![]() ![]() Roman, "Maximum Drawdown Distributions with Volatility Persistence", working paper, 2005. Steiner, Andreas, "Ambiguity in Calculating and Interpreting Maximum Drawdown," working paper (December), 2010. Maximum drawdown and CVaR are well suited risk measures for hedge funds due to large negative skew or tail risk inherent in most hedge fund strategies.Atiya, "Maximum Drawdown", Risk Magazine (October), 2004. Kim, Daehwan, "Relevance of Maximum Drawdown in the Investment Fund Selection Problem when Utility is Nonadditive", working paper (July), 2010.T., "Maximum Drawdowns of Hedge Funds with Serial Correlation", Journal of Alternative Investments (vol 8, no 4) (Spring), pp. 26–38, 2006. Hoesli, "The Maximum Drawdown as a Risk Measure: The Role of Real Estate in the Optimal Portfolio Revisited", working paper (June 24), 2003. ![]() Discretionary macro recorded a maximum drawdown of 8.1 over the 19972022 data period previously cited, compared to a 50.9 max drawdown for US equities (S&P 500 Total Return Index). It is a continuation of the research done for a shorter period, tha. Historically, macro hedge funds have shown shallower peak-to-trough losses during market selloffs. The examined period is from 1990 to 2011 and the data were provided by Hedge Fund Research. We argue that relative drawdowns and their. Zhou, "Optimal Investment Strategies for Controlling Drawdowns", Mathematical Finance 3, pp. 241–276, 1993. The study concentrates on the comparison of hedge fund efficiency measured by maximum drawdown measures with traditional risk/return ratios. The second main departure is to analyze the dynamics of hedge funds drawdowns in- stead of its maximum past level. LAhelec (2016) using a subset of hedge funds in the managed futures space that. Mahmoud, "On a Convex Measure of Drawdown Risk", working paper, Center for Risk Management Research, UC Berkeley, 2014. the historical maximum drawdown (MDD) commonly used in the industry.
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