Drawdown Measures: Are They All the Same?

Over the years, a diverse range of drawdown measures has evolved to guide asset management. The authors show that almost all these fit into unified framework. This new framework simplifies implementation and improves an understanding their similarities differences. Conceptual differences between translate different rankings portfolios, which document in simulation study. Their research also shows can (to some degree) discriminate skillful unskillful portfolio managers, but differ terms accuracy. However, ability detect skill does not easily improve performance ratios where serve as denominator. In conclusion, this article choice adequate measure is vital assessment investments because emphasize aspects risk.