Daily Archives: Nov 8, 2019 at 08:06 am EST

What’s The Best Methodology For Measuring Drawdown Risk?

The possibilities for quantifying risk in portfolio analytics seem to be limited only by the imagination of researchers. Indeed, you can find dictionaries that wade through an ever-lengthening list of indicators. But any short list of robust metrics surely deserves to include drawdown, which offers a powerful combination of relevance and simplicity. A new research paper reminds, however, that drawdown comes in several flavors and so investors need to think carefully when deploying this metric in the quest to identify genuinely skillful portfolio results.

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Macro Briefing | 8 November 2019

Michael Bloomberg may enter presidential race: Politico
US will reportedly forgo new tariffs on European autos: Bloomberg
Reports of easing tensions in US-China trade war lift stock market: WSJ
China’s imports and exports fell by less than expected in October: CNBC
10-year Treasury rate rises the most since Trump’s election: CNBC
US consumer credit in September rose at slowest pace in 15 months: MW
Last week’s drop in US jobless claims continue to signal healthy labor market: MW