Posts Tagged ‘ Drawdown ’

Drawdown Determined Position Size

November 19, 2012
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Drawdown Determined Position Size

This caught my eye as I searched for some more academic research on my favorite risk measure drawdown. Yang, Z. George and Zhong, Liang,Optimal Portfolio Strategy to Control Maximum Drawdown - The Case of Risk Based Dynamic Asset Allocation (February ...

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Statistics of Drawdown–paper and post

June 11, 2012
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Statistics of Drawdown–paper and post

Thank so much to Patrick Burns’ post Variability in maximum drawdown.  He starts with “Maximum drawdown is blazingly variable,” which I say is why money management is so blazingly difficult.  After spending a lot of time thinking about ...

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Conditional Drawdown Exploration

May 31, 2012
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Conditional Drawdown Exploration

After reading Strub, Issam S., Trade Sizing Techniques for Drawdown and Tail Risk Control (May 21, 2012), I thought I should try to tie this with 2 other good R pieces on Conditional Drawdown: http://systematicinvestor.wordpress.com/2011/11/01/minimiz...

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Drawdown Look at Frontier of Assets and Systems

April 23, 2012
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Drawdown Look at Frontier of Assets and Systems

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.&n...

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Is Drawdown the Biggest Determinant of System Success?

December 1, 2011
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Is Drawdown the Biggest Determinant of System Success?

In all my system development, I still have not been able to determine what universal underlying conditions significantly improve a system’s chances of outperforming buy-and-hold.  Also, I have found very little discussion, so maybe R with some h...

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Estimating Probability of Drawdown

June 19, 2010
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Estimating Probability of Drawdown

I've shown several examples of how to use LSPM's probDrawdown function as a constraint when optimizing a leverage space portfolio.  Those posts implicitly assume the probDrawdown function produces an accurate estimate of actual drawdo...

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