Drawdown Calculator
Analyze peak-to-trough declines in your portfolio value series.
Frequently Asked Questions
What is Maximum Drawdown?
Maximum Drawdown is the largest peak-to-trough decline in portfolio value. It measures the worst-case loss scenario.
What is a good max drawdown?
It depends on the strategy. Generally, <15% is good for most strategies, <25% is acceptable, and >50% indicates a very risky strategy.
How is drawdown calculated?
Drawdown = (Peak - Current) / Peak ร 100%. The maximum drawdown is the largest such decline observed over the entire period.
What is recovery duration?
Recovery duration is the time (in periods) it takes for the portfolio to return to its previous peak after the maximum drawdown.
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What is this tool?
The Maximum Drawdown Calculator computes the largest peak-to-trough decline in a portfolio or asset price series. Input historical price data (one price per line, in chronological order) to see the maximum drawdown percentage, duration in days, peak and trough dates, recovery status, and a visual drawdown curve over time.
How to use
- 1
Enter price data
Paste prices chronologically, one per line (e.g., daily closing prices).
- 2
Set parameters
Optionally set the initial date and frequency (daily/weekly).
- 3
View drawdown analysis
See maximum drawdown %, duration, peak/trough details, and drawdown curve chart.
Frequently Asked Questions
What is maximum drawdown?
Maximum drawdown is the largest percentage decline from a peak to a trough before a new peak is reached. A 20% max drawdown means the worst loss was 20% from a previous high.
Why is max drawdown important?
It measures the worst-case loss scenario, which is crucial for risk management. Investors use it to evaluate if a strategy's drawdown is within their tolerance. A smaller max drawdown typically means less risk.
What is a good max drawdown?
This depends on strategy and risk tolerance. Conservative portfolios typically target <10%. Growth strategies may have 15-25% max drawdown. High-risk strategies can see 30%+. Compare against benchmarks like the S&P 500 (historical max ~50%).