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Calculating Drawdown

To: omega-list@xxxxxxxxxx
Subject: Calculating Drawdown
From: Michael.Mueller@xxxxxxxxx
Date: Fri, 21 Jun 2002 07:54:32 -0700




Does anybody on the list have an algorithm of how max. drawdown is calculated.
Are there any variations on how DD is calculated,
what are the pros and cons of these variations ?

Thx

Michael

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