Maximum Drawdown Calculator

About this calculator

Maximum drawdown measures the largest percentage decline from a peak value to a subsequent trough before a new peak is reached — it captures the worst loss an investor or trader would actually have experienced if they had bought at the top and sold at the bottom, which flat volatility measures like standard deviation do not show. Because losses and gains are not symmetric percentages, recovering from a drawdown always requires a larger percentage gain than the drawdown itself: a 50% drawdown needs a 100% gain just to get back to even.

Traders, fund managers and investors use maximum drawdown to gauge the real downside risk of a strategy or portfolio, and it is one of the standard risk metrics reported alongside returns in hedge fund and CTA performance disclosures, because two strategies with identical average returns can have wildly different drawdown profiles — and very different odds of an investor panicking and selling at the bottom.

This calculator takes a peak and a trough value and returns the maximum drawdown percentage along with the gain required to recover it, so you can see both the size of the loss and the size of the comeback it demands.