Drawdown

Risk Metrics

The peak-to-trough decline in investment value during a specific period. For example, if a portfolio reaches $100, then declines to $80, the drawdown is $20 or 20%. Drawdowns are temporary and recover when prices rebound. They are psychologically important—a 50% drawdown requires a 100% gain to recover to the previous high.

More in Risk Metrics

Bear MarketBetaBull MarketCalmar RatioCorrelationMaximum DrawdownSharpe RatioSortino RatioSystematic RiskVaR (Value at Risk)Volatility

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