This paper analyzes the portfolio management implications of using drawdown-based measures in allocation decisions. We introduce modified conditional expected drawdown (MCED), a new risk measure that is derived from portfolio drawdowns, or peak-to-trough losses, of demeaned constituents. We show...

This paper introduces a large scale simulation framework for evaluating hedge funds' investments subject to the realistic constraints of institutional investors. The method is customizable to the preferences and constraints of individual investors, including investment objectives, performance...