Visualizing the maximum drawdown
27 January 2011

Portfolio Lab reports the maximum drawdown in the backtest module. We added a visualization of the drawdown on the return chart, along with the drawdown peak, trough and duration, as shown below:
Maximum drawdown
The maximum drawdown of a portfolio for a given period, is the biggest decline in value from peak to trough. Drawdown is one of many metrics for risk. Its advantage is to be fairly intuitive and understood by most investors.

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