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Maximum Drawdown (MDD)

A maximum drawdown (MDD) is the maximum loss from a peak to a trough of a portfolio, before a new peak is attained. Maximum Drawdown (MDD) is an indicator of downside risk over a specified time period. It can be used both as a stand-alone measure or as an input into other metrics such as “Return over Maximum Drawdown” and the Calmar Ratio. Maximum Drawdown is expressed in percentage terms and computed as:

MDD = (Trough Value – Peak Value) ÷ Peak Value


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