Research Article
Optimal Portfolio Strategy under Rolling Economic Maximum Drawdown Constraints
Table 5
Performance statistics of single risky asset investment.
| | Statistics | SPTR | DJUBS | | Historical data | YZ strategy | RS strategy | REDP strategy | Historical data | YZ strategy | RS strategy | REDP strategy |
| | Max REDD | 47.90% | 27.94% | 9.66% | 7.99% | 54.79% | 3.28% | 18.69% | 6.07% | | Mean REDD | 6.51% | 4.98% | 2.40% | 1.80% | 9.16% | 0.21% | 3.03% | 1.95% | | Maximum drawdown | 52.56% | 31.33% | 9.64% | 8.17% | 54.52% | 2.74% | 18.08% | 7.31% | | Annualized return | 7.13% | 6.83% | 6.23% | 7.27% | 1.50% | 2.81% | 3.00% | 4.50% | | Annualized return S.E. | 14.65% | 10.67% | 6.33% | 5.98% | 14.96% | 0.71% | 5.49% | 4.87% | | Sharpe ratio | 0.2891 | 0.3693 | 0.5272 | 0.7324 | −0.0929 | −0.1104 | 0.0202 | 0.3301 | | Final wealth | 4.4787 | 4.2805 | 3.7793 | 4.685 | 1.3906 | 1.8414 | 1.9173 | 2.6341 |
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Note: since the length of the rolling time window is one year, the period conducting the strategy is from March 1992 to December 2013.
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