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Annualizing drawdown in my opinion will at best give you an estimate. I think a reasonable approximation would be to do it in the same way as standard deviation - i.e. multiply it by SQRT(12) or SQRT(52). You could try a few samples to see if this makes sense. It would be best to do this in log space.


Weekly draw down = 10%

In Log space this would be = log(0.9) = -0.04578

Multiply by SQRT(52) gives -0.32996

Convert back = 10^-0.32996 = 0.47 which equates to a draw down of 53%

I'm not sure if I'm right, but that would be my best guess.

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