Riley, Timothy B.; Yan, Qing - In: Financial analysts journal : FAJ 78 (2022) 4, pp. 59-76
Mutual funds’ maximum drawdowns (MDDs) are persistent, indicative of manager skill, and predictive of subsequent performance. Among funds with relatively strong past performance, those with relatively low past MDDs, on average, have an out-of-sample alpha of 2.40% per year. That alpha is...
