Login
Roast topics
Find topics
Find it!
From:
Outcast Beta
(Uncensored)
subscribe
Drawdown risk = portfolio volatility normalized by Sharpe ratio - Outcast Beta
https://outcastbeta.com/drawdown-risk-portfolio-volatility-normalized-by-sharpe-ratio/
links
backlinks
Roast topics
Find topics
Roast it!
We show analytically, simulate and demonstrate empirically that portfolio volatility normalized by Sharpe ratio predicts drawdown risk.
