9/9/2023 0 Comments Spy max drawdown![]() Figure 1 shows several portfolios that provided above-market returns with less than 25% drawdown. The portfolios in Figure 1 have a drawdown range from 12% to 65%.īut there were some bright (or at least brighter) spots. SPY is #66 (indicated by the blue arrow) in Figure 1, below. For example, the S&P 500 ( SPY) had a 51% drawdown. The resulting scatterplot reminds us of the brutality of the 2008 market decline. For a PDF of this scatterplot and a complete list of all 65 portfolios, download VizMetrics Report #vm03, which is part of the VizMetrics Free subscription. The best portfolios will be at the top left of the chart, and the worst portfolios at the bottom right. Annual total return is the Y-axis, and maximum drawdown is the X-axis. We used month-end data, so this will not capture intra-month highs and lows.įinally, we plotted all the portfolios on a risk vs. Third, we calculated the maximum drawdown and total return (the compounded annual growth rate) for each portfolio for 2007-2013. Tactical income portfolios are included for comparison, even though some of these portfolios may focus solely on equity or debt. These portfolios include funds run by well-known asset managers, balanced funds, and ETF model portfolios.
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