Maximum Drawdown Calculator
Example Data Table
This example helps users understand the expected input style before running the calculator.
| Date | Portfolio Value | Benchmark Value |
|---|---|---|
| 2025-01-31 | $100,000 | $100,000 |
| 2025-02-28 | $103,500 | $101,200 |
| 2025-03-31 | $99,000 | $98,500 |
| 2025-04-30 | $97,000 | $96,000 |
| 2025-05-31 | $95,000 | $94,200 |
| 2025-06-30 | $98,000 | $96,800 |
Formula Used
Running Peak is the highest portfolio value observed up to a given date.
Drawdown Amount = Running Peak − Current Portfolio Value.
Drawdown Percentage = ((Running Peak − Current Value) ÷ Running Peak) × 100.
Maximum Drawdown is the largest drawdown percentage found across the full series.
Ulcer Index = √(average of squared drawdown percentages). It emphasizes deep and prolonged declines.
Calmar Ratio = CAGR ÷ Absolute Maximum Drawdown. It compares return strength to worst observed downside.
How to Use This Calculator
- Enter dates in chronological order, one per line or comma separated.
- Enter matching portfolio values for each date.
- Optionally add benchmark values with the same number of entries.
- Choose a currency symbol and decimal precision.
- Click the calculate button to view summary metrics, graph, and detailed rows.
- Use the CSV or PDF buttons to export the generated analysis.
Frequently Asked Questions
1) What does maximum drawdown measure?
Maximum drawdown measures the largest percentage decline from a previous portfolio peak to a later trough. It shows the worst observed loss during the selected period and helps investors judge downside risk more realistically than return alone.
2) Why is drawdown important for investors?
Drawdown reveals how painful a strategy can feel during losses. Two portfolios may have similar returns, yet one may suffer much deeper declines. Lower drawdowns often indicate smoother compounding and easier long-term investor discipline.
3) What is the difference between drawdown amount and drawdown percentage?
Drawdown amount is the currency loss from peak to current value. Drawdown percentage expresses that same loss relative to the running peak. The percentage is better for comparing risk across portfolios of different sizes.
4) What does recovery time mean?
Recovery time shows how long the portfolio takes to climb back to its previous peak after the worst decline. A strategy may have a moderate drawdown but still require a very long recovery period.
5) Can I compare my portfolio against a benchmark?
Yes. Enter optional benchmark values using the same dates. The calculator will estimate benchmark maximum drawdown, benchmark CAGR, and the drawdown gap, helping you compare downside behavior against a market reference.
6) What does the Ulcer Index add?
The Ulcer Index focuses on both depth and persistence of declines. Unlike maximum drawdown, which only captures the single worst fall, the Ulcer Index reflects the broader stress experienced across the full investment path.
7) What does the Calmar Ratio tell me?
The Calmar Ratio compares annualized return with absolute maximum drawdown. A higher ratio suggests the portfolio earned stronger return per unit of worst-case downside, making it useful for risk-adjusted strategy comparison.
8) Does the date frequency matter?
Yes. Daily, weekly, and monthly values can produce different drawdown readings because more frequent data captures deeper interim declines. Use a consistent frequency when comparing strategies, managers, or benchmarks.