问题如下:
For a portfolio with 10 year performance, the maximum drawdown is -24% and the drawdown duration is 4 months, which indicates that
选项:
A.
the portfolio recovered quickly from its maximum loss.
B.
over the 10-year period, the average maximum loss was –24.00%.
C.
a significant loss once persisted for four months before the portfolio began to recover.
解释:
A is correct.
Maximum drawdown is the cumulative peak-to-trough loss during a continuous period. Drawdown duration is the total time from the start of the drawdown until the cumulative drawdown recovers to zero, which can be segmented into the drawdown phase (start to trough) and the recovery phase (trough to zero cumulative return). The maximum drawdown was –24.00%, with a drawdown period of four months. Given the 10-year time frame, the portfolio recovered quickly from its maximum loss.
问题:A是不是也是错的?Maximum drawdown 我理解并不一定是Maximum loss,比如下图第二个draw down更大,但loss没有第一个大。不知是否理解正确