Ineichen writes (pdf): The drawdown measure can be graphically displayed as a value in percent of its previous all-time-high or "high water mark." These displays carry a lot of information that the volatility measure does not. The graph shows not only the extent of a loss (drawdown), which is important, it also shows the time it took for the index (or stock or NAV) to recover the losses and reach a new high. A value sticking to 100% would indicate an investment that only increases (or is flat). The figure below shows this drawdown measure for equities and bonds in the UK, again in real and total return terms:

The graph essentially shows the risk profile of the long-only buy-and hold investor in the 19th and 20th century. Since we are examining the UK we are looking at the risk profile of a country that has been the center of the universe for most of the 19th century and held up pretty well in the 20th century too. <> The next figure shows the drawdown measure for equities and bonds in Japan.

Check the paper for more interesting charts.

via AllAboutAlpha.com, Ineichen looks back (way back) to see future