Glossary · Risk
Maximum drawdown
The largest peak-to-trough fall over a period — the worst loss a holder would have sat through.
Drawdown is measured from the highest point reached to the lowest point that followed it, before a new high. Unlike volatility, it describes a specific historical experience rather than an average.
It is bounded by the window observed. A five-year drawdown figure cannot capture a crash that happened six years ago, so the window matters as much as the number.
Recovering a drawdown takes a larger percentage gain than the percentage lost: a 33% fall requires a 50% rise to return to the starting point.
How we calculate it
Largest peak-to-trough decline in the 5-year weekly NAV series.