Shore Capital is launching an innovative vehicle providing UK taxpayers with tax efficient participation in hedge funds and other altern

Using Monte Carlo analysis to explore the limitations of drawdown statistics in comparing active currency indices. Downside risk measures have received renewed attention recently. The most frequently quoted statistic of that sort within the hedge funds world is probably maximum drawdown; that is, over a defined period, the largest decline of the investment having once reached a peak. In simple terms it quantifies the biggest cumulative loss an investor could have made by entering and exiting the investment at the worse possible time. Despite its practitioner’s appeal, only a few academic articles have been written on the topic (Douady et