This paper studies the effect of a trailing stop-loss on equity returns and risk. Explicit expressions are derived for the expected return, variance and Sharpe ratio under geometric Brownian motion and a regime-switching model. Under constant drift, the results suggest that a trailing stop-loss is generally detrimental despite limiting drawdowns. However, when market conditions can deteriorate or when the sign of the drift is uncertain, a trailing stop-loss can increase expected return while reducing P&L volatility. The paper also shows how to optimise the trailing stop-loss level for either expected return or Sharpe ratio.