Maximum Drawdown in Common Probability Distribution Formulas

Maximum Drawdown is the maximum observed loss from a peak to a trough of a portfolio, before a new peak is attained. Maximum drawdown is an indicator of downside risk over a specified time period. And is denoted by MDD.

Formulas to find Maximum Drawdown in Common Probability Distribution

fxMaximum DrawdownGo

Common Probability Distribution formulas that make use of Maximum Drawdown

fxCalmar RatioGo

List of variables in Common Probability Distribution formulas

fx Trough Value Go

fx Peak Value Go

FAQ

What is the Maximum Drawdown?

Maximum Drawdown is the maximum observed loss from a peak to a trough of a portfolio, before a new peak is attained. Maximum drawdown is an indicator of downside risk over a specified time period.

Can the Maximum Drawdown be negative?

{YesorNo}, the Maximum Drawdown, measured in {OutputVariableMeasurementName} {CanorCannot} be negative.

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