Entropic Drawdown-at-Risk
Entropic Drawdown-at-Risk (EDaR) applies the Entropic Value-at-Risk construction to the drawdown series instead of the return series. At the same confidence level it is never below CDaR.
Mathematical Formulation
Definition
D_t is the compounded drawdown series of average drawdown and maximum drawdown, so -D_t is a positive loss.
Reading it
FolioLab computes it with the same scale-aware search as EVaR (95%), applied to the drawdown losses. The result never exceeds the maximum drawdown.
MinEDaR minimizes EDaR on uncompounded drawdowns; this field reports it on compounded ones, like CDaR (95%).
Like every metric on FolioLab, this value describes the run window. It is a measurement of past returns, not a forecast of future ones.
Where FolioLab reports it
results.<method>.performance.edar_95: daily, over the run window.
Each value appears on the result page under Further Risk Measures, in the PDF and Excel reports, in the compare view and through the MCP explain_metric tool. A run stored before this measure existed does not carry it.
skfolio's edar uses the same definition; it reads the drawdown series as negative returns, which is the same thing.
References
- Ahmadi-Javid, A. (2012). "Entropic Value-at-Risk: A New Coherent Risk Measure." Journal of Optimization Theory and Applications, 155(3), 1105-1123.
- Cajas, D. (2021). "Entropic Portfolio Optimization: A Disciplined Convex Programming Framework." SSRN Working Paper.
Not investment advice. Past performance is not indicative of future results.