TY - JOUR T1 - Maximum Drawdowns of Hedge Funds with Serial Correlation JF - The Journal of Alternative Investments SP - 26 LP - 38 DO - 10.3905/jai.2006.627848 VL - 8 IS - 4 AU - Brian T. Hayes Y1 - 2006/03/31 UR - https://pm-research.com/content/8/4/26.abstract N2 - Maximum drawdown, the maximum peak-to-trough loss in net asset value (NAV), is a widely-used risk measure among alternative investment investors. Analogous to value-at-risk, a-percentile maximum-drawdown-at-risk (MDaR) is the maximum drawdown such that a fund recovers its peak NAV a-percent of the time before reaching it. In this article formulas for MDaR are derived, depending on a fund's mean return, volatility and serial correlation. The model-based MDaR are compared with historical MDaR of hedge fund indexes and simulated MDaR of an autoregressive model.TOPICS: Real assets/alternative investments/private equity, VAR and use of alternative risk measures of trading risk, statistical methods ER -