Maximum Drawdown
Quantitative Metrics
Maximum drawdown (MDD) is the maximum observed loss from a peak to a trough of a portfolio before a new peak is attained. It measures downside risk over a specified period.
Max drawdown answers: 'What's the worst losing streak this strategy has had?' A strategy with 20% CAGR but a 60% max drawdown may be psychologically impossible to hold through.
Further reading: Wikipedia
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