Last month Darwinex re-engineered the risk management calculations of all asset managers. This measure has changed the historical results on my Darwin Asset WET reducing both the drawdown and the return previously reported on my website.
I think the changes are broadly positive for traders and investors. From further studies its does reduce the return for investors but will also help smooth out the risk adjusted return of drawdown from peak to trough. This is mainly advantageous from a psychological point of view from an investor in that the negative return phases should be shallower but the duration is still to be determined by the market.
This is a 3 month period of return. The negative point is -4.07% and the positive point is + 2.15%. I estimate that the previous return would have reported both a higher negative and a higher positive by approximately +/- 2%.
I never exit positions in drawdown until I have positive returns that offset, meaning that my trading style pulls through these troughs to produce profit, so this new calculation will show lower performance and lower volatility to my underlying strategy.
Please be aware that previous posts stating trading history are from the legacy Darwinex 10% VAR model and in future will be reporting using the new 6% VAR model.