Maximum Drawdown
The largest peak-to-trough decline an asset or portfolio experienced over a period.
Maximum drawdown is the largest single decline from a peak value to a subsequent low point that an asset or portfolio experienced over a given period, commonly used as a general indicator of historical downside risk.
A larger maximum drawdown indicates the asset or portfolio has historically experienced more severe declines, which is useful context even though it doesn't predict future drawdowns.
Examples
- An asset with a historical 80% maximum drawdown has, at some point, fallen 80% from a prior peak.
- Maximum drawdown is a historical measure, not a prediction of future declines.
Learn more
Portfolio Concentration Calculator
Open the calculator
Ulcer Index
Read the Ulcer Index glossary definition
Calmar Ratio
Read the Calmar Ratio glossary definition
Value at Risk (VaR) and Expected Shortfall (CVaR)
Read the Value at Risk (VaR) and Expected Shortfall (CVaR) glossary definition