Q4: Maximum Drawdown We showed that the maximum drawdown for the overlay strategy - betting-against-beta - was 55% in March 2000 . This amount is significant for many hedge funds since they do not get any performance fees until they return to the highest value up to any date (called high water mark). a. How much gain in percentage is needed for BAB to return to its high-water mark? b. Very roughly estimate from the chart below the date when this fund got back to the highwater mark after March 2000? See blue line for performance of U.S. BAB. c. Roughly, what is the drawdown period after the 2008 crash? (Again, see blue line below). Q4: Maximum Drawdown We showed that the maximum drawdown for the overlay strategy - betting-against-beta - was 55% in March 2000 . This amount is significant for many hedge funds since they do not get any performance fees until they return to the highest value up to any date (called high water mark). a. How much gain in percentage is needed for BAB to return to its high-water mark? b. Very roughly estimate from the chart below the date when this fund got back to the highwater mark after March 2000? See blue line for performance of U.S. BAB. c. Roughly, what is the drawdown period after the 2008 crash? (Again, see blue line below)