Examining the Drawdown Risk of Sector ETFs — 2022

A drawdown measures the distance (in %) of the portfolio value from its peak, reflecting its downside risk. If a portfolio had previously reached a peak of $100 and subsequently dropped to $90, then the portfolio experienced a 10% drawdown.

We examine the drawdown risk sector by sector through a collection of Sector ETFs over the period 1/1/2020–4/22/2022. As we will see…

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Boeing Endowed Chair Professor of Applied Math, Director of the Computational Finance & Risk Management (CFRM) Program at University of Washington, Seattle

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Tim Leung, Ph.D.

Tim Leung, Ph.D.

Boeing Endowed Chair Professor of Applied Math, Director of the Computational Finance & Risk Management (CFRM) Program at University of Washington, Seattle

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