Search Results - subject:"maximum drawdown"

Sustainable investing and the cross-section of returns and maximum drawdown

Goldberg, Lisa; Mouti, Saad - In: The Journal of finance and data science : JFDS 8 (2022), pp. 353-387

We use supervised learning to identify factors that predict the cross-section of returns and maximum drawdown for … impacted the predictive power of non-linear models in our data, despite their negative correlation with maximum drawdown and …

Persistent link: https://www.econbiz.de/10014433739

Islamic equity markets versus their conventional counterparts in the COVID-19 age : Reaction, resilience, and recovery

Chowdhury, Md Iftekhar Hasan; Balli, Faruk; De Bruin, Anne - In: International review of finance : the official journal … 22 (2022) 2, pp. 315-324

Persistent link: https://www.econbiz.de/10013275592

Maximum drawdown, recovery, and momentum

Choi, Jaehyung - In: Journal of Risk and Financial Management 14 (2021) 11, pp. 1-25

We empirically test predictability on asset price using stock selection rules based on maximum drawdown and its …-sectional return differentials. In monthly periods, the alternative portfolios ranked by maximum drawdown measures exhibit …

Persistent link: https://www.econbiz.de/10013201225

A refined measure of conditional maximum drawdown

Rossello, Damiano; Lo Cascio, Silvestro - In: Risk management : an international journal 23 (2021) 4, pp. 301-321

Persistent link: https://www.econbiz.de/10012792822

Maximum drawdown, recovery, and momentum

Choi, Jaehyung - In: Journal of risk and financial management : JRFM 14 (2021) 11, pp. 1-25

Persistent link: https://www.econbiz.de/10012795860

Performance Identification for REITs by Using Draw Measures

Stein, Michael; Rachev, Svetlozar T. - In: International Real Estate Review 16 (2013) 3, pp. 230-251

We use existing drawdown measures as well as modifications and extensions to gain insight into pronounced periods of gains and losses among global real estate companies. While there is no indication on heavier loss periods for companies that had experienced higher drawups in the previous market...

Persistent link: https://www.econbiz.de/10010902837

Empirische Analyse der Drawdowns von Dach-Hedgefonds

Heidorn, Thomas; Kaiser, Dieter G.; Roder, Christoph - 2009

recovery is higher with older FHF, (3) there is no difference in the magnitude of a maximum drawdown between small and large … FHF, (4) the higher a maximum drawdown of an FHF the longer it takes to recover, and (5) most of the maximum drawdowns …

Persistent link: https://www.econbiz.de/10010298952

Empirische Analyse der Drawdowns von Dach-Hedgefonds

Heidorn, Thomas; Kaiser, Dieter G.; Roder, Christoph - Frankfurt School of Finance and Management - 2009

Persistent link: https://www.econbiz.de/10005027049

Efficient Portfolio Optimization in the Wealth Creation and Maximum Drawdown Space

Reveiz, Alejandro; León, Carlos Eduardo - BANCO DE LA REPÚBLICA - 2008

correlation matrix typical of tranquil or euphoria periods, this paper proposes an alternative risk measure: the maximum drawdown …

Persistent link: https://www.econbiz.de/10005768099

Maximum Drawdown and the Allocation to Real Estate

HAMELINK, Foort; HOESLI, Martin - Swiss Finance Institute - 2003

We investigate the role of real estate in a mixed-asset portfolio when the maximum drawdown (hereafter MaxDD), rather …

Persistent link: https://www.econbiz.de/10005771822