Portfolio Management with Drawdown Based Measures

  • 28 Jul 2016
  • By Efficient Capital Management

This paper develops a new risk measure, known as MCED, that exhibits the attractive qualities of conditional expected drawdown without historical maximum drawdown. The findings indicate that MCED-based equal-risk approaches are superior to other drawdown-based techniques, but that drawdown-based techniques do not always perform better than a simple equal volatility-adjusted approach.

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