Drawdown Beta Model

This is a relatively new measure created by Stan Urysev, the creator of CVaR. It linearizes the historic drawdowns into a Beta Measure allowing them to be used as drawdown constraints in any portfolio construction setting. The caveat is the small sample size of drawdowns meaning that data should be enhanced first (e.g. with something like block bootstrap) This model contains a worked example and VBA user defined function of drawdown beta.