The maximum retracement rate refers to the highest value of the yield of lightening positions when the net value of commodities reaches the lowest point in the selected period and any historical period.
The maximum extraction rate refers to the maximum extraction range of yield at any historical point in the selected period when the net product value reaches the lowest point. Maximum retracement is used to describe the worst possible situation after purchasing a product. Maximum retracement is an important risk indicator, which is more important than volatility for hedge funds and quantitative strategy trading.
The above is a noun explanation about the maximum withdrawal rate. The application of popular thinking in stock index futures fund product subscription can be understood as the following points.
1. Exit is used to measure the anti-risk ability of private placement products.
The meaning of retracement refers to the extent to which the net value of products falls from the highest point to the lowest point in a certain period of time.
The maximum withdrawal rate is not necessarily (the highest net value-the lowest net value)/the highest net value, and may appear in a certain period of decline.
The formula can be expressed as follows:
D is the net value of a certain day, I is a certain day, J is the day after I, Di is the net value of the product on the first day, and Dj is the net value of the day after Di.
Withdrawal is the maximum withdrawal rate.
Drawdown=max((Di-Dj)/Di), in fact, is to evaluate the withdrawal rate of each net value, and then find the largest. It can be realized by program.
(On July 20th, 20 10, the initial net value was1; It coincides with the global stock market soaring when the United States launched QE2 on 20 10 and 10, and the net fund value increased to1.8; After that, the domestic stock market fluctuated violently. As of April 25th, 20 1 1 year, the net value of the Fund was 0.98. Suppose investors subscribe at the peak and redeem at the lowest tide after half a year, with a loss of 45.5%. This is the guiding significance of the maximum retracement rate for investors who chase after high prices)
2. Retreat is used to describe the biggest loss that any investor may face.
A fund product is measured by historical absolute income, and its initial subscribers may always make money by holding it, but investors who subscribe when private equity funds perform best may not necessarily make money, and may even suffer huge losses.
For example, when a fund product was established in 1 1 in October 2008, the initial net value of the Shanghai Composite Index was 1. In August 2009, when the Shanghai Composite Index rose to 3400, the net value reached 2. 1, which brought investors a return of 1 10%. During the three-year decline of 2009-20 12, the net value of the fund fell to 1.2. From the performance point of view, the fund still creates 20% income for investors, but if investors subscribe in August 2009, the loss will reach 42.8%, which is the maximum withdrawal range of the fund.
Generally speaking, paying attention to the maximum withdrawal rate of private equity funds can help investors understand the risk control ability of funds and know the biggest loss they face. Of course, while paying attention to the maximum withdrawal rate, we should also pay attention to the moving slope of the average net value of the fund.
When investors heard that the highest withdrawal rate was 49%, they were almost booed; When drawing the yield curve, facing the growth of 10 times, the 49% retracement is no longer a problem.