Max Drawdown

The maximum drawdown (MDD) is the maximum observed loss from a peak to a trough of a portfolio, before a new peak is attained.

$\text{Maximum Drawdown} = \frac{\text{Peak Value} - \text{Trough Value}}{\text{Peak Value}}$

where the Peak Value is the highest portfolio value, and the Trough Value is the lowest portfolio value during a drawdown period.

Related Metrics

Explore other metrics in the Drawdown Metrics category

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