%0 Journal Article
%A Brian T. Hayes
%T Maximum Drawdowns of Hedge Funds with Serial Correlation
%D 2006
%R 10.3905/jai.2006.627848
%J The Journal of Alternative Investments
%P 26-38
%V 8
%N 4
%X 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
%U https://jai.pm-research.com/content/iijaltinv/8/4/26.full.pdf