Let $X$ be a scheme over $\mathbb{C}$, and $\Sigma$ a smooth projective curve over $\mathbb{C}$. Let $E$ be a locally free sheaf on $X\times \Sigma$. Denote $\pi : X\times \Sigma \to X$ the natural projection to the first coordinate.
Is it true that the direct image $\pi_*E$ is a locally free sheaf on $X$?
In case it isn't, I would also want to know is there any simple assumption on $X$ or $E$ that would make it true. Thank you in advance.
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There are several linked counterexamples. Here is one by Sasha: