Maximum Drawdown Calculator
Identify historical peak, worst peak-to-trough decline and recovery from portfolio values.
Results
Review or adjust your inputs, then calculate to see your results and interpretation.
Understand this calculation
Volatility measures dispersion of returns; drawdown describes the wealth path and capital loss. Equal returns may conceal very different drawdowns and recovery times.
See calculation method and assumptions
Formula
Maximum Drawdown
Period drawdown
Maximum drawdown magnitude
Use 2–1,000 total-return values (first positive, subsequent nonnegative), adjusted for external deposits/withdrawals. No frequency is assumed and no annualization is applied; periods are observation intervals, not days. Historical MDD does not bound future loss.
Variables, rates and periods
- Vₜ
- Consistently measured total-return value, adjusted for external flows.
- peak / trough
- Peak and subsequent trough defining the worst drawdown.
Scope and assumptions
- Use 2–1,000 total-return values (first positive, subsequent nonnegative), adjusted for external deposits/withdrawals.
- No frequency is assumed and no annualization is applied;
- periods are observation intervals, not days.
- Historical MDD does not bound future loss.
Identify historical peak, worst peak-to-trough decline and recovery from portfolio values.
Worked example
- 100, 120, 90, 80, 110, 125: a decline from 120 to 80 gives MDD 33.33%, recovering at 125.
- Change inputs and calculate again to compare assumptions.
Frequently asked questions
Is the result guaranteed?
Use 2–1,000 total-return values (first positive, subsequent nonnegative), adjusted for external deposits/withdrawals. No frequency is assumed and no annualization is applied; periods are observation intervals, not days. Historical MDD does not bound future loss.
Does the example represent actual markets?
No. All examples are hypothetical and contain no live market data.