No. of Recommendations: 7
I can understand why someone would choose to ignore the Maximum Drawdown, but why would you consider it bad information if assessing a screen?

Because it is misleading information. The data we've seen so far supports the idea that the size of past drawdowns is a very poor predictor of future drawdowns. GSD is a vastly superior predictor of drawdowns. Given two screens with similar CAGR and GSD, the fact that one of them had a big drawdown and the other did not is a measure of luck rather than of screen quality.

And then I'll have to sit through discussions like, "I threw out screen X because it had a bad past drawdown, despite it's good CAGR, and Sharpe ratio. I understand that this means nothing, but I'm doing it anyway."

Eric
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