Worst Drawdown

Formula: Drawdown = (1 - Valley VAMI / Peak VAMI) (X 100 for %)

Example: Peak VAMI = 2000, Valley VAMI = 1500
Drawdown = 1 - 1500/2000 = .25 or 25%

Note: A drawdown is the Peak-to-Valley rate of return and is actually the negative, since in a drawdown the ROR is by definition negative.

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Related Terms:

• High Water Mark definition
• Efficiency Index definition
• Fixed Income Diversified definition
• Value Added Monthly Index VAMI definition
• Drawdown Report definition

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