Max Drawdown
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Peak Value
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Trough Value
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Recovery Needed
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When Should You Use This?
Use max drawdown to evaluate the worst-case scenario of any strategy or portfolio. It's the most important risk metric because it shows the maximum pain you would have experienced. If you can't stomach the max drawdown, reduce your risk.
How It Works
1
Enter Portfolio Values
Paste your portfolio values over time (daily, weekly, or monthly) separated by commas.
2
Read the Drawdown
Max drawdown shows the largest peak-to-trough decline as a percentage. Under 20% is moderate; over 50% is severe.
3
Plan for Recovery
A 50% drawdown requires a 100% gain to recover. Consider if you can psychologically and financially survive the max drawdown.
Frequently Asked Questions
Max drawdown is the largest percentage drop from a peak to a subsequent trough before a new peak is reached. It measures the worst loss you would have experienced.
Under 10% is conservative. 10-20% is moderate. 20-30% is aggressive. Over 30% is extreme. The S&P 500 has had drawdowns of 50%+ during major crashes.
Drawdown measures actual loss experience. Volatility treats up and down moves equally. A 50% drawdown causes real financial and psychological damage in a way that standard deviation doesn't capture.
10% drawdown needs 11% recovery. 25% needs 33%. 50% needs 100%. 75% needs 300%. The relationship is non-linear — larger drawdowns require exponentially larger recoveries.
Yes. Max drawdown is one of the best ways to compare strategy risk. Combine it with Sharpe ratio: high return with low drawdown = great strategy.