Before revision:  Because such type of data mechanically reduces the expected total drawdown duration with respect to Gaussian price returns , moment-based estimators are prone to overestimate true Sharpe ratios in leptokurtic market conditions and may further amplify large price returns when they are used by trend-followers .
After revision:  Because such type of data mechanically reduces the expected total drawdown duration is smaller for heavy-tailed returns than for Gaussian ones. As a consequence, in leptokurtic market conditions and may further amplify large price returns when they are used by trend-followers .