A new working paper by Dr Hans-Peter Bermin (Chief Risk Officer, Hilbert Group) and Dr Magnus Holm (Co-Founder, Hilbert Group) shows that the maximum drawdown of a standard asset-price model converges to a Gumbel distribution, meaning extreme losses follow a predictable statistical pattern.
This insight provides practical tools for estimating worst-case drawdowns over long horizons and strengthens the quantitative foundations behind Hilbert’s risk-managed investment strategies.