  We study the risk criterion for investments based on the drawdown from the
maximal value of the capital in the past. Depending on investor's risk
attitude, thus his risk exposure, we find that the distribution of these
drawdowns follows a general power law. In particular, if the risk exposure is
Kelly-optimal, the exponent of this power law has the borderline value of 2,
i.e. the average drawdown is just about to diverge
