Before revision:  We analyze drawdown duration, which measures the length of excursions below a running maximum , and liquidation stopping time, which denotes the first time drawdown duration exceeds a subjective liquidation threshold, in the context of coherent temporal path-dependent risk measures and show that they, unlike drawdown magnitude, do not satisfy any of the axioms for coherent risk measures. Despite its non-coherence, we illustrate through an empirical example some of the insights gained from analyzing drawdown duration in the investment process and discuss the challenges of path-dependent  risk estimation in practice.
After revision:  We analyze drawdown duration, which measures the length of excursions below a running maximum , and liquidation stopping time, which denotes the first time drawdown duration exceeds a subjective liquidation threshold, in the context of risk measures are analyzed both theoretically and empirically. In particular, we show that duration captures serial correlation in the returns of two major asset classes. We conclude by discussing the investment process and discuss the challenges of path-dependent risk estimation in practice.