Statistics (MaxDD, Volatility)

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  • #78884
    alimcor
    Participant

    Hi, the statistics (MaxDD, Volatility) shown for each strategy and for the portfolios are with EOM (end of month) or EOD (end of day) data?
    Thanks

    #78893
    Alexander Horn
    Keymaster

    All statistics are calculated with daily data, so EOD. The MaxDD is the true daily drawdown, not the “realized” which only takes rebalance days into account.

    #78894
    alimcor
    Participant

    Perfect, thanks

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