Research Article
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 |
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