2019
DOI: 10.3905/jpm.2019.1.122
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Value by Design?

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Cited by 13 publications
(4 citation statements)
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“…Several performance measures like VaR based performance, or the Sharpe ratio are used to evaluate performance. Kessler et al (2019) analyzed value investing strategies and investigated the link between maximum drawdown to volatility and the Sharpe ratio and found that the Introduced by Kestner (1996). Ratio of the excess return over the N local drawdowns.…”
Section: Drawdown Based Performance Measuresmentioning
confidence: 99%
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“…Several performance measures like VaR based performance, or the Sharpe ratio are used to evaluate performance. Kessler et al (2019) analyzed value investing strategies and investigated the link between maximum drawdown to volatility and the Sharpe ratio and found that the Introduced by Kestner (1996). Ratio of the excess return over the N local drawdowns.…”
Section: Drawdown Based Performance Measuresmentioning
confidence: 99%
“…More specifically they derived an analytical result for the expectation of the maximum drawdown. 7 These formulas allow the establishment of a relationship between the Expected Maximum Drawdown and the Sharpe ratio as used in Kessler et al (2019).…”
Section: Main Distributions Related To the "Max Loss" Approachmentioning
confidence: 99%
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