The paper uses the Alpha-stable distribution to examine the data of Shanghai composite index and Shenzhen component index． The results show that both of them have the fractal characteristic of“leptokurtic and heavy tails”． We establish DaＲ-type risk measures． The empirical study demonstrates that series between the two indexes have collinearity to some extent in terms of drawdown． Furthermore，using the Alpha-stable parameters of the two indexes，we give the VaＲ-type and DaＲ-type risk measures estimation in the Monte Carlo Alpha-stable and normal simulations，and we construct the model of bias． Finally，this paper emphasizes on MDD with different tracking time． As investors and risk managers，we should focus on not only VaＲ-type risk measures，but also DaＲ-type risk indexes．