CDaR Group

Full Name

Brief Name

Short Description

CDaR

cdar_dev

For every time moment, j=1,...J ,  portfolio  drawdown = d(j) = maxn ((uncompounded cumulative portfolio return at time moment n ) - (uncompounded cumulative portfolio return at time moment j )). CDaR  = CVaR Component Positive of vector (d(1), ..., d(J)) = average of the largest (1-α)%  components of the vector (d(1), ..., d(J)), where 0≤α≤1 .

CDaR for Gain

cdar_dev_g

For every time moment, j=1,...J ,  portfolio  -drawdown = -d(j) = maxn (-(uncompounded cumulative portfolio return at time moment n ) + (uncompounded cumulative portfolio return at time moment j )). CDaR  for Gain = CVaR Component Positive of vector (-d(1), ...,- d(J)) = average of the largest (1-α)%  components of the vector (-d(1), ..., -d(J)), where 0≤α≤1 .

Drawdown  Maximum

drawdown_dev_max

For every time moment, j=1,...J ,  portfolio drawdown = d(j) =  maxn ((uncompounded cumulative portfolio return at time moment n ) - (uncompounded cumulative portfolio return at time moment  j )). Drawdown Maximum = Maximum Component Positive of vector (d(1), ..., d(J)) =  largest  component of the vector (d(1), ..., d(J)).

Drawdown  Maximum for Gain

drawdown_dev_max_g

For every time moment, j=1,...J ,  portfolio -drawdown = -d(j) =  maxn (-(uncompounded cumulative portfolio return at time moment n ) + (uncompounded cumulative portfolio return at time moment  j )). Drawdown Maximum for Gain =  Maximum Component Positive of vector (-d(1), ...,- d(J)) =  largest  component of the vector (-d(1), ..., -d(J)).

Drawdown  Average

drawdown_dev_avg

For every time moment, j=1,...J ,  portfolio drawdown = d(j) =  maxn ((uncompounded cumulative portfolio return at time moment n ) - (uncompounded cumulative portfolio return at time moment  j )). Drawdown Deviation  = average of components of the vector (d(1), ..., d(J)) .

Drawdown  Average for Gain

drawdown_dev_avg_g

For every time moment, j=1,...J ,  portfolio -(drawdown) = -d(j) =  maxn (-(uncompounded cumulative portfolio return at time moment n ) + (uncompounded cumulative portfolio return at time moment  j )). Drawdown  Average for Gain =  average of components of the vector (-d(1), ...,- d(J)).

CDaR Multiple

cdarmulti_dev

Suppose we have k=1,..., K portfolio return sample-paths. For every sample-path k,  and every time moment, j=1,...J ,  portfolio drawdown = d(k,j) = maxn ((uncompounded cumulative portfolio return at time moment n on sample-path k ) - (uncompounded cumulative portfolio return at time moment j on sample-path k )). CDaR Multiple = CVaR Component Positive of the vector (d(1,1), ..., d(K,J)) = average of the largest (1-α)%  components of the vector  (d(1,1), ..., d(K,J)), where 0≤α≤1 .

CDaR for Gain Multiple

cdarmulti_dev_g

Suppose we have k=1,..., K portfolio return sample-paths. For every sample-path k,  and every time moment, j=1,...J ,  portfolio -drawdown = -d(k,j) = maxn (-(uncompounded cumulative portfolio return at time moment n on sample-path k ) + (uncompounded cumulative portfolio return at time moment j on sample-path k )). CDaR for Gain Multiple = CVaR Component Positive of the vector (-d(1,1), ..., -d(K,J)) = average of the largest (1-α)%  components of the vector  (-d(1,1), ..., -d(K,J)), where 0≤α≤1 .

Drawdown  Maximum Multiple

drawdownmulti_dev_max

Suppose we have k=1,..., K portfolio return sample-paths. For every sample-path k,  and every time moment, j=1,...J ,  portfolio drawdown = d(k,j) = maxn ((uncompounded cumulative portfolio return at time moment n on sample-path k ) - (uncompounded cumulative portfolio return at time moment j on sample-path k )). Drawdown Maximum Multiple = maximum of components of the vector (d(1,1), ..., d(K,J))

Drawdown  Maximum for Gain Multiple

drawdownmulti_dev_max_g

Suppose we have k=1,..., K portfolio return sample-paths. For every sample-path k,  and every time moment, j=1,...J ,  portfolio -drawdown = -d(k,j) =  maxn (-(uncompounded cumulative portfolio return at time moment n on sample-path k ) + (uncompounded cumulative portfolio return at time moment  j on sample-path k )). Drawdown Maximum for Gain Multiple = maximum of components of the vector (-d(1,1), ..., -d(K,J)) . 

Drawdown  Average Multiple

drawdownmulti_dev_avg

Suppose we have k=1,..., K portfolio return sample-paths. For every sample-path k,  and every time moment, j=1,...J ,  portfolio drawdown = d(k,j) =  maxn ((uncompounded cumulative portfolio return at time moment n on sample-path k ) - (uncompounded cumulative portfolio return at time moment  j on sample-path k )). Drawdown Average Multiple = average of components of the vector (d(1,1), ..., d(K,J))

Drawdown  Average for Gain Multiple

drawdownmulti_dev_avg_g

Suppose we have k=1,..., K portfolio return sample-paths. For every sample-path k,  and every time moment, j=1,...J ,  portfolio -drawdown = -d(k,j) =  maxn (-(uncompounded cumulative portfolio return at time moment n on sample-path k ) + (uncompounded cumulative portfolio return at time moment  j on sample-path k )). Drawdown Average for Gain Multiple = average of components of the vector (-d(1,1), ..., -d(K,J)) .