Drawdowns

O Van Hemert, M Ganz, CR Harvey… - The Journal of …, 2020 - jpm.pm-research.com
Common risk metrics reported in academia include volatility, skewness, and factor
exposures. The maximum drawdown statistic is rarely calculated, perhaps because it is path …

Performance of renewable and non-renewable exchange-traded funds during heightened uncertainty

A Valadkhani - Applied Economics, 2023 - Taylor & Francis
This study adopts a composite threshold model that differentiates between the upside and
downside betas of the major US-based renewable and non-renewable exchange-traded …

Generating drawdown-realistic financial price paths using path signatures

E Lemahieu, K Boudt, M Wyns - arXiv preprint arXiv:2309.04507, 2023 - arxiv.org
A novel generative machine learning approach for the simulation of sequences of financial
price data with drawdowns quantifiably close to empirical data is introduced. Applications …

Determination of profit quantification on kelly betting based on relative entropy

ME Wu, CJ Lee, WH Chung… - Quality Technology & …, 2021 - Taylor & Francis
ABSTRACT In 1956, John Kelly formulated an optimal strategy, the so-called 'Kelly criterion',
for bidding at each step of a favorable game when the odds and probability of winning are …

Portfolio management of commodity trading advisors with volatility targeting

M Molyboga - Journal of Investment Strategies (Forthcoming), 2018 - papers.ssrn.com
I show analytically that a volatility-targeted allocation methodology improves the risk-
adjusted performance of portfolios under a broad set of assumptions regarding the serial …

Maximum Drawdown Distributions: The Cross-Asset Dimension

P Warken, A Kostyrina - The Journal of Investing, 2021 - pm-research.com
Potential severe drawdowns are a central concern of investors and pose a risk often
inadequately considered in the risk profiling or portfolio optimization process. In this article …

Maximum Cumulative Underperformance: A New Metric for Active Performance Management

K Khang, M Ertl - Available at SSRN, 2023 - papers.ssrn.com
We propose a new metric to monitor an active manager's performance:'maximum cumulative
underperformance'(MaxCU). MaxCU measures the maximum cumulative underperformance …

[BOOK][B] Your Essential Guide to Quantitative Hedge Fund Investing

M Molyboga, LE Swedroe - 2023 - taylorfrancis.com
Your Essential Guide to Quantitative Hedge Fund Investing provides a conceptual
framework for understanding effective hedge fund investment strategies. The book offers a …

Влияние международной диверсификации на эффективность инвестиционного портфеля в рамках российского финансового рынка

СА Тимофеев, ЯН Нахимова - Финансы и кредит, 2021 - elibrary.ru
Предмет. Диверсифицированная индексная инвестиционная стратегия. Цели.
Разработка привлекательной инвестиционной стратегии в системе координат …

Portföy seçiminde expected maximum drawdown yaklaşımı: BIST100–S&P500 uygulaması

U Uyar, H Küçükşahin - 2017 - ceeol.com
In the study, the maximum drawdown criterion frequently used by investment specialists and
fund managers in the practice of risk factor measurement was carried out. Within the scope …