@article {Hayes26, author = {Brian T. Hayes}, title = {Maximum Drawdowns of Hedge Funds with Serial Correlation}, volume = {8}, number = {4}, pages = {26--38}, year = {2006}, doi = {10.3905/jai.2006.627848}, publisher = {Institutional Investor Journals Umbrella}, abstract = {Maximum drawdown, the maximum peak-to-trough loss in net asset value (NAV), is a widely-used risk measure among alternative investment investors. Analogous to value-at-risk, a-percentile maximum-drawdown-at-risk (MDaR) is the maximum drawdown such that a fund recovers its peak NAV a-percent of the time before reaching it. In this article formulas for MDaR are derived, depending on a fund{\textquoteright}s mean return, volatility and serial correlation. The model-based MDaR are compared with historical MDaR of hedge fund indexes and simulated MDaR of an autoregressive model.TOPICS: Real assets/alternative investments/private equity, VAR and use of alternative risk measures of trading risk, statistical methods}, issn = {1520-3255}, URL = {https://jai.pm-research.com/content/8/4/26}, eprint = {https://jai.pm-research.com/content/8/4/26.full.pdf}, journal = {The Journal of Alternative Investments} }