Maximum Drawdown
Measure the largest peak-to-trough loss in a value series.
Your numbers
Maximum drawdown
Educational estimate using your entered assumptions; no live prices, tax rules or guaranteed returns.
Scenario comparison
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Formula
At each time, compare portfolio value with the highest value reached so far. The drawdown is 1−Vₜ/Hₜ; maximum drawdown is the largest such fraction. Vₜ is current value and Hₜ is the running peak.
Measure the largest peak-to-trough loss in a value series.
Worked example
- Positive portfolio values in time order
- 100, 120, 90, 110, 80, 130
- Maximum drawdown
- 33.3333333333 %
- Peak observation number
- 2
- Trough observation number
- 5
Scope and limitations
Educational estimate using your entered assumptions; no live prices, tax rules or guaranteed returns.
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Formula version: 67edb18d514c · Example checked: