Maximum Drawdown Calculator

✖Trough Value is the lowest value attained a portfolio in a specified period due to price action.ⓘ Trough Value [V_trough]			+10% -10%
✖Peak Value is the highest value attained by portfolio in a specified period due to price action.ⓘ Peak Value [V_peak]			+10% -10%

✖Maximum Drawdown is the maximum observed loss from a peak to a trough of a portfolio, before a new peak is attained. Maximum drawdown is an indicator of downside risk over a specified time period.ⓘ Maximum Drawdown [MDD]

⎘ Copy

👎

Formula

✖

Maximum Drawdown

Formula

`"MDD" = (("V"_{"trough"}-"V"_{"peak"})/"V"_{"peak"})*100`

Example

`"-50"=(("25000"-"50000")/"50000")*100`

Calculator

LaTeX

Reset

👍

Download Risk Management Formulas PDF PDF Image

Maximum Drawdown Solution

STEP 0: Pre-Calculation Summary

Formula Used

Maximum Drawdown = ((Trough Value-Peak Value)/Peak Value)*100
MDD = ((V_trough-V_peak)/V_peak)*100
This formula uses 3 Variables

Variables Used

Maximum Drawdown - Maximum Drawdown is the maximum observed loss from a peak to a trough of a portfolio, before a new peak is attained. Maximum drawdown is an indicator of downside risk over a specified time period.
Trough Value - Trough Value is the lowest value attained a portfolio in a specified period due to price action.
Peak Value - Peak Value is the highest value attained by portfolio in a specified period due to price action.

STEP 1: Convert Input(s) to Base Unit

Trough Value: 25000 --> No Conversion Required
Peak Value: 50000 --> No Conversion Required

STEP 2: Evaluate Formula

Substituting Input Values in Formula

MDD = ((V_trough-V_peak)/V_peak)*100 --> ((25000-50000)/50000)*100

Evaluating ... ...

MDD = -50

STEP 3: Convert Result to Output's Unit

-50 --> No Conversion Required

FINAL ANSWER

-50 <-- Maximum Drawdown

(Calculation completed in 00.004 seconds)

You are here -

Home » Financial » Common Probability Distribution » Risk Management » Maximum Drawdown

Credits

Created by Keerthika Bathula

Indian Institute of Technology, Indian School of mines, Dhanbad (IIT ISM Dhanbad), Dhanbad

Keerthika Bathula has created this Calculator and 50+ more calculators!

Verified by Vishnu K

BMS College of Engineering (BMSCE), Bangalore

Vishnu K has verified this Calculator and 200+ more calculators!

< 20 Risk Management Calculators

Risk Adjusted Return on Capital

Go Risk Adjusted Return on Capital = (Revenue-Expenses-Expected Loss+Income From Capital)/Capital Cost

Sortino Ratio

Go Sortino Ratio = (Expected Portfolio Return-Risk Free Rate)/Standard Deviation of Downside

Maximum Drawdown

Go Maximum Drawdown = ((Trough Value-Peak Value)/Peak Value)*100

Modigliani-Modigliani Measure

Go Modigliani-Modigliani measure = Return on Adjusted Portfolio-Return on Market Portfolio

Interest Rate Risk

Go Interest Rate Risk = (Original Price-New Price)/New Price

Sterling Ratio

Go Sterling Ratio = (Compound Annual Growth Rate/(Average Maximum Drawdown-10))*-1

Risk Tolerance

Go Risk Tolerance = (Public Equity Exposure*0.35)/Monthly Gross Income

Market Risk Premium

Go Market Risk Premium = Expected Equity Market Rate-Risk Free Rate

Basis Risk

Go Basis Risk = Future Price of Contract-Spot Price of Hedged Asset

Credit Value at Risk

Go Credit Value at Risk = Worst Credit Loss-Expected Credit Loss

Economic Capital

Go Economic Capital = Earnings at Risk/Required Rate of Return

Calmar Ratio

Go Calmar Ratio = (Average Rate of Return/Maximum Drawdown)*-1

Upside/Downside Ratio

Go Upside/Downside Ratio = Advancing Issues/Declining Issues

Credit Spread

Go Credit Spread = Corporate Bond Yield-Treasury Bond Yield

Probability of Default Regression Model

Go Probability of Default = 1/(1+exp(-Linear Combination))

Default Risk Premium

Go Default Risk Premium = Interest Rate-Risk Free Rate

Pain Ratio

Go Pain Ratio = Effective Return/Pain Index

Risk Exposure

Go Risk Exposure = Risk Impact*Probability

Risk Determination

Go Risk = Risk Impact*Likelihood

Loss Given Default

Go Loss Given Default = 1-Recovery Rate

Maximum Drawdown Formula

Maximum Drawdown = ((Trough Value-Peak Value)/Peak Value)*100
MDD = ((V_trough-V_peak)/V_peak)*100

What is Maximum Drawdown?

Maximum drawdown is a specific measure of drawdown that looks for the greatest movement from a high point to a low point, before a new peak is achieved. However, it's important to note that it only measures the size of the largest loss, without taking into consideration the frequency of large losses. Because it measures only the largest drawdown, MDD does not indicate how long it took an investor to recover from the loss, or if the investment even recovered at all.

How to Calculate Maximum Drawdown?

Maximum Drawdown calculator uses Maximum Drawdown = ((Trough Value-Peak Value)/Peak Value)*100 to calculate the Maximum Drawdown, The Maximum Drawdown is the maximum observed loss from a peak to a trough of a portfolio, before a new peak is attained. Maximum drawdown is an indicator of downside risk over a specified time period. Maximum Drawdown is denoted by MDD symbol.

How to calculate Maximum Drawdown using this online calculator? To use this online calculator for Maximum Drawdown, enter Trough Value (V_trough) & Peak Value (V_peak) and hit the calculate button. Here is how the Maximum Drawdown calculation can be explained with given input values -> -50 = ((25000-50000)/50000)*100.

FAQ

What is Maximum Drawdown?

The Maximum Drawdown is the maximum observed loss from a peak to a trough of a portfolio, before a new peak is attained. Maximum drawdown is an indicator of downside risk over a specified time period and is represented as MDD = ((V_trough-V_peak)/V_peak)*100 or Maximum Drawdown = ((Trough Value-Peak Value)/Peak Value)*100. Trough Value is the lowest value attained a portfolio in a specified period due to price action & Peak Value is the highest value attained by portfolio in a specified period due to price action.

How to calculate Maximum Drawdown?

The Maximum Drawdown is the maximum observed loss from a peak to a trough of a portfolio, before a new peak is attained. Maximum drawdown is an indicator of downside risk over a specified time period is calculated using Maximum Drawdown = ((Trough Value-Peak Value)/Peak Value)*100. To calculate Maximum Drawdown, you need Trough Value (V_trough) & Peak Value (V_peak). With our tool, you need to enter the respective value for Trough Value & Peak Value and hit the calculate button. You can also select the units (if any) for Input(s) and the Output as well.

Home

FREE PDFs

🔍 Search