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The Higher The Volatility, The Higher The Drawdowns
Lately I have read in a few places that "investors too often equate risk with volatility." The people who say these kinds of things rarely go on to present an argument based in statistical fact. This...
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Examining The Important Link Between Volatility and Drawdown
You hear the term ‘volatility’ thrown around a lot but it is really not well understood outside of the options market community. Ask people outside the options community how to calculate volatility...
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Understanding ETF Volatility Part 1
Volatility is a tough topic to get your hands around. But one key idea is to think in terms of drawdowns -- in general, the higher the volatility the higher the drawdown. What does this mean?...
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Drawdown Nuances In Backtesting Results
We have improved the quality of the backtesting applications again. All backtests will now display the path of returns on a daily basis, regardless of which update schedule you are on. This allows...
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Understanding ETF Volatility Part 2
We are updating our 'Volatility vs Subsequent Drawdown' Chart for 2011. We did a similar post a year ago and you can review that blog post here: Understanding ETF Volatility Part 1. The way to read...
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ETF Volatility Targeting
A new book in the Market Wizards series (by author Jack Schwager) has come out this month. While these books are a collection of interviews of great money managers -- Schwager himself also does a nice...
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Low Drawdowns and High Returns. 2017 thus far has been investment nirvana.
[Link to the tool in this blog (members): ETF Max Drawdown ]Over the past ~15 years, the bond market has generally had positive single-digit returns and also single-digit calendar year drawdowns. As...
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Chinese ETF Calendar Year Returns & Drawdowns
Link to ETFreplay Subscriber Tool: ETF Calendar Year Max Drawdowns
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