Definition
Maximum Drawdown
The largest peak-to-trough drop an investment has suffered.
Maximum drawdown measures the steepest decline from a previous high to the following low over a period — a plain-English picture of the worst loss an investor would have endured before any recovery. It captures real-world pain in a way that averages hide, which makes it a useful reality check on how much risk a strategy actually carries. Market Lens reports maximum drawdown in its portfolio analytics.
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