About the Maximum Drawdown Calculator
This maximum drawdown calculator finds the largest peak-to-trough fall in a series of values — the deepest hole an investment dug before it set a new high. Paste closing prices, month-end account balances or fund NAVs, or switch to returns mode and paste periodic percentage returns, and it returns the maximum drawdown (MDD), where the peak and trough occurred, whether and when the series recovered, and how far below its high it sits today.
Drawdown is the risk measure most investors actually feel: volatility treats ups and downs alike, but a 30% fall from a high is what tests your nerve and your withdrawal plan. Use it to compare funds or strategies, to stress-test a backtest, or to check how bad a past bear market was for your own portfolio.
Values are processed in the order you enter them, oldest first. In returns mode the series starts at an index of 100 and compounds each return. Maximum drawdown depends on the data frequency — month-end values hide intra-month lows — so compare series measured the same way.
With the default inputs, the maximum drawdown is -26.67%. Change any value above to recalculate instantly.
How to use the maximum drawdown calculator
- 1Choose whether you have values (prices, balances, NAVs) or periodic returns.
- 2Paste the series in time order, oldest first.
- 3Read the maximum drawdown and where its peak and trough occurred.
- 4Check the recovery line and the gain needed to get back to the peak.
- 5Use the underwater chart to see how long the series spent below its highs.
Formula and method
The calculator walks through the series in order and keeps track of the running peak — the highest value seen so far. At every point the drawdown is the current value divided by that running peak, minus one. The maximum drawdown is the most negative of those readings, and the peak and trough that produced it are reported.
Recovery is the first later point whose value is at or above the peak that preceded the maximum drawdown. Because losses and gains are asymmetric, the gain needed to recover is 1 ÷ (1 + MDD) − 1: a 50% drawdown needs a 100% gain. In returns mode each return is compounded onto a starting index of 100 before the same steps are applied.
- Vₜ
- Value (price, balance or index) at point t
- DDₜ
- Drawdown at point t relative to the running peak
- MDD
- Maximum drawdown — the most negative DDₜ
Worked examples
Fifteen month-end portfolio values
The portfolio peaked at 120 (point 5) and fell to 88 (point 8), a drawdown of 32 ÷ 120 = 26.67%. Getting from 88 back to 120 required a 36.36% gain, which happened at point 13 when the value hit 125. The series ends at a new high of 128, so the current drawdown is zero.
Seven yearly returns
Starting from 100, a 5% gain lifts the index to 105, the peak. The following returns compound down to 85.25 after the −15% year, an 18.81% drawdown. Even after the final +4% the index is 88.66, still 15.56% below the peak, so the series has not recovered.
Stock that has not recovered
The share price rose to 62, then slid to 40 — a 22-point fall, or 35.48% of the peak. A 55% rally from 40 is needed to reach 62 again. At 52 the stock is up 4% from where it started but still 16.13% below its high.
Frequently asked questions
What is maximum drawdown?+
Maximum drawdown is the largest percentage fall from a peak to a subsequent trough before a new peak is reached. It measures the worst loss an investor would have suffered by buying at the top and selling at the bottom during the period studied.
What is a good maximum drawdown?+
It depends on the asset. Broad US stock indexes fell about 50% or more in the 2000–2002 and 2007–2009 bear markets, balanced portfolios usually far less, and bond funds less again. Compare a fund with its benchmark over the same period rather than with a fixed number.
Why does a 50% drawdown need a 100% gain to recover?+
Gains are measured from the lower base. If $100 falls 50% to $50, you need another $50 — a 100% gain on $50 — to get back to $100. The required gain is 1 ÷ (1 − loss) − 1, which grows quickly as losses deepen.
Does data frequency change maximum drawdown?+
Yes. Daily data captures intraday-close lows that month-end data skips, so daily MDD is usually deeper. When comparing funds or strategies, use the same frequency and the same date range for each.
How is drawdown different from volatility?+
Volatility (standard deviation) measures how widely returns swing in both directions. Drawdown looks only at sustained losses from a high and depends on the order of returns, so two series with the same volatility can have very different drawdowns.
Results are estimates for educational purposes and are not financial advice. Rates, fees and terms vary — confirm with your lender or a licensed advisor before making decisions.