Drawdown Maximum. 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)).

 

Syntax

 

Parameters

matrix        is a Matrix of Scenarios:

       

where the header row contains names of variables (except scenario_probability, and scenario_benchmark). Other rows contain numerical data. The scenario_probability, and scenario_benchmark columns are optional.

 

Mathematical Definition

Drawdown Maximum function is calculated as follows

,

where:

,

are scenarios for Gain Function (See section Loss and Gain Functions)

is an argument of Drawdown Maximum.

 

Example

 

Case Studies with Drawdown Maximum

 

See also

CDaR, CDaR for Gain, Drawdown  Maximum for Gain, Drawdown  Average, Drawdown  Average for Gain, CDaR Multiple, CDaR for Gain Multiple, Drawdown  Maximum Multiple, Drawdown  Maximum for Gain Multiple, Drawdown  Average Multiple, Drawdown  Average for Gain Multiple