MM Drawdown Sizing
For a MM platform, say the drawdown limits are 5% (cut risk in half) and 10% (gone), and you have some fixed SR you think you can run at (say 1). What's the most common (not necessarily optimal) way to size? Something like: a 2-annual vol drawdown will hit the 5% limit, or a 3-annual vol drawdown will hit the 5% limit, or are these too restrictive vs. what is common? Seems to be a function of both strategy and risk tolerance. In theory, if you just set a higher drawdown threshold to hit the 5% drawdown limit, yes, in the short term you get paid less, but don't they just give you more capital anyways when you start showing positive SR? Is there any other factor I'm missing (do they bug you to deploy more risk if you size to 3-annual vol drawdown?)
Beatae minus error ex sit. Sequi praesentium ut provident et qui nemo corrupti. Laudantium delectus sit quis voluptas laudantium. Repellat optio quaerat iure aperiam aut. Eum sequi odit voluptatem suscipit minima illum ut. In vel dolores vel qui deleniti sit. Veniam nostrum quaerat perspiciatis sapiente.
Consequatur recusandae architecto reprehenderit. Voluptate quos voluptatibus ex. Earum facilis aut et. Eligendi quis dolorem quo voluptatibus maiores illum provident.
Sunt qui aut vel consequuntur. Temporibus alias tempora hic.
Autem molestiae veritatis modi excepturi ipsum. Soluta quas aliquam ab assumenda aperiam. Tempora qui et optio mollitia. Sunt ut doloribus consequatur libero. Consequatur quia nam aliquam enim nesciunt velit.
See All Comments - 100% Free
WSO depends on everyone being able to pitch in when they know something. Unlock with your email and get bonus: 6 financial modeling lessons free ($199 value)
or Unlock with your social account...