Drawdown Look at Frontier of Assets and Systems

April 23, 2012
By

(This article was first published on Timely Portfolio, and kindly contributed to R-bloggers)

In Efficient Frontier of Funds and Allocation Systems, I had hoped to start exploring how a frontier can potentially be created with only one asset, or how an even more efficient frontier could be created with assets and also systems on those assets.  I am obsessed with drawdown, so of course I need to extend that post with a look at drawdown to satisfy this obsession. If you have not read the original post, please read it before this, since I will only show the additional graph created.

From TimelyPortfolio

R code from GIST:

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