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Drawdown: from practice to theory and back again

机译：缩水：从实践到理论再回溯

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Maximum drawdown, the largest cumulative loss from peak to trough, is one of the most widely used indicators of risk in the fund management industry, but one of the least developed in the context of measures of risk. We formalize drawdown risk as Conditional Expected Drawdown (CED), which is the tail mean of maximum drawdown distributions. We show that CED is a degree one positive homogenous risk measure, so that it can be linearly attributed to factors; and convex, so that it can be used in quantitative optimization. We empirically explore the differences in risk attributions based on CED, Expected Shortfall (ES) and volatility. An important feature of CED is its sensitivity to serial correlation. In an empirical study that fits AR(1) models to US Equity and US Bonds, we find substantially higher correlation between the autoregressive parameter and CED than with ES or with volatility.
机译：最大跌幅是从高峰到低谷的最大累积损失，是基金管理行业中使用最广泛的风险指标之一，但在风险衡量方面却是发展最少的指标之一。我们将提取风险正式化为有条件的预期提取（CED），这是最大提取分布的尾部均值。我们证明了CED是一级正均质风险度量，因此它可以线性地归因于各种因素。和凸的，因此可以用于定量优化。我们基于CED，预期缺口（ES）和波动率，从经验上探索风险归因的差异。 CED的重要特征是它对串行相关性的敏感性。在一项将AR（1）模型与美国股票和美国债券拟合的实证研究中，我们发现自回归参数与CED之间的相关性要比ES或波动性高得多。

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