Research Article
Optimal Portfolio Strategy under Rolling Economic Maximum Drawdown Constraints
Table 7
Performance statistics of REDP strategy with different drawdown limit.
| | Statistics/ | Without correlation coefficient | With correlation coefficient | | 1/3 | 0.25 | 0.2 | 0.15 | 1/3 | 0.25 | 0.2 | 0.15 |
| | Max REDD | 11.87% | 8.89% | 9.00% | 10.91% | 7.96% | 5.20% | 4.41% | 4.40% | | Mean REDD | 2.24% | 1.46% | 1.12% | 0.97% | 1.99% | 1.18% | 0.77% | 0.44% | | Maximum drawdown | 11.85% | 8.21% | 8.32% | 9.33% | 8.13% | 4.39% | 3.62% | 3.61% | | Annualized return | 8.28% | 7.47% | 6.78% | 5.87% | 7.64% | 7.20% | 6.68% | 6.04% | | Annualized return S.E. | 7.68% | 5.79% | 4.87% | 4.09% | 6.77% | 5.16% | 4.04% | 3.00% | | Sharpe ratio | 0.7013 | 0.7908 | 0.7988 | 0.7285 | 0.7016 | 0.834 | 0.9373 | 1.0471 | | Final wealth | 5.7563 | 4.8812 | 4.2336 | 3.5104 | 5.0512 | 4.6116 | 4.1461 | 3.6301 |
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