Wednesday, 17 April 2013

Maximum Drawdown for Previous Post

In my previous post I compared several investment strategies for the TSE. Here is an updated table which includes drawdown along with some of the usual risk measures. The seasonal strategy has the highest average annual return (11.35%) and lowest standard deviation. The seasonal strategy has the highest Sharpe Ratio, Sortino Ratio, and Omega Ratio.The seasonal strategy also has the lowest maximum drawdown.

Here is a chart showing how $1000 invested in December of 1970 has performed for each of the strategies.

Overall, the seasonal and moving average strategies provide some downside protection in case things go really bad.

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