Posts tagged ‘Max Drawdown’
Money, Power, and Wall Street (FRONTLINE)
Tail Risk: About 5x Worse Than You May Think (paper)
“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”
A Constant Volatility Framework for Managing Tail Risk (paper)
“During crises, historical correlations between asset classes and their volatility characteristics tend to break down; asset classes which have, in normal times, been uncorrelated, suddenly become correlated and alternative investments, which have been selected based on their ability to generate alpha without beta, suddenly appear to deliver high beta with little alpha...”
NBR: Black Monday
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.
Bleed or Blowup? Why Do We Prefer Asymmetric Payoffs?
As a trader which would you prefer: A slow bleed of small losses with occasional big winners (ala momentum strategies) or large infrequent losses with many small winners (ala mean reversion)? This interesting 2004 paper (by none other than Taleb himself) discusses.
Summer 2011: A Rough Period for Many Trading Strategies
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):
System Lab: Live Intraday System Details
I’ve been trading an intraday system live (with real $$) for just over two years now. Its based on mean reversion principles with a few extra wrinkles of my own design.
Here’s my live actual net returns as of yesterday (click to zoom):
