Maximum Drawdown

Risk Metrics

The largest peak-to-trough decline observed in the entire history of an investment. This represents the worst-case scenario an investor could have experienced. For example, the S&P 500 experienced a 57% maximum drawdown during the 2008 financial crisis. Maximum drawdown is a key measure of downside risk and historical volatility, often used in evaluating hedge funds and systematic strategies.

Mentioned in this definition

DrawdownHedgeVolatility

More in Risk Metrics

Bear MarketBetaBull MarketCalmar RatioCorrelationSharpe RatioSortino RatioSystematic RiskVaR (Value at Risk)

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