How do I interpret max drawdown and annualized standard deviation?
I'm studying hedge funds and I'm looking at two figures that I'm not sure how to interpret:
The first is Max Drawdown, which I see scaling from 0 to -30ish.
Is Fund A with a MDD of -15 more or less volatile than Fund B with a MDD of -30?
The second is Annualized Standard Deviation, which I see scaling from 0 to 400ish.
Is Fund A with a ASD of 40 more or less volatile than Fund B with a ASD of 350?
(1)1 Comments
Sorted by latest first Latest Oldest Best
The maximum drawdown is the worst top to bottom performance. For example if the fund's value goes like 100, 105, 92, 94, 90, 100, 110, 103, 112 the max DD is the performance from 105 to 90 which is worst performance an investor could have received due to bad timing.
Annualised standard deviation is another word for volatility.
Terms of Use Privacy policy Contact About Cancellation policy © freshhoot.com2025 All Rights reserved.