Maximum Drawdown Calculator
Compute max drawdown percentage, dollar loss, recovery time, and Ulcer Index from portfolio values.
How It Works
The Maximum Drawdown Calculator analyzes a series of portfolio balances to find the worst peak-to-trough decline. You paste or type your portfolio values — monthly statements, quarterly reports, or daily closes — and the tool instantly computes how much you would have lost from the peak and how long it took to recover.
Beyond the headline max drawdown number, the tool computes the Ulcer Index — a measure that considers both depth and duration of all drawdowns. This gives a more complete picture of risk than max drawdown alone. The drawdown timeline shows every drawdown episode visually so you can see where and when declines occurred.
The Formula
running_peak = first_value
for each value at index i:
if value > running_peak: running_peak = value
drawdown_pct = (running_peak − value) / running_peak
squared_drawdowns[i] = drawdown_pct²
max_drawdown = max(drawdown_pct)
dollar_loss = running_peak_at_start − trough_value
ulcer_index = √(Σ(squared_drawdowns) / n) × 100
All calculations run in your browser. Values are never sent to a server.
FAQ
What is maximum drawdown?
Maximum drawdown is the largest peak-to-trough decline in a portfolio's value over a given period. It measures the worst-case loss an investor would have experienced buying at the peak and selling at the trough. It is expressed as a percentage: (Peak − Trough) / Peak.
What is the Ulcer Index?
The Ulcer Index measures both the depth and duration of drawdowns. It is the square root of the mean of all squared percentage drawdowns from the running peak. A higher Ulcer Index means deeper or longer drawdowns — more 'pain' for the investor. Unlike max drawdown, the Ulcer Index penalizes sustained underwater periods.
How is recovery time calculated?
Recovery time counts the number of periods (months, days, etc.) from the trough until the portfolio value returns to or exceeds the previous peak. If the portfolio has not yet recovered by the end of the series, recovery time is marked as 'not yet recovered.'
How should I enter my portfolio values?
Enter your portfolio values as numbers separated by commas, spaces, or newlines. Each value represents your portfolio balance at a point in time — monthly statements, daily closes, or any regular interval. The order matters: first value is earliest, last value is most recent.
Should I use max drawdown or Ulcer Index?
Max drawdown is a single worst-case number useful for stress-testing. The Ulcer Index gives a fuller picture of risk over time — two strategies can have the same max drawdown but very different Ulcer Index values, indicating different levels of sustained stress.
Related Tools
Pair this with the Portfolio Temperature tool to assess concentration risk. More tools coming: Sharpe ratio calculator, Sortino ratio, value at risk (VaR).