fully confirmed by using 20 years of historical data on 3449 liquid US equities .