Risk - parity posted a sharpe ratio of.82 and max drawdown of -16.8 %. (scottsinvestments.com)
Quantifying your desired outcome, such as an after fee incremental return goal, or a certain decrease in max drawdown, can further refine the asset allocation decision. (blackrockblog.com)
For example, max drawdowns suggest that high DIV, low payout strategies are actually riskier than high DIV, high payout strategies (64.35 % drawdown compared to 58.27 %). (greenbackd.com)