Maximum Drawdown as Predictor of Mutual Fund Performance and Flows
研究发现共同基金的最大回撤具有持续性，能反映经理能力并预测未来业绩；过去回撤低的基金年均超额收益达2.40%，且投资者对回撤风险厌恶，资金流入随回撤增加而减少。
Mutual funds’ maximum drawdowns (MDDs) are persistent, indicative of manager skill, and predictive of subsequent performance. Among funds with relatively strong past performance, those with relatively low past MDDs, on average, have an out-of-sample alpha of 2.40% per year. That alpha is magnified when markets are turbulent—a time during which manager skill should be most valuable. Investors are averse to drawdown risk. After controlling for typical measures of past performance, fund flows remain a decreasing function of MDDs, particularly among investors with greater risk aversion and during times of heightened risk aversion.