Market Drawdowns

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Max Drawdown Distribution Gamma-Exponential Mixture: ∞ ∫0 ⎛ ⎝ ⎜ e −λ/β β −α λ −(1+α ) ⎞ Γ α ⎠ ⎟ [ ] ( λe −λx )dλ Variant of a Pareto Distribution (Lomax) f [Δ] = αβ(1+ βΔ) −(1+α ) F[Δ] = 1− (1+ βΔ) −α 13
Page 1 and 2: 180 Years of Market Drawdowns IHES
Page 3 and 4: Myopia Day-to-day details overwhelm
Page 5 and 6: Drawdowns Cumulative log returns: t
Page 7 and 8: Full Dataset 1835-2015 7
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Page 11: One spends about 75% in a drawdown
Page 15 and 16: Gaussian Simulation 15
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Page 25 and 26: Pre Great Depression 1835-1928 25
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Page 29 and 30: Post World War II 1950-2015 29
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Page 33 and 34: Comparisons 33
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Page 37 and 38: Conclusions 37
Page 39: Thank You 39

Market Drawdowns

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