Optimal Portfolio Strategy under Rolling Economic Maximum Drawdown Constraints
Table 3
Performance statistics of two-risky-asset simulation case.
YZ strategy
RS strategy
REDP strategy
Max
Max REDD
22.529%
21.724%
19.598%
Maximum drawdown
38.701%
72.348%
44.005%
Annualized return
8.984%
5.882%
7.899%
Annualized return S.E.
10.201%
8.367%
8.087%
Sharpe ratio
0.888
0.699
0.973
Final wealth
33.308
10.270
22.155
Mean
Max REDD
12.039%
14.566%
12.029%
Maximum drawdown
19.699%
30.211%
18.137%
Annualized return
1.909%
1.123%
2.803%
Annualized return S.E.
5.528%
6.970%
6.649%
Sharpe ratio
0.304
0.151
0.411
Final wealth
2.515
1.759
3.412
Note: /12, , , , , , and price path length = 500 months. Also /3. 5000 simulations. Final wealth refers to the return at the end of the investment period if one dollar was invested at the beginning of the period.
