MAXDRAWDOWN: Stata module to calculate the maximum drawdown of a stock, fund or other financial product

Zhiyong Li ()
Additional contact information
Zhiyong Li: University of International Business and Economics, Beijing

Statistical Software Components from Boston College Department of Economics

Abstract: In the industry, maximum drawdown is a very important risk management factor.When you are trying to evaluate a fund manager's performance, you cannot miss the maximum drawdown.

Language: Stata
Requires: Stata version 13.1
Keywords: stock quotes; fund; drawdown (search for similar items in EconPapers)
Date: 2016-09-15
Note: This module should be installed from within Stata by typing "ssc install maxdrawdown". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
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Downloads: (external link)
http://fmwww.bc.edu/repec/bocode/m/maxdrawdown.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/m/maxdrawdown.sthlp help file (text/plain)

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