英文标题：
《You are in a drawdown. When should you start worrying?》
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作者：
Adam Rej, Philip Seager, Jean-Philippe Bouchaud
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最新提交年份：
2017
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英文摘要：
Trading strategies that were profitable in the past often degrade with time. Since unlucky streaks can also hit \"healthy\" strategies, how can one detect that something truly worrying is happening? It is intuitive that a drawdown that lasts too long or one that is too deep should lead to a downward revision of the assumed Sharpe ratio of the strategy. In this note, we give a quantitative answer to this question based on the exact probability distributions for the length and depth of the last drawdown for upward drifting Brownian motions. We also point out that both managers and investors tend to underestimate the length and depth of drawdowns consistent with the Sharpe ratio of the underlying strategy.
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中文摘要：
过去盈利的交易策略往往会随着时间的推移而降低。既然不幸的连胜也会打击“健康”策略，那么我们如何才能发现真正令人担忧的事情正在发生呢？根据直觉，持续时间太长或深度太深的缩减应导致战略假设夏普比率的向下修正。在本文中，我们根据向上漂移布朗运动最后一次水位下降的长度和深度的精确概率分布，给出了这个问题的定量答案。我们还指出，管理者和投资者都倾向于低估与基础战略夏普比率一致的提款长度和深度。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Portfolio Management 项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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