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You are provided the monthly returns data for an investment fund and its benchmark for the last five months. The fund returned 1.2%, 1.7%, 0.7%,
You are provided the monthly returns data for an investment fund and its benchmark for the last five months. The fund returned 1.2%, 1.7%, 0.7%, 2.2%, and -0.9% in these five months respectively. The benchmark returned 1.5%, 0.4%, 0.4%, 0.5%, and -1.0% in the corresponding five months. The risk-free asset has an effective annual return (EAR) of 1% during these five months. The beta of the fund is 0.4886. What is the fund's maximum drawdown in the five months?
| -0.8325% |
| -0.8550% |
| -0.8775% |
| -0.9000% |
| -0.9225% |
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