Excess Return Drawdown

The excess return drawdown is the difference between the highest cumulative excess return the manager has yet achieved, and it's current cumulative excess return any point in time.

                                                     Der(t) = ECmax - EC(t)

Where Der(t) is the excess drawdown at time t, ECmax is the maximum cumultaive excess return between the manager and benchmark at any time t' < t, and EC(t) is the cumulative excess return between the manager and bechmark at time t

     The excess return drawdown is intended to give you a sense of the regret you'd experience owning a manager instead of the beachmark. So it can be zero even in terrible markets if the manager is performing less bad than the benchmark. Conversely, even in extreme bull markets a manager could have a large excess return drawdown if it is underperforming the benchmark. 

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