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.
After revision:  We discuss the properties of temporal measures of risk and show that they can never be coherent. We then study the temporal dimension of investment drawdown, its 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.