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- W1594080475 abstract "This chapter reviews the concepts of drawdown, volatility, and correlation in trend following portfolios. There are several key methods for measuring and understanding drawdowns in trend following portfolios including expected maximum drawdown, drawdown length, and recovery periods. Trend following strategies are divergent risk-taking strategies that spread risk across many markets. Consistent with this approach, scenarios where many markets are losing represents periods when trend following strategies experience drawdowns. It is the number of successful markets and not the magnitude of successes that result in drawdowns. The chapter discusses the impact of correlation on trend following portfolios. During recent times, the market diversification benefit (MDB) measure has been decreasing. This suggests that recently the diversification in trend following portfolios has decreased. A closer examination of Sharpe ratios demonstrates that correlation has an inconclusive relationship with performance." @default.
- W1594080475 created "2016-06-24" @default.
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- W1594080475 date "2014-08-25" @default.
- W1594080475 modified "2023-10-17" @default.
- W1594080475 title "Characteristics of Drawdowns, Volatility, and Correlation" @default.
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- W1594080475 doi "https://doi.org/10.1002/9781118891018.ch8" @default.
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