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11/16/2023

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Juan Carlos

“Next, let’s calculate your worst-case expected future drawdown (this is based on your current assets, not on your high-water mark). I use 0.65% of the VIX minus 1%. So if the VIX is at 20, your expected drawdown is 14%, and if the VIX is at 40, it’s 29%. We’ll call that number dd.”

Sorry, but I do not get the numbers VIX at 20 x 65% = 13, minus 1 = 12. Or calculating the other way, VIX at 40 x 65% = 26, minus 1 = 25 or 27 if you consider it as a negative number. I don't get the “29” dd.

I cannot understand your calculation. Thanks in advance for your kind help.

Best regards,

Juan Carlos

Yuval Taylor

I'm glad you caught my mistake. The actual formula I use is -0.0064*VIX - 0.0093. I rounded those numbers and didn't include the negative sign before the first number, so that's why my math is all wrong. Thanks, and apologies for the error.

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