Maximum Drawdown Calculator

Calculate Maximum Drawdown to measure portfolio risk and downside volatility. Analyze investment risk metrics and assess portfolio performance during market downturns.

✓ Risk Analysis ✓ Downside Protection ✓ Portfolio Assessment

Maximum Drawdown Calculator

Portfolio Values

Enter your portfolio values over time (minimum 3 values required)

Analysis Options

Annual risk-free rate for comparison

Recovery Analysis

Percentage of drawdown to recover

Drawdown Formula

Maximum loss from peak to trough

Max Drawdown:

MDD = (Trough Value - Peak Value) / Peak Value × 100%
Where: Peak = Highest portfolio value, Trough = Lowest subsequent value

Portfolio Examples

Conservative Portfolio
Low volatility, small drawdowns
Moderate Risk Portfolio
Balanced risk-return profile
High Risk Portfolio
High volatility, large drawdowns

Risk Assessment

0-5%: Very Low Risk
5-10%: Low Risk
10-20%: Moderate Risk
20-30%: High Risk
30%+: Very High Risk

Related Risk Metrics

📉 VaR: Value at Risk
📊 Volatility: Standard deviation
⚖️ Sharpe Ratio: Risk-adjusted return
🎯 Sortino Ratio: Downside risk measure
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Understanding Maximum Drawdown

Maximum Drawdown (MDD) measures the largest peak-to-trough decline in portfolio value over a specific period. It's a key risk metric that shows the worst-case scenario an investor would have experienced.

  • Risk Assessment: Measures downside risk and volatility
  • Recovery Time: Indicates how long to recover from losses
  • Risk Tolerance: Helps determine suitable risk levels
  • Strategy Evaluation: Compares different investment approaches

Drawdown Applications

Risk Management

Set stop-loss levels and position sizing based on drawdown tolerance.

Portfolio Optimization

Balance risk and return by minimizing maximum drawdown.

Strategy Comparison

Compare different investment strategies and their risk profiles.

Stress Testing

Evaluate portfolio performance during market downturns.