A manager’s drawdown at time t is defined as follows:
- Find the time s where the maximum of the manager’s cumulative return from the beginning of the analysis period to time t occurs.
- The drawdown at time t is the manager’s cumulative return from time s to time t. Note that this cumulative return must be zero or a loss, because the manager’s high water mark from the beginning of the analysis period to time t occurs at s.
Related Statistics:
Pain Index
Pain Ratio
Maximum Drawdown
