Common risk metrics reported in academia include volatility, skewness, and factor exposures. The maximum drawdown statistic is rarely calculated, perhaps because it is path dependent and estimated with greater uncertainty. In practice, however, asset managers and fiduciaries routinely use the drawdown statistic for fund allocation and redemption decisions. To help such decisions, the authors begin by quantifying the probability of hitting a certain drawdown level, given various return distribution properties. Next, they show that drawdown-based rules can be particularly useful for improving investment performance over time by detecting managers that lose their ability to outperform. This can happen as a result of structural market changes, increased competition for the type of strategy employed, staff turnover, or a fund accumulating too many assets. Finally, they show that drawdown-based rules can be used as a risk reduction technique, but this affects both expected returns and risk. TOPICS: Portfolio theory, portfolio construction, manager selection, wealth management Key Findings • Drawdowns are particularly useful for detecting managers who have lost their ability to outperform. It is important to look at both drawdowns and overall performance measures such as Sharpe ratios. • Drawdown limits need to be dynamically adjusted to control for the length of time the assets have been managed. There is a greater chance for bad luck when the duration is longer. • When interpreting realized drawdowns, it is crucial to take the relative costs of Type I errors (firing good managers) and Type II errors (keeping bad managers) into account. Type I errors are particularly expensive if it is costly to find a new manager.

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亏损

学术界报告的常见风险指标包括波动性，偏度和因素暴露。最大跌幅统计很少被计算，这可能是因为它与路径有关并以更大的不确定性进行估计。但是，实际上，资产管理人和受托人通常使用提取统计数据来进行资金分配和赎回决策。为了帮助做出这样的决定，作者从给定各种收益分配属性的情况下量化达到一定亏损水平的概率开始。接下来，他们表明，基于缩编的规则通过检测失去表现出色的管理者，对于随着时间的推移改善投资绩效特别有用。这可能是由于结构性市场变化，对采用的策略类型的竞争加剧，人员流动，或累积太多资产的基金。最后，他们表明基于缩编的规则可以用作降低风险的技术，但这会影响预期收益和风险。主题：资产组合理论，资产组合结构，经理选择，财富管理主要发现•缩编对于检测失去了跑赢大盘能力的经理尤其有用。重要的是要同时考虑缩编和整体性能指标，例如Sharpe比率。•需要动态调整提取限额，以控制资产管理的时间长度。持续时间较长时，倒霉的机会更大。•在解释已实现的缩编时，至关重要的是要考虑到I类错误（解雇好的管理者）和II类错误（保留不良管理者）的相对成本。