Have you or your investment governing body considered the possibility that benchmark risk is best quantified as risk of drawdown rather than standard deviation of returns? Long-term damage is caused by a decline in portfolio value, particularly when spending needs don’t subside over that troubled period. Ultimately, it is larger corrections in a portfolio’s value that destroy wealth compounding over time, even in the event that the underlying equity market ultimately recovers over several years. We consider the Calmar ratio a more useful measure of the balance between risk and reward than more conventional measures like Sharpe ratio (which is...