Finance & Investment · Risk & Portfolio
Maximum Drawdown Calculator
Paste a series of prices, NAVs or portfolio values to find the maximum drawdown — the deepest fall from a high point — when it happened, how long it took to recover, where the value stands now versus its peak, and the gain needed to get back.
Your inputs
Quick start — try a typical case
Oldest first. Paste dates and closing values from Excel.
Your result Live
Maximum Drawdown
-24.58%
From 118 at Month 6 down to 89 at Month 9
- Gain Needed to Recover from the Low
- 32.58%
- Fall Lasted
- 3 periods
- Recovered
- At Month 14, 5 periods after the low
- Current Drawdown from Peak
- 0.00%
- Total Change, First to Last
- 25.00%
How this is calculated
Drawdownₜ = Valueₜ ÷ max(Value₀…Valueₜ) − 1 · Max drawdown = min over t · Gain to recover = 1 ÷ (1 + MDD) − 1
- Valueₜ
- Price, NAV or portfolio value at period t
Maximum drawdown shows the worst loss someone would have suffered buying at a peak and selling at the following low. It's a more tangible risk measure than volatility, and it reveals how deep a fall you must be ready to sit through. A 50 % fall needs a 100 % gain to recover.
Assumptions & sources
- Values should include dividends reinvested (total-return NAVs) for a fair picture.
- Only the observations you enter are checked; falls between data points (e.g. intra-month) are not seen.
- 1Investments (Bodie, Kane & Marcus), chapters on returns, compounding and the time value of money — McGraw-Hill
- 2Maximum Drawdown (Magdon-Ismail & Atiya, 2004) — Risk Magazine
Calculator ID FIN-RISK-MDD-001 · version 1.0.0
Common questions
Why does a 50 % fall need a 100 % gain?
After falling from 100 to 50, you need to gain 50 — which is 100 % of 50. The deeper the fall, the steeper the climb back.
Daily or monthly data?
Daily data catches the true worst point; monthly data understates drawdowns that happen and recover within a month.