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rm,t =
rm1,tcm*rm1,t 1cm
Oncewehavefoundthissolutionfor cm tocreate rm,t ,wewillneedtoiteratebackto removethefirst(m1)autocorrelationsagain.Asmentionedtheprocessisiterateduntilallthe valuesaresufficientlyclosetozero. Implementation:Asthesolution(closedform)for rm,t isdifferentfromtheoneobtainedfrom lme/glsacffunctionsinpackagenlme.Iplantoimplementafunctionwhichwouldrequire checkingoffollowingconditionateverystep:
andalsorepeatthestepuntiltheautocorrelationaresufficientlyclosetozero. GLMModel:
GentlerModel:skipitasitalreadyhasbeenimplemented.
Thesameprinciplecanbeappliedtothekurtosis:
0 Where: X t = r0 t r (mean)
asaconsequencetheequationcanbewrittenasforMA(k):
Implementation:IplantousethemomentspackageinR,wherefunctionssuchasskewness, kurtosiswouldbeusedtoprintatableforcomparativemeasurebetweensmoothedand unsmoothedreturn. 3.Calculatenormalizeddrawdownforgivenvolatilityandtrackrecordlength Methodology:Theanalysisofpapershowsthatthethreemostimportantdeterminantsof drawdownsareI)lengthoftrackrecord,II)meanreturnandIII)volatilityofreturns.Accordingto thepaper,thesimulateddrawdowndistributionsexplainingthedrawdownpatternsthatCTAs( commoditytradingadvisers)haveexhibitedoverthepast10years. Implementation:Thedrawdownsobtainedinthepaperaretheresultofaddingtogether sequencesofreturns.Asaresult,eventhoughthedistributionfromwhichanygivenreturnis drawnmaybehighlyskewed/exhibitfattails,theresultofaddingreturnstogetherproducesa randomvariablethattendstobemorenormallydistributed.
Thepaperdefinesthepdfas:
where:
n satisfiestheaboveequation.
D 2 Usingtheidentity,E[ D ]= G( h) .dhanddefining = * T /2 0
Implementation:Thepapercontinuestodescribetheclosedformsolution,whoseproofis beyondthescopeofthisproposal.Thepaperproposesanumericalsolutiongiventheasymptotic behaviouroftheintegralfunctionwithatable(giveninAppendixB).Thecodesubmittedforthe proposalusesthistablealongwithvariousintegralcondition(dependsonratios(suchas 2/ h),tocomputetheExpectedDrawdown. 5.Calculateexpectedmaximumdrawdownusingmovingblockbootstrap Theory:Continuingfromthepreviousfunction,thepaperdiscussedaapproachwhereitdivides managersintooneofthreegroups:lowvolatility(0%to12.5%),mediumvolatility(12.5%to25%) andhighvolatility(25%to50%). Implementation:Usingthegroupreturnsandgroupvolatilities,threemaximum drawdowndistributionsaresimulated.Then,usingthenumbersofmanagersineachofthe threegroups,weproducedacompositedistributionthatisaweightedaverageofthethree separatedistributions. Iplantoimplementawrapper:whichwouldusethenormalizeddrawdownfunction implementedinfunction4andtakesusersinputfornumberofmanagersineachgroupto generateaweighteddistribution. 6.Calculatetimeunderwater,penance,andclosedformexpectedmaximumdrawdown Theory:Theframeworkdescribedunderresearchpaperprovidesinvestmentmanagement informationtoportfoliomanagers.Thepaperaccommodatesreturnseriesforfirstorder seriallycorrelatedinvestmentoutcomes.Thederivesclosedformsolutionsforthegiventhree parameterswhicharedescribedbelow: MaximumDrawdown: Forsignificancelevel 1/2 ,theassociated Maximumdrawdowncanbedefinedasthemaximumprobabilisticdrawdownorworst drawdownregardlessoftimehorizonhasbeendefinedas:
(1) MaximumTimeUnderWater(TuW)istimeelapseduntiltheoccurrenceofthedrawdown.
(2)
TriplePenanceRule:Aninvestmentmanageratthebottomofhisperformancehastobe preparedforthepossibilityofremainingunderwaterforanadditionaltripleoftheperiodelapsed sincetheprevioushighwatermarkwithinthesameconfidenceinterval. TheTriplePenancerulehoweverassumesIIDcashflowsovertime( t ). Implementation:Snippetsofpythoncodehavebeenprovidedinthepaperfortheanalytical solution. MaximumDrawdown:ThesnippetusesaStandardNormalDistributionforagivensetof confidencelevel,timehorizon,meanandstddeviationtogenerateamontecarlosimulation (1million)withfirstorderautoregressivecoefficient. Iplantousetheqrnorm(n,mean,sd)functioninR,whichreturnsthespecifiedquantileloss undergivenconfidencelevel,togeneraterandomnormaldistributionandacf()functionsin packagenlmetoaccommodateforAR(1)togeneratedrawdownunderconfidencelevel SimilarlyaGoldenSectionAlgorithmhasbeenusedtocomputemaximumdrawdownofthe process.isatechniqueforfindingtheextremum(minimumormaximum)ofastrictlyunimodal functionbysuccessivelynarrowingtherangeofvaluesinsidewhichtheextremumisknownto exist. TimeUnderWater(TuW):Theanalyticalsolutioninthesnippetcodehasbeenimplemented usingtheGoldenSectionAlgorithmunderagivensetofquantilewhereextremeof searches(drawdownquantile,wouldbeprespecifiedbytheuser). TheTriplePenanceRule:ThevalueoftheparameterwouldbeamultiplicationofTuWtothe productof3. 7.AddanautocorrelationadjustmentmethodtoStdDev,skewnessandkurtosis Theory:Infinance,thetranslationofvariancefromdaydaytoweekweek,monthmonthoronan annualbasisisdoneundertheassumptionofIIDasshowninexamplebelow.
= n n * 1
Toaccountforautocorrelation,theformulaproposedis:
Implementation:Iplantousetheacf()functiontocomputethe ith lagcoefficientsinthe series.Giventheconditionn>kissatisfied,thetranslatedvarianceiscalculated.Theuserwould inputthefrequencyofthedataseriesmatrixandalsothetranslatedversiondesired. 8.AddanACadjusted'Lo'methodtoSharpeRatio ConsiderfirstthecaseofIIDreturns.Denoteby Rt(q) thefollowingqperiodreturn: Rt(q) Rt + Rt1 + ........Rtq+1 TherelationbetweentheLHSwiththesetoflaggingreturnsisdeterminedbythefollowing equation: Var[ Rt(q) ]= C ov(Rti,Rtj) = q * 2 + 2 * 2 * (q k) * k
i=0 j=0 k=1 i1 j1 q1
MM (q)/T
Implementation:ItwouldbeacontinuationoftheGLMfunctionwhichcomputesthextsvectorof various is andcomputethesumofsquaretoarriveatthesmoothingindex 11.Plotofmaximumdrawdowndistribution Methodology:Thecomputationparthasalreadybeenimplementedintheprevioussectionsfor BurghardtandLiu(2012). Implementation:R,Sweave,andLaTeX.wouldbeusedforchartpublication.Inparticular, x t a b l e inthex t a b l e packagewouldbeusedtogenerateacomparativetableforNonACand ACmaximumdrawdowndistribution. 12.PlotexpectedmaxDDversusrealizedmaxDD Implementation:Plotexpectedversusrealizedmaximumdrawdownsfortheoriginal setofdata,butthistimewehaveusedtheirrespectiveautocorrelationestimateswhen calculatingtheexpectedmaximumdrawdownforeachmethodssuchasusingbrownianmotion, normalized,magdonIsmail,BaileyandLopezdePrado(computationportiondiscussedinabove sections)inacompositeplot(ExpectedmaxDDvsrealizedmaxDD)alsocontainingy=xline forcomparativepurpose. 13.StackedbarplotoflagsforAC Implementation:Usageofacf()functionandggplot2andRcolorbrewerpackageforcreationof autocorrelationlagsstackedbarplot(numberdependentonuser) 14.Plotmaximumdrawdown/annualizedvolatilityasafunctionofSR Methodology:Supposethattherateofreturnoftheassetfollowsanormallawwithmeanand standarddeviation,N(,2).Inthatcase,theexpectedmaximumlosscanbecalculated.This isequalto:
where isthecumulativestandardnormal.andNisthenumberofdays.
TheaboveequationshowsMaximumDrawdown/VolatilityasafunctionofReturn/Volatility
Implementation: ProceededtoMonteCarlosimulations(1million/6000carriedbypaperfor36monthstime period)bysimulatingreturnsoveraperiodofdailyreturns(frequencytobeinputtedbyuser)and measuredmaximumdrawdownforvariedlevelsofannualisedreturndividedbyvolatilityvarying from[a,a](specifiedbyuser)bystepof0.01andplottingdataforvariedleveloflowertail quantiles(referredasthresholdpointsinpaper,1%,5%&10%)understandardnormaldistribution .ThefunctionwouldalsoinputxtsreturnseriesbyuserwhoseExpectedMaximumLosswould becalculatedandbenchmarkedagainstthemontecarlosimulatedMaxDD/volvsreturn/volplot forcomparativeinsights. 15.ProvideanalternateversionofConditionalDrawdown TheportfoliosConditionalValueatRisk(CVaR)usingmethodsinComparativeAnalysisof LinearPortfolioRebalancingStrategies:AnApplicationtoHedgeFundsbyKrokhmal,P.,S. Uryasev,andG.Zrazhevskyhasbeenimplementedunderthefunctionmin.cdar.portfolio, whichhasbeenpublishedinrbloggerswebsite. Chekhlov,UryasevandZabarankin(2003)proposealternativeversionofoptimizedcalculationto reducethecomputationtime. Givenatimeseriesofinstrument'sdrawdowns =( 1 ,........, n ),correspondingtotime moments( t1,.......,tn) ,theCDDfunctionalispresentedbyCVAR ( ),whichcomputationis reducedtothefollowinglinearprogrammingprocedure:
Theknapsackproblemisdualtolinearprogrammingproblemmentionedabove.Basedon dualitytheory,optimalvaluesofboththeobjectivefunctionscoincide. Hence,theproblemcanbesolvedbythestandardgreedyalgorithminO(nlog2n)time. IplantoimplementThesubselectpackagewhichprovidesthreefunctionswithdifferentsearch algorithms:annealasimulatedannealingtypesearchalgorithmgeneticageneticalgorithmand improveamodifiedlocalimprovementalgorithm. Theyperformbetterthanthegreedytypealgorithms,suchasthestandardstepwiseselection algorithmswidelyusedinlinearregression. AllfoursearchfunctionsinvokecodewrittenineitherC++(eleaps)orFortran(anneal,genetic andimprove),tospeedupcomputationtimes. 16.CalculateConditionalDrawdownatRisk(CDaR) ThealgorithmdiscretizingtimeintervalintoNpartsandthereturns,whichwouldbeusedto computetheAverage,MaxandConditiondrawdownbasedondifferentconstraintsandobjective function.Theproblemisthensolvedbymaximizingtheobjectfunctionusinglinearprogramming tools. 17.CalculateRollingEconomicDrawdown(REDD) Methodology:Thepaperproposeanalternativetotheanchoredtimewindow(sinceinception)for drawdowncalculation:aconstantrollingtimewindow.DefineaRollingEconomicMax(REM)at timet,lookingbackatportfoliowealthhistory(W)forarollingwindowoflengthH:
FromREM,theRollingEconomicDrawdown(REDD)isconsequentlydefinedas:
19.SupportHCandHACmethodswithinregressionfunctions
Implementation:inthepackagesandwichintheRsystem,HCandHACcovariancesmatrices cannowbeextractedfromthesamefittedmodelsusingvcovHCandvcovHAC.Usethe matricesforassessingpartialtorztest(forregression)forcoefficientsunderfunctionsfor regressionavailableinlmtestpackage.,Testinganddatingstructuralchangesinthepresence ofheteroskedasticityandautocorrelation(OLSbasedCUSUMtestusingquadraticspectral kernelHACestimatorofAndrews(1991)). Timeline Communityperiod: April24thtoMay27. TofamiliarizemyselfwithRfunctionalitiesusefulforproject, Interactionwithmentorabouttheexactrequirements.IwillremainactiveonIRCandMailing Liststodiscussandfinalizethedesignandstructureofnewalgorithmstobeimplemented. ImplementationofOWModel(OkunevandWhite),GLMModel(Getmansky,LoandMakarov)for calculationofunsmoothreturns.Thefunctionscanbetestedondatasetsresearcheduponinthe papaer.
week2:ImplementBurghardt,DuncanandLiu(2003)normalizeddrawdownmethodand expectedmaximumdrawdownusingmovingblockbootstrap TestingandDebugging week3:ImplementationofBurghardtandLiu(2012)functionsforautocorrelationadjustment, plotofExpectedDrawdownvsMaxDrawdownandstackedgraphplot TestingandDebugging week4:ImplementAcarandJames(1997)functions. week5:Chekhlov,UryasevandZabarankin(2000)conditionaldrawdownimplementation week6:Chekhlov,UryasevandZabarankin(2003)alternativeversions(methods). week7:BaileyandLopezdePrado(2012)ACadjusted'probabilistic'methodtoSharpeRatio
MANAGEMENTOFCODINGPROJECT Whatisthecommunicationplanwithmentors? Iwillreporttothemdailyoratleastonceineverytwodaysthroughemails.Willcontactthem throughskypeorgtalkincaseofanyconfusion. Howdoyouproposetoensurecodeissubmitted/tested? Iwilltrymybesttosticktothescheduleandworkeverydayandhaveclosecontactwiththe mentors.Iwillbeusingsubversionfortrackingchangestotheprograms.Withregularworkand sincerity,Ithinkitwillnotbeaproblemformetofinishmywork. Whatisyourcontingencyplanforthingsnotgoingtoschedule? Ifforsomeunforeseenreason,theworkdoesnotgoaccordingtoschedule,Iwilltryto compensateforthetimelostbyworkingforsomeextrahours.Iwillfinishthemostimportant programsfirst,toprovidethebasicfunctionalities,thenmoveontomoresophisticated programs. EDUCATIONALQUALIFICATIONANDPREVIOUSEXPERIENCE: Aboutme: IamaMastersinFinancialEngineeringstudentfromacollaborativeNanyangTechnological UniversityCarnegieMellonUniversityprogram.. Whyisthisprojectimportantforme?: IwishtopursueadoctoraldegreeinAppliedMathematicsafterworkingintheindustryasa financeprofessionalforafewyears..Iwillbestartingmyjobfromfall2012.Ithinkthisprojectwill providemeanexcellentopportunitytolearnthelatestdevelopmentsininvestmentanalytics industryandunderstandingofreturnsfromvariousilliquidinvestmentassetswhosebehaviour divertfromnormality.
WhydoIfeeleligibleforthisproject?: As a postgraduate student of Financial Engineering, I have done all the required coursework for this project. I had courses likeRegression,TimeseriesandForecasting, Asset Pricing in my curriculum. AlsoI have workedwith C++,Python and R in all ofmy previous projects and have done lab courses with them. So I feel very comfortable working with them.I believe this experience is quite relevant and valuable to my Gsoc proposal. References:
Acar, E., and Shane, J.: Maximum Loss and Maximum Drawdown in Financial Markets, Unpublished 1997http://www.intelligenthedgefundinvesting.com/pubs/easj.pdf manuscript,
Bailey, David H. and Lopez de Prado, Marcos, The Sharpe Ratio Efficient Frontier (July 1, 2012). Journal of Risk, Vol. 15, No. 2, Winter 2012/13. Available at SSRN: http://ssrn.com/abstract=1821643 or http://dx.doi.org/10.2139/ssrn.1821643
Bailey, David H. and Lopez de Prado, Marcos, Drawdown-Based Stop-Outs and the Triple Penance Rule (January 1, 2013). Available at SSRN:
http://ssrn.com/abstract=2201302
Bailey, David H. and Lopez de Prado, Marcos, The Strategy Approval Decision: A Sharpe Ratio Indifference Curve Approach (January 2013). Algorithmic Finance, Vol. 2, No. 1 (2013). Available at SSRN: http://ssrn.com/abstract=2003638 orhttp://dx.doi.org/10.2139/ssrn.2003638
Burghardt, G., Duncan, R. and L. Liu, Deciphering drawdown. Risk magazine, Risk management for investors, September, S16-S20,
2003.http://www.risk.net/data/risk/pdf/investor/0903_risk.pdf
Kat, Harry M. and Brooks, Chris, The Statistical Properties of Hedge Fund Index
Returns and Their Implications for Investors (October 31, 2001). Cass Business School Research Paper. Available at SSRN: http://ssrn.com/abstract=289299 orhttp://dx.doi.org/10.2139/ssrn.289299
Burghardt, G., and L. Liu, Its the Autocorrelation, Stupid (November 2012) Newedge working paper.http://www.amfmblog.com/assets/Newedge-Autocorrelation.pdf Cavenaile, Laurent, Coen, Alain and Hubner, Georges, The Impact of Illiquidity and Higher Moments of Hedge Fund Returns on Their Risk-Adjusted Performance and Diversification Potential (October 30, 2009). Journal of Alternative Investments, Forthcoming. Available at SSRN:http://ssrn.com/abstract=1502698 Working paper is athttp://www.hec.ulg.ac.be/sites/default/files/workingpapers/WP_HECULg_20091001_ Cavenaile_Coen_Hubner.pdf
Chekhlov, Alexei, Uryasev, Stanislav P. and Zabarankin, Michael, Portfolio Optimization with Drawdown Constraints (April 8, 2000). Research Report #2000-5. Available at SSRN: http://ssrn.com/abstract=223323 or http://dx.doi.org/10.2139/ssrn.223323
Chekhlov, Alexei, Uryasev, Stanislav P. and Zabarankin, Michael, Drawdown Measure in Portfolio Optimization (June 25, 2003). Available at SSRN:
http://ssrn.com/abstract=544742 or http://dx.doi.org/10.2139/ssrn.544742
Getmansky, Mila, Lo, Andrew W. and Makarov, Igor, An Econometric Model of Serial Correlation and Illiquidity in Hedge Fund Returns (March 1, 2003). MIT Sloan Working Paper No. 4288-03; MIT Laboratory for Financial Engineering Working Paper No. LFE-1041A-03; EFMA 2003 Helsinki Meetings. Available at SSRN: http://ssrn.com/abstract=384700 or http://dx.doi.org/10.2139/ssrn.384700
Grossman, S. and Z. Zhou (1993): Optimal Investment Strategies for controlling drawdowns. Mathematical Finance, Vol. 3, pp.
241-276.http://www.intelligenthedgefundinvesting.com/pubs/rb-zzsg.pdf
Harding D, G Nakou and A Nejjar, 2003. The pros and cons of drawdown as a statistical measure for risk in investments. AIMA Journal, April 2003, pages 1617. http://www.intelligenthedgefundinvesting.com/pubs/rb-hnn.pdf paper:http://www.turtletrader.com/drawdown.pdf or as working
Hayes, Brian T.: Maximum Drawdowns of Hedge Funds with Serial Correlation, Journal of Alternative Investments 8, pp. 26-38, 2006 (N/A online?) Lo, Andrew W., The Statistics of Sharpe Ratios. Financial Analysts Journal, Vol. 58, No. 4, July/August 2002. Available at SSRN:http://ssrn.com/abstract=377260 Lopez de Prado, Marcos and Foreman, Matthew, Markowitz meets Darwin: Portfolio Oversight and Evolutionary Divergence (July 15, 2012). Johnson School Research
Lopez de Prado, Marcos and Peijan, Achim, Measuring Loss Potential of Hedge Fund Strategies. Journal of Alternative Investments, Vol. 7, No. 1, pp. 7-31, Summer 2004. Available at SSRN: http://ssrn.com/abstract=641702
Magdon-Ismail, M. and Amir Atiya, Maximum drawdown. Risk Magazine, 01 Oct 2004.http://www.risk.net/data/Pay_per_view/risk/technical/2004/1004_tech_atiya.pd f or http://alumnus.caltech.edu/~amir/mdd-risk.pdf. Matlab code at http://www.mathworks.com/help/finance/emaxdrawdown.html
Magdon-Ismail, M., Atiya, A., Pratap, A., and Yaser S. Abu-Mostafa: On the Maximum Drawdown of a Browninan Motion, Journal of Applied Probability 41, pp. 147-161, 2004 http://alumnus.caltech.edu/~amir/drawdown-jrnl.pdf
Mendes, Beatriz V.M. and Leal, Ricardo P.C., Maximum Drawdown: Models and Applications (November 2003). Coppead Working Paper Series No. 359. Available at SSRN: http://ssrn.com/abstract=477322 or http://dx.doi.org/10.2139/ssrn.477322
Meucci, Attilio, Review of Dynamic Allocation Strategies: Utility Maximization, Option Replication, Insurance, Drawdown Control, Convex/Concave Management (July 7, 2010). Available at SSRN: http://ssrn.com/abstract=1635982 orhttp://dx.doi.org/10.2139/ssrn.1635982
Okunev, John and White, Derek R., Hedge Fund Risk Factors and Value at Risk of Credit Trading Strategies (October 2003). Available at SSRN:
http://ssrn.com/abstract=460641 or http://dx.doi.org/10.2139/ssrn.460641
Skeggs, J. Do the autocorrelations hold with daily and weekly data? (November 2012) Newedge working
Yang, Z. George and Zhong, Liang, Optimal Portfolio Strategy to Control Maximum Drawdown - The Case of Risk Based Dynamic Asset Allocation (February 25, 2012). Available at SSRN: http://ssrn.com/abstract=2053854 or http://dx.doi.org/10.2139/ssrn.2053854
Zabarankin, M., Pavlikov, K., and S. Uryasev. Capital Asset Pricing Model (CAPM) with Drawdown Measure. Research Report 2012-9, ISE Dept., University of Florida, September 2012
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} if(x>5000){ Qp<0.25*log(x)+0.49088 } Ed<(2*sig^2/mu)*Qp } if(mu<0){ mQn<matrix(c( 0.0005,0.0010,0.0015,0.0020,0.0025,0.0050,0.0075,0.0100,0.0125,0.0150, 0.0175,0.0200,0.0225,0.0250,0.0275,0.0300,0.0325,0.0350,0.0375,0.0400, 0.0425,0.0450,0.0475,0.0500,0.0550,0.0600,0.0650,0.0700,0.0750,0.0800, 0.0850,0.0900,0.0950,0.1000,0.1500,0.2000,0.2500,0.3000,0.3500,0.4000, 0.5000,1.0000,1.5000,2.0000,2.5000,3.0000,3.5000,4.0000,4.5000,5.0000, 0.019965,0.028394,0.034874,0.040369,0.045256,0.064633,0.079746,0.092708, 0.104259,0.114814,0.124608,0.133772,0.142429,0.150739,0.158565,0.166229, 0.173756,0.180793,0.187739,0.194489,0.201094,0.207572,0.213877,0.220056, 0.231797,0.243374,0.254585,0.265472,0.276070,0.286406,0.296507,0.306393, 0.316066,0.325586,0.413136,0.491599,0.564333,0.633007,0.698849,0.762455, 0.884593,1.445520,1.970740,2.483960,2.990940,3.492520,3.995190,4.492380, 4.990430,5.498820),ncol=2)