Drawdown Report

A drawdown is defined as a loss of equity from a peak to valley in a single month or period of consecutive months. The Drawdown Report presents data on the percentage drawdowns during the trading program's performance history ranked in order of magnitude of loss.

Depth: Percentage loss from peak to valley
Length: Duration of drawdown in months from peak to valley
Recovery: Number of months from valley to new high
Start Date: Month in which peak occurs.
End Date: Month in which valley occurs.

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Related Terms:

• Distressed Securities definition
• Barclay CTA Index definition
• Sharpe Ratio definition
• Total Return definition
• Time Windows definition

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