That sounds too much like this:
https://www.amazon.com/When-Genius-Failed-Long-Term-Manageme...
As I remember, beaucoup back testing, hilarity ensues anyway.
https://www.amazon.com/When-Genius-Failed-Long-Term-Manageme...
As I remember, beaucoup back testing, hilarity ensues anyway.
*edit: I'm not a serious student of this aspect, but I recall that none of the top independent hedge funds took a bath in the 2007+ collapse (that is, those that weren't in-house funds from a major wall st. company). They all had their risk management in order and all did pretty well in buying distressed assets. Some like Bridgewater really managed to grow non-stop right through that.