Drawdown

2 stories tagged Drawdown on Learning Fanatic.

Lesson 4.2: Performance metrics: Sharpe, drawdown and Sortino Learn to measure a strategy: Sharpe, Sortino and Calmar ratios, drawdown, how long a track record must be, and how crash risk hides inside the Sharpe ratio.
Lesson 1.3: Returns, compounding and risk Learn to measure performance correctly: simple and log returns, compounding, volatility drag, annualising, drawdowns and why average returns are so noisy.