Maximum draw-down portfolio

In this exercise, you'll learn how to calculate the maximum draw-down of your portfolio (also known as "peak to trough performance drop"). Maximum draw-down is, apart from your usual volatility measure, an incredibly insightful risk measure. It tells you what has been the worst performance of your portfolio in the past.

It is the reason why many investors shy away from crypto-currencies; nobody likes to lose a large percentage of their investment (e.g., 70%) in a short period.

Let's have a look at the maximum draw-down of the portfolio from the last exercises. Available are the returns data, already in daily percentage returns.

Taking a window of 252 trading days, find the rolling maximum value on returns['PF']and calculate daily draw-downs by dividing the returns by roll_max.

Take Hint (-15 XP)

Exercise

Maximum draw-down portfolio

Instructions 1/3