Optimal Portfolio Strategy under Rolling Economic Maximum Drawdown Constraints

Table 6

Performance statistics of two risky assets’ investment.

Statistics	Without correlation coefficient			With correlation coefficient
	YZ strategy	RS strategy	REDP strategy	YZ strategy	RS strategy	REDP strategy
Max REDD	28.40%	18.87%	11.87%	19.93%	23.20%	7.96%
Mean REDD	5.01%	3.56%	2.24%	2.59%	3.33%	1.99%
Maximum drawdown	31.86%	19.97%	11.85%	21.27%	25.47%	8.13%
Annualized return	6.83%	5.81%	8.28%	4.80%	5.36%	7.64%
Annualized return S.E.	10.70%	8.23%	7.68%	5.30%	7.64%	6.77%
Sharpe ratio	0.3678	0.3544	0.7013	0.3602	0.3228	0.7016
Final wealth	4.2751	3.4621	5.7563	2.8048	3.153	5.0512