Cullen Roche: Fund volatility measure fails to reflect historical $5% drawdowns

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Olga Shendetskaya

14.04.2026

Cullen Roche: Fund volatility measure fails to reflect historical $5% drawdowns — Volatility measure misses $5% fund drawdowns

Cullen Roche cautioned that a specific financial instrument is not comparable to a money market fund. Roche noted that the fund measures annualized volatility based only on trailing one-month figures, which fails to account for the $5% and larger drawdowns recorded throughout the fund's existence.

He emphasized that recent performance over the past two months does not capture the more substantial risks present in the full history of the fund.

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Roche has previously examined overlooked components of U.S. government balance sheets. In a recent analysis, he noted that assets such as government-owned land and tax receipts are often not included in standard evaluations. The discussion reflects his ongoing focus on transparency in how financial data is reported.

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