May 2011
Intermediate to advanced
366 pages
11h 31m
English
book
Managed Futures for Institutional Investors: Analysis And Portfolio Construction
by Galen Burghardt, Brian Walls
Content preview from Managed Futures for Institutional Investors: Analysis And Portfolio Construction
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JWBT468-c08 JWBT468-Burghardt March 15, 2011 16:46 Printer Name: Courier Westford
CHAPTER 8
Understanding
Drawdowns
Within the universe of hedge funds and CTAs, one of the most widely quoted
measures of risk is peak-to-trough drawdown. Our experience suggests, how-
ever, that investors do not have a widely accepted way of forming expectations
about just how much managers who are in business over long periods of time
might be expected to lose. Rather, we find that investors tend to monitor
a manager’s worst or maximum drawdown with only informal or anecdotal
information about the manager’s average annual or previous year’s returns.
Drawdo ...
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I'm always learning. So when I got on to O'Reilly, I was like a kid in a candy store. There are playlists. There are answers. There's on-demand training. It's worth its weight in gold, in terms of what it allows me to do.