Published: January 27, 2014
We recently had a discussion with some fellow investors about the best risk measures for evaluating an asset allocation portfolio. It became clear that maximum drawdown is a key "fear metric" to consider as part of the asset allocation decision. Maximum Drawdown measures the amount of portfolio value lost (in percentage terms) from peak to trough in a given time period.
But a chart today covering the past five years (2009-2013) will no longer reflect the maximum drawdown during the 2008 crisis.
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