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Concept · Portfolio performance & risk decomposition

Drawdown

Peak-to-trough decline. *Max drawdown* is the worst observed.

In depth

Peak-to-trough decline from any prior high. Max drawdown is the worst observed — a path-dependent risk that volatility alone misses.

Formula

DD_t = (max_{s≤t} V_s − V_t) / max_{s≤t} V_s

Referenced by (0)

No working paper references this concept yet.

Related concepts

Portfolio variance decompositionRisk contributionPortfolio attributionActive shareTracking errorBenchmark fitSharpe ratio
← Sharpe ratioPortfolio performance & risk decomposition · 8 / 8Portfolio variance decomposition →
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