Performance Drawdowns in Asset Management: Extending Drawdown Analysis to Active Returns

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Performance Drawdowns in Asset Management: Extending Drawdown Analysis to Active Returns
Daryl Bradford, CFA, CIPM, Acadian Asset Management and
Daniel Siliski, CAIA, Acadian Asset Management

Drawdown and maximum drawdown are standard measures of investment performance, used by portfolio managers in reporting and analysis, as well as by allocators and consultants in the processes of manager selection and performance monitoring. Active drawdown, or benchmark relative drawdown, is a natural extension of the concept of performance drawdowns.

Performance Drawdowns in Asset Management: Extending Drawdown Analysis to Active Returns
Daryl Bradford, CFA, CIPM, Acadian Asset Management and
Daniel Siliski, CAIA, Acadian Asset Management

Drawdown and maximum drawdown are standard measures of investment performance, used by portfolio managers in reporting and analysis, as well as by allocators and consultants in the processes of manager selection and performance monitoring. Active drawdown, or benchmark relative drawdown, is a natural extension of the concept of performance drawdowns.

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