Snapshots of Bootstrapping and Bias: The Economic Costs of Misjudging Downside Risk

Quickly apply original, key PMR-published papers with Snapshots—a short article companion that distills PMR research into compressed, digestible takeaways, so you can put the paper’s core ideas to work in your investment process—fast. This Snapshot article is based on research arguing that, among the three bootstrap methods tested, the stationary bootstrap produces the most precise maximum drawdown (MDD) estimates across scenarios, helping avoid asset-allocation and dynamic risk-control errors caused by biased downside-risk estimates.