Drawdown Calculator
Paste an equity curve, get the maximum drawdown percentage, drawdown duration, recovery time, and current drawdown. Visualised on a chart with peak/trough/recovery markers.
Drawdown Calculator
How to use the Drawdown Calculator
Paste your equity curve
The "equity curve" is the running balance of your portfolio or trading account over time — one number per period (daily, weekly, monthly — doesn't matter, as long as the periods are consistent). Paste values separated by newlines, commas, spaces, or tabs. The parser is flexible — pasting from Excel / Google Sheets / brokerage CSV works. Need at least 2 data points; 30+ for meaningful metrics; 500+ for institutional-grade analysis.
Read the max drawdown
The big red number is the largest peak-to-trough decline anywhere in your equity curve, expressed as a percentage. A drawdown of -20% means at the worst point, your portfolio was 20% below its prior peak. For context: the S&P 500 fell about 57% from its October 2007 closing high to its March 2009 low (S&P Dow Jones Indices), and a 20% fall from a peak is the conventional threshold for calling a bear market. Higher drawdown = higher risk experienced. Strategy comparisons routinely use max drawdown alongside total return.
Note duration vs recovery time
Duration is how long it took to fall from peak to trough. Recovery time is how long it took to climb back to the prior peak. Bear markets have usually taken longer to recover than to fall — the 2007–09 S&P 500 decline ran 17 months (October 2007 to March 2009) and the climb back to the old closing high took about 49 months (to March 2013). Combined duration + recovery is the "underwater period" — time during which an investor was sitting at a loss vs prior high. Longer underwater periods test investor patience and discipline.
Watch for "not yet recovered"
If the recovery time shows "Not recovered", your equity curve hasn't reclaimed the prior peak yet — you're still in drawdown. The "Current drawdown" stat shows how far below the all-time peak you are right now. This matters because: (1) Anyone who joined the portfolio AT the peak has been underwater since; (2) The math required to recover grows non-linearly — a 50% loss requires +100% to break even. For a 20% loss, only +25% recovery is needed; for 30%, +43%; for 50%, +100%; for 70%, +233%.
Drawdown — the risk metric retail investors should care about more than volatility
Standard deviation (volatility) is the textbook risk metric, but for actual portfolio owners — humans who have to live with their wealth going down — max drawdown is more meaningful. Volatility tells you average wobble; max drawdown tells you the worst single experience the portfolio actually delivered. A strategy with 15% annual return and 18% volatility might have only experienced a max drawdown of -22% (manageable) or -55% (devastating) — same volatility, completely different real-world risk. Max drawdown captures the tail experience that volatility averages away. Sophisticated investors track BOTH; retail investors who track ONE should track max drawdown.
The recovery math nobody internalises until they experience it
Recovery from drawdown isn't symmetric with the decline. A 20% loss needs +25% to break even (because you're recovering from a smaller base). A 30% loss needs +43%. A 50% loss needs +100%. An 80% loss needs +400%. This is why protecting the downside matters so much for long-term compounding — a portfolio that loses 50% in year 1 and gains 50% in year 2 is still down 25% (1.5 × 0.5 = 0.75), NOT at break-even. The math of recovery is unforgiving, and it's why "minimise max drawdown" is the dominant heuristic of risk management. Bear markets of similar depth can have very different recovery experiences — the 2020 COVID fall of about 34% (19 February to 23 March 2020) was recovered by August 2020, five months later; the 2007–09 fall of about 57% took about 49 months to recover (S&P Dow Jones Indices closing levels).
A 50% loss requires a 100% gain to break even. The asymmetry of drawdown recovery is the single biggest reason "don't lose money" is the first rule of investing.
Drawdown across asset classes — what's normal
Different asset classes have characteristic drawdown profiles, and the ordering is stable even though the numbers differ by episode. Cash and T-bills barely draw down at all. Government and investment-grade bonds fall in single or low double digits in rate shocks — 2022 was the worst year most bond investors had seen. Broad equity indices lose 10–20% in ordinary corrections and roughly a third to a half in major bear markets (the S&P 500's 2007–09 fall was about 57%). Emerging markets and small caps fall further than large-cap developed indices in the same episode. Single stocks can lose everything. Cryptocurrencies have repeatedly lost more than three-quarters of their value peak to trough. Knowing what is normal for your asset class helps interpret a current drawdown — a 25% drop in an all-equity portfolio is unremarkable; the same 25% drop in a 60/40 portfolio is unusual.
The ASEAN drawdown experience
ASEAN markets have their own drawdown history worth knowing. The 1997 Asian Financial Crisis was the defining regional event — currencies and equity indices across Indonesia, Thailand, Malaysia and Korea fell by more than half in local terms, and some markets took the better part of a decade to regain their highs in US-dollar terms. The 2008 Global Financial Crisis hit ASEAN markets hard but the recovery was faster than in the West, because regional banks and households carried less leverage. The 2015–16 commodity slump hurt commodity-exporting Indonesia and Malaysia more than services-heavy Singapore. The 2020 COVID crash pulled the STI, FBM KLCI, JCI, SET and PSEi down by roughly a third within weeks; most had recovered within a year or two. Singapore's STI, with its heavy bank and property weighting and developed-market status, has tended to draw down less than emerging-market peers in the same episode. Paste any of these indices into the tool and it will show you the exact figures — the math applies to any equity curve regardless of currency or geography.
Losing half needs a double to get back, and the S&P took 49 months
Max drawdown = the largest peak-to-trough decline anywhere in your equity curve. The single biggest "worst experience" of holding the portfolio.
A 50% loss requires +100% gain to break even. The recovery math is non-linear and unforgiving.
The S&P 500 fell about 57% from October 2007 to March 2009 and took about 49 months to regain its closing high. The 2020 COVID fall of about 34% was recovered in five months (S&P Dow Jones Indices).
Bear markets have usually taken longer to recover than to fall — the 2007–09 S&P 500 decline lasted 17 months and the recovery about 49.
The Calmar Ratio = CAGR / max drawdown — a popular risk-adjusted return metric for trading strategies. Higher is better.
The Asian Financial Crisis (1997) cut regional currencies and equity indices by more than half in local terms — the worst regional dislocation in modern memory.
Bitcoin has repeatedly lost more than three-quarters of its value peak to trough (2011, 2014–15, 2018, 2022). Crypto drawdowns dwarf equity drawdowns.
Investors who panic-sell at the bottom turn a paper drawdown into a permanent loss — the recovery in the chart above never reaches them.
Hedge funds report "Maximum Drawdown" alongside "Annualised Return" as the two headline metrics. Many institutional mandates cap allowable max drawdown.
The longest US equity drawdown in modern history: the Dow Jones Industrial Average peaked in September 1929 and did not regain that level until November 1954 — 25 years. Few investors fully internalise how long this can last.
Frequently Asked Questions
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Volatility (standard deviation) measures average wobble around the mean — how much your portfolio bounces day-to-day. Max drawdown captures the single worst peak-to-trough experience. A strategy can have low volatility but a brutal max drawdown (e.g., long-volatility hedges) or high volatility but small drawdowns (e.g., choppy markets that don't trend down). For retail investors, max drawdown often matters more emotionally because it's the worst experience you actually have to live through — not the average. Track both, but prioritise drawdown for decisions about whether you can stick with a strategy.
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Any time series of portfolio values — total account balance, fund NAV, stock price, trading account equity. The calculator doesn't care what the periods are (daily, weekly, monthly) as long as they're consistent. Daily values give the most accurate drawdown (intra-period drawdowns are missed by less frequent sampling). For monthly data, drawdowns might be slightly under-reported because the within-month worst point isn't captured. For trading strategies, use daily closing equity. For portfolio analysis, monthly is usually enough.
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Depends on asset class and strategy. A conservative bond portfolio draws down in single digits in most years; a 60/40 balanced portfolio loses a fraction of what equities lose in the same bear market; 100% stocks can lose a third to a half in a major bear market (the S&P 500 fell about 57% in 2007–09); single-stock concentration can lose everything; crypto has lost more than three-quarters of its value several times. There's no universal "good" — only "appropriate for the strategy and your risk tolerance." A strategy returning 20% a year with a 10% max drawdown is institutional-grade; the same return with a 30% drawdown is acceptable to some; a 50% drawdown is unacceptable for most investors regardless of the return.
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Two reasons. (1) Mathematics: recovering from a 50% loss requires a 100% gain because you're climbing back from a smaller base. (2) Markets bottom slowly — the recovery phase is gradual and choppy, with multiple "false starts" before the trend resumes. The 2007–09 bear market took 17 months to decline; the recovery took about 49 months — almost three times as long. The 2020 COVID crash was a rare exception (V-shaped recovery in months). Long bear-recoveries are why time horizon matters for stock-heavy portfolios — anyone needing money within 3-5 years should avoid heavy equity exposure regardless of historical returns.
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Calmar Ratio = CAGR / abs(max drawdown). It's the "return per unit of drawdown" — how much annualised return you got per percentage point of worst pain. Example: 12% CAGR with -20% max drawdown = Calmar 0.6. Higher is better. A buy-and-hold equity index scores poorly because its worst drawdown is several times its annual return; trading strategies aim for a Calmar above 1 (more annualised return than worst drawdown), which is rare. The Calmar is popular among hedge fund allocators because it captures the trade-off retail investors care about: "how much return did I get for the worst experience the strategy gave me?"
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Several techniques exist, each with trade-offs. Diversification across asset classes (stocks, bonds, gold, real estate) — the cheapest reduction, because the assets do not all fall together. Tactical bond allocation — shift to more bonds in late-cycle periods. Trend-following rules (sell when the 200-day moving average breaks) — cut the depth of long bear markets in backtests but pay for it in whipsaws. Hedging with options (put options, collar strategies) — expensive insurance, reduces drawdown but cuts returns. Lower equity weight — guaranteed lower drawdown but lower long-term return. All these reduce drawdown at the cost of expected return. The "free lunch" of diversification gets you the biggest improvement per cost.
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Yes — that's a primary use case. Paste your backtest equity curve and get max drawdown, recovery time, and current drawdown. Use cases: comparing two strategies on the same data, evaluating whether a strategy's drawdown profile is tolerable, identifying the worst stretch in a long backtest. For institutional-quality backtest analysis, also compute Calmar Ratio (CAGR / max drawdown), Sortino Ratio, and underwater periods. This calculator handles max drawdown; for full risk analytics, use Python (empyrical, pyfolio) or specialised platforms (QuantConnect, Backtrader).
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The recovery period ends only when the equity curve climbs back to (or above) the prior peak that started the drawdown. If your data ends while still below that peak, the recovery hasn't completed. This is common when analysing CURRENT portfolios still in drawdown — you're sitting in unrealised losses, waiting for recovery. Broad indices have always recovered eventually, but the wait can be very long: Japan's Nikkei 225 peaked in December 1989 and did not regain that level until February 2024 — 34 years. Recovery is the historical norm, not a guarantee for any specific period.
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No. All calculations + the chart rendering run entirely in your browser via JavaScript + Canvas. There's no server roundtrip — open DevTools → Network and confirm zero outbound requests as you change inputs. Your portfolio data stays on your device. Safe for confidential trading-strategy backtests, hedge fund performance review, or any sensitive financial time-series analysis.
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This calculator works at the granularity of your data. If you paste monthly closing values, drawdowns occurring WITHIN a month (and recovering before month-end) won't be captured. For trading strategies analysed at daily granularity, intraday drawdowns are similarly missed. Use the lowest granularity available: tick data for HFT analysis, daily for typical traders, weekly/monthly for buy-and-hold investors. Most retail analysis uses monthly — accurate enough for portfolio decisions, captures all meaningful bear markets.
Method & sources
How it computes
Running-peak (high-water-mark) drawdown: for each pasted value, DD = (peak so far − value) ÷ peak so far; the maximum drawdown is the largest DD, with the peak and trough indices recorded. Duration = trough index − peak index; recovery = the first later index whose value meets or exceeds the prior peak; current drawdown = decline from the all-time peak to the final value.
What this tool implements
- Discrete sampling — drawdown is measured only at the pasted points; intra-period lows between samples are not seen
- Percent decline from the prior high-water mark, not from the starting value; the first value is the initial peak
- Recovery requires the prior peak to be met or exceeded; otherwise 'Not recovered' — the definition used in performance-measurement texts
- Values parsed with the shared list parser so thousands separators and currency symbols pasted from statements survive
Sources
- Magdon-Ismail M, Atiya AF, Pratap A, Abu-Mostafa YS. On the maximum drawdown of a Brownian motion. Journal of Applied Probability 2004;41(1):147-161.
- Bacon CR. Practical Portfolio Performance Measurement and Attribution. 2nd ed. Chichester: Wiley; 2008. Chapter 4, risk — drawdown and Calmar ratio.
- spglobal.com
What can make this go out of date
- none at runtime — the tool computes only on the values you paste; the index episodes quoted in the prose (S&P 500 2007–09 and 2020, Nikkei 1989–2024, Dow 1929–54) are historical and fixed
Pick up where you left off
Stored only in this browser — never sent to our servers.