Universität zu Köln

Korn, Olaf, Moeller, Philipp M. and Schwehm, Christian (2022). Drawdown Measures: Are They All the Same? J. Portf. Manage., 48 (5). S. 104 - 121. LONDON: PAGEANT MEDIA LTD. ISSN 2168-8656

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Abstract

Over the years, a diverse range of drawdown measures has evolved to guide asset management. The authors show that almost all of these measures fit into a unified framework. This new framework simplifies the implementation of drawdown measures and improves an understanding of their similarities and differences. Conceptual differences between drawdown measures translate into different rankings of portfolios, which the authors document in a simulation study. Their research also shows that all drawdown measures can (to some degree) discriminate between skillful and unskillful portfolio managers, but differ in terms of accuracy. However, the ability to detect skill does not easily improve performance ratios where drawdown measures serve as the denominator. In conclusion, this article shows that the choice of an adequate drawdown measure is vital to the assessment of investments because different measures emphasize different aspects of risk.

Item Type:	Journal Article
Creators:	Creators Email ORCID ORCID Put Code Korn, Olaf UNSPECIFIED UNSPECIFIED UNSPECIFIED Moeller, Philipp M. UNSPECIFIED UNSPECIFIED UNSPECIFIED Schwehm, Christian UNSPECIFIED UNSPECIFIED UNSPECIFIED
URN:	urn:nbn:de:hbz:38-668759
DOI:	10.3905/jpm.2022.1.346
Journal or Publication Title:	J. Portf. Manage.
Volume:	48
Number:	5
Page Range:	S. 104 - 121
Date:	2022
Publisher:	PAGEANT MEDIA LTD
Place of Publication:	LONDON
ISSN:	2168-8656
Language:	English
Faculty:	Unspecified
Divisions:	Unspecified
Subjects:	no entry
Uncontrolled Keywords:	Keywords Language FUND PERFORMANCE; SHARPE RATIO; MANAGEMENT; SELECTION; SKILL Multiple languages Business, Finance Multiple languages
URI:	http://kups.ub.uni-koeln.de/id/eprint/66875