Drawdown Average (drawdown_dev_avg)
Contents
Drawdown Average. 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)) .
Syntax
drawdown_dev_avg(matrix) |
short call |
drawdown_dev_avg_name(matrix) |
call with optional name |
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 Average function is calculated as follows
,
where:
,
are scenarios for Gain Function (See section Loss and Gain Functions)
is an argument of Drawdown Average function.
Example
Case Studies with Drawdown Average
See also
CDaR, CDaR for Gain, Drawdown Maximum, Drawdown Maximum for Gain, 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