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American Capital Mortgage Investment Corp. Message Board

  • reikreik reikreik Dec 17, 2012 11:33 PM Flag

    recovery of drawdowns

    “What was the biggest loss?” Drawdown is defined as the relative equity loss from the highest peak to the lowest
    valley of a price decline within a given window of observation. “How long did it take to recover those losses?”
    The time that it takes to recover from that drawdown is called a recovery. “What might I typically lose tomorrow?”
    Value at risk measures the maximum expected loss for a given portfolio in a given holding period at a given
    confidence level. “What could I lose in a worse case scenario?”

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