Drawdowns Explained

An investment is said to be in a drawdown when its price falls below its last peak. The drawdown percentage drop in the price of an investment from its last peak price. The period between the peak level and the trough is called the length of the drawdown period between the trough, and the recapturing of the peak is called the recovery. The worst or maximum drawdown represents the highest peak to trough decline over the life of an investment. The drawdown report presents data on the percentage drawdowns during the trading program’s performance history ranked in order of magnitude of loss.

  • Depth: Percentage loss from peak to valley
  • Length: Duration of drawdown in months from peak to valley
  • Recovery: Number of months from valley to new high
  • Start Date: Month in which peak occurs.