Metrics & Ratios

Maximum Drawdown

The largest peak-to-trough decline in portfolio value over a given period, representing the worst-case loss an investor would have experienced.

Related Terms

Calmar Ratio Volatility

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

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