Metrics & Ratios

Drawdown

The peak-to-trough decline in the value of a portfolio or asset over a specified period, used to measure downside risk and the severity of losses.

Related Terms

Maximum Drawdown Calmar Ratio

Articles about this term

Tail Risk Hedging: Protecting Portfolios from Black Swans

Maximum Drawdown: The Risk Metric Investors Fear Most

Backtesting Pitfalls: Why Most Backtests Lie

Volatility Targeting: Scaling Risk for Better Returns

← Back Glossary