Tag
Sharpe ratio
2 articles
- Trading
What equity drawdown means
Equity drawdown is the fall from a peak in account equity to a later low, divided by that peak. A later recovery does not erase the fall that already happened.
- Trading
What the Sharpe ratio hides
The Sharpe ratio divides average excess return by its variability. Two paths can share the ratio and the ending value while one drawdown is much deeper.