This might be a very simple dumb question. But when you look at a security's annualized volatility over a 3 year period, assuming the security has an annualized vol of 5% and the drawdown over three year period is -15%. Is it fair to say that it is a 3 sigma move or should you annualize that -15% and claim its ~ 1 sigma move?
What is the appropriate way to do this?