Mode 1 — MDD from a portfolio value series
Enter the portfolio value per period (e.g., per month), separated by spaces, commas, or newlines. Values must be greater than 0.
Mode 2 — MDD from per-period returns
Enter each period's return in percent (may be negative); e.g., 5 means +5%. The calculator reconstructs the equity curve from the starting value, then computes its MDD.
Mode 3 — 2-strategy comparator
Compare the MDD of two value series side by side, each with its own recovery status.
| Metric | Series A | Series B |
|---|
Mode 4 — Recovery-gain solver
From a drawdown of X%, what gain Y% is needed to break even? Formula: Y = 1/(1−X) − 1.
The inverse: from target gain to drawdown
What drawdown can a gain of G% recover? Formula: X = 1 − 1/(1+G).
Frequently asked questions
What is maximum drawdown (MDD)?
Maximum drawdown is the largest peak-to-trough decline ever experienced by a portfolio or investment strategy over a period, measured from the highest value (peak) to the next lowest value (trough) before the value rises again. MDD is expressed as a negative percentage; for example, -40% means the portfolio once fell 40% from its peak. MDD is a measure of historical worst-case loss risk, not a prediction of future losses.
How is maximum drawdown calculated?
The formula: MDD = (trough − peak) / peak, multiplied by 100 for a percentage. Example: a portfolio value moves at 100, then rises to 150 (peak), then falls to 90 (trough). MDD = (90 − 150) / 150 = -0.4 = -40%. This calculator automatically finds the running highest peak and the deepest trough after it from the value series you enter, along with the peak position, trough position, and drawdown duration in number of periods.
Why does a 50% loss need a 100% gain to recover?
Because the recovery is computed from a shrunken base. The formula: required gain = 1 / (1 − d) − 1, where d is the drawdown as a fraction. For d = 0.5: 1 / 0.5 − 1 = 1 = 100%. Another example: a -40% drawdown needs 1 / (1 − 0.4) − 1 = 66.67% to get back to break-even. This is why large drawdowns are so costly: the relationship between loss and recovery is asymmetric.
What is the difference between maximum drawdown and volatility?
Volatility measures how much the value moves up and down around its average in all directions, while maximum drawdown only measures the worst decline from peak to trough. Two strategies can have the same volatility but very different MDDs. MDD answers how deep you were ever down from the highest point, while volatility answers how wild the movements are. The two complement each other and cannot replace each other.
What are drawdown duration and the recovery period?
Drawdown duration is the length of time (the number of your data periods) from the peak point to the deepest trough point. The recovery period is the time from the trough until the value returns to or exceeds the original peak level. This calculator shows the drawdown duration for each series mode, and comparator mode also shows whether each strategy has recovered within the entered data. A drawdown that is both deep and long is generally considered harder than one that is deep but recovers quickly.
What are the Calmar ratio and the Ulcer index?
Both are derived metrics that use drawdown. The Calmar ratio compares the annualized return with the absolute value of maximum drawdown, showing how much return you get per unit of worst-decline risk. The Ulcer index measures the depth and duration of all drawdowns that occur, not just the deepest one, reflecting how long and deep investors endured discomfort. This calculator focuses on MDD, duration, and recovery math; the Calmar ratio and Ulcer index are mentioned here as further reading context.
How is this calculator different from the other financial calculators on this site?
This calculator specifically measures downside (drawdown) risk from a value or return series. If you want to measure the annualized growth rate, use the annualized rate of return calculator at /tools/annualized-rate-of-return/. If you want to project the future value of compounding interest, use the compound interest calculator at /tools/compound-interest-calculator/. MDD, annualized return, and compounding projections are three different views of the same investment data. Note: all calculators on this site are educational and not investment advice.