How should investors think about maximum drawdown (MaxDD) as a portfolio/strategy performance metric? In their April 2020 paper entitled “Drawdowns”, Otto Van Hemert, Mark Ganz, Campbell Harvey, Sandy Rattray, Eva Martin and Darrel Yawitch examine usefulness of MaxDD for portfolio/strategy performance evaluation. They first quantify how MaxDD relates to key return statistics based on 100,000…… Keep Reading
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