Measure
Maximum drawdown
The largest peak-to-trough loss observed over a period. Formula: MDD = min_t ( V_t / max_{s ≤ t} V_s − 1 ).
Definition
The largest peak-to-trough loss observed over a period.
Formula
MDD = min_t ( V_t / max_{s ≤ t} V_s − 1 )
How to read it
It is the worst loss an investor would have suffered buying at the least fortunate moment in the window and selling at the worst.
Measured on real funds
16The deepest peak-to-trough fall each fund has actually had, over its own full monthly history rather than a chosen window.
| Fund | Worst drawdown | When |
|---|---|---|
| SMH | -83.3% | 2000-08 to 2009-02 |
| QQQ | -81.1% | 2000-03 to 2002-09 |
| XLK | -80.5% | 2000-03 to 2002-09 |
| VWO | -61.7% | 2007-10 to 2009-02 |
| VEA | -57.1% | 2007-10 to 2009-02 |
| VTV | -54.8% | 2007-05 to 2009-02 |
| VTI | -50.8% | 2007-10 to 2009-02 |
| VGT | -50.6% | 2007-10 to 2009-02 |
| VUG | -47.2% | 2007-10 to 2009-02 |
| VT | -46% | 2008-07 to 2009-02 |
| VIG | -41.1% | 2007-09 to 2009-02 |
| VXUS | -27.8% | 2021-05 to 2022-09 |
| VOO | -23.9% | 2021-12 to 2022-09 |
| SCHD | -21.5% | 2019-12 to 2020-03 |
| BND | -17.3% | 2020-07 to 2022-10 |
| AGG | -17.1% | 2020-07 to 2022-10 |
Measured on month-end values, so an intra-month low deeper than the close does not appear. This is a floor, not the worst tick. Computed from Yahoo Finance monthly total return, recomputed with every update of the site. How these figures are produced.
What it does not tell you
It is a single realisation, not a distribution. It depends entirely on the window chosen, says nothing about how often such falls occur or how long recovery took, and cannot be annualised or averaged meaningfully.
Applied in 177 articles
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Every figure computed with this measure on this site follows the conventions set out in the methodology. All measures →