Optimal Portfolio Strategy under Rolling Economic Maximum Drawdown Constraints
Table 1
Performance statistics of single risky asset simulation case.
YZ strategy
RS strategy
REDP strategy
Max
Max REDD
30.372%
22.066%
23.439%
Maximum drawdown
47.138%
22.746%
28.961%
Annualized return
11.958%
6.679%
7.663%
Annualized return S.E.
14.471%
6.597%
6.226%
Sharpe ratio
0.654
0.566
0.742
Final wealth
99.786
13.941
20.266
Mean
Max REDD
11.641%
12.184%
9.581%
Maximum drawdown
12.865%
11.131%
8.301%
Annualized return
3.952%
3.314%
4.425%
Annualized return S.E.
5.449%
5.286%
4.895%
Sharpe ratio
0.098
0.046
0.276
Final wealth
5.625
3.934
6.064
Note: /12, , , , , and price path length = 500 months. Also /3. 3574 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.
