Portfolio Analytics

Maximum Drawdown

Definition

What is Maximum Drawdown?

The largest peak-to-trough decline over a measurement period.

Example in practice

How This Looks in Practice

A portfolioThe complete collection of investments owned by an investor or managed under one mandate. falling from ₦10 million to ₦7 million before recovering has a 30% maximum drawdownA decline from a previous portfolio or asset-value peak..

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Related Terms

Portfolio Analytics

Correlation

A statistic ranging from minus one to plus one that describes how two return series move together.

Portfolio Analytics

Positive Correlation

A relationship in which two assets tend to move in the same direction.

Portfolio Analytics

Negative Correlation

A relationship in which two assets tend to move in opposite directions.

Risk Management

Stress Test

An analysis of portfolio performance under severe but plausible scenarios.

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