Posts tagged ‘Max Drawdown’
Full length video of all four episodes can be found at PBS FRONTLINE
“We examined 50-years of historical S&P 500 Index data and compared the actual tail risk frequency and magnitude to the expectations of a typical investor operating under modern portfolio theory. The difference between the two is surprising, and it suggests that investors have significantly underestimated tail risk frequency and severity”
On October 19, 1987 the DJIA dropped 508 points (-23%) in the largest single-day crash in history. This Nightly Business Report clip was broadcast that evening.
Based on some of the charts over at C2, Summer 2011 was a pretty rough period for many trading systems. The S&P500 fell 16 % in just the first nine days of August, and continued to slide during the next two months:
During the carnage the market spanked many a trading system, sucking down their equity curves with double digit drawdowns. Here’s a few examples (click on the charts for more info):