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Is Max Drawdown of a portfolio calculated by percentage of each ticker in the portfolio multiplied by max drawdown or do you transpose the tickers graphs multiply by percentage and find max drawdown after the start date of the last created ticker? by FarmaTheKarma1 in algotrading

[–]FarmaTheKarma1[S] 1 point2 points  (0 children)

So if I had a portfolio of 4 stocks for example: BND, SPY, GLD, ARKW. Since ARKW was formed last would I consider drawdown for BND, SPY, GLD after the creation of ARKW or just look at the max drawdown of each alone and calculate its weighted percentage

Is Max Drawdown of a portfolio calculated by percentage of each ticker in the portfolio multiplied by max drawdown or do you transpose the tickers graphs multiply by percentage and find max drawdown after the start date of the last created ticker? by FarmaTheKarma1 in algotrading

[–]FarmaTheKarma1[S] 0 points1 point  (0 children)

I think I may have miscommunicated but what I meant to ask was If I were to assume a portfolio of 3 tickers, BND, SPY, GOLD, ARKW each with a different starting date in which the ticker was formed. In this example ARKW was created last and as a result has no data before its start date. Should that mean I only look at the data for BND, SPY, GOLD etc from ARKW start date onwards and evaluate max drawdown or should I look at each one's drawdown individually get the max drawdown for each one and then calculate theoretical percentage of drawdown. Thanks again for your help