Targets, progress and status

Drawdown chart

Shows decline from the previous running peak of a value series.

What it answers

How far below its earlier peak is the value?

The question

How far below its previous peak has the fund fallen, and for how long?

The line sits at 0 at each new high and dips below while the fund is under its peak. The deepest fall is -7.5%.

Illustrative data. It belongs to no company.

Tracking downside from a rolling high.

When unadjusted cash flows distort the wealth series.

Read zero as the running peak and negative depth as drawdown.

Define absolute or percentage drawdown and sign convention.

Layout: Long table
Fields: Time: date; PortfolioValue or WealthIndex: positive number
One row is: One observation at a time or ordered position. What is the grain?
Rules: Sort time and calculate the running peak. Percentage drawdown can be Value/RunningPeak - 1. Define adjustment for cash flows.
Optional: Alternative: Time,PrecomputedDrawdown with a documented calculation.
Preparation: Sort a cash-flow-adjusted wealth series, calculate running peaks and derive drawdown as Value/Peak-1 or a stated absolute difference.
Units: Percentage drawdown =Value/RunningPeak-1; denominator is that previous peak. Absolute drawdown uses native currency/index units.

A long table: one row per observation, few columns. New data adds rows.

Values 100,120,108 have running peaks 100,120,120. Percentage drawdowns are 0%,0%,-10%.