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Max drawdown is the largest peak-to-trough decline your portfolio experienced from any prior all-time high. If you peaked at $100K and bottomed at $65K before recovering, your max drawdown is −35%. It's the single best answer to “how badly did this hurt?” — and the recovery period tells you whether you would have sold.
Max DD = worst peak-to-trough loss · recovery period = months to new highWant the deeper math? Learn the math behind Maximum Drawdown →
Maximum drawdown (MDD) measures the largest peak-to-trough decline in a portfolio's value before a new peak is established. It captures the worst possible loss an investor could have experienced during a given period — the number that answers the question "how bad did it actually get?"
The calculation tracks the running high-water mark of portfolio value. At every point in time, it measures how far the current value has fallen from that peak. The largest of these declines across the entire history becomes the maximum drawdown.
Hedge funds, endowments, and institutional allocators track maximum drawdown religiously because it tells them something volatility alone cannot: how much capital was actually at risk during the worst period. A portfolio with low standard deviation can still have a devastating drawdown if the losses are concentrated. Two portfolios with identical Sharpe ratios can have radically different drawdown profiles — and the one with the deeper drawdown is harder to recover from.
A drawdown is not a single number. It has three dimensions, and understanding all three is essential to evaluating portfolio risk honestly.
The percentage decline from peak to trough. A -35% drawdown means the portfolio lost more than a third of its value. Depth determines how much return is needed to recover — and the math is asymmetric: a 50% loss requires a 100% gain.
The number of days from the peak to the trough — how long the portfolio took to reach its lowest point. A slow, grinding decline over 18 months tests investor discipline differently than a sharp crash over 3 weeks.
The number of days from the trough back to the previous peak. Some drawdowns recover in weeks. The S&P 500 took over 5 years to recover from its 2007-2009 drawdown. Crypto drawdowns have taken even longer.
Not all drawdowns are equal. A 10% pullback in a diversified portfolio is normal market behavior. A 50% decline is a generational event that permanently changes investor psychology.
| Drawdown | Risk Level | Context |
|---|---|---|
| 0 - 10% | Conservative | Normal market fluctuation. Typical of bond-heavy or diversified portfolios. Recoveries usually measured in weeks. |
| 10 - 20% | Moderate | Standard equity correction territory. The S&P 500 experiences a 10-20% drawdown roughly every 2-3 years on average. |
| 20 - 30% | Aggressive | Entering bear market range. Concentrated portfolios or high-beta strategies see this regularly. Requires 25-43% gain to recover. |
| 30 - 50% | High Risk | Major bear market (2008, 2020 COVID crash for some sectors). A 40% drawdown needs a 67% gain to break even. |
| 50%+ | Extreme | Catastrophic loss. Requires 100%+ return to recover. Common in single stocks, leveraged ETFs, and crypto. Many portfolios never recover. |
Over the last 10 years, the S&P 500's deepest drawdown was −33.7% (the COVID crash, February 19 to March 23, 2020), the Nasdaq-100's was −35.1% (the 2022 bear market), and Bitcoin's was −83.4% (December 2017 to December 2018). Even bonds fell −18.2% peak-to-trough in 2020–2022. Every figure below is computed from daily total returns, dividends reinvested, in Foliolytic's own price database.
| Asset | 5Y Max Drawdown | 10Y Max Drawdown | 10Y Peak → Trough |
|---|---|---|---|
| SPY (S&P 500) | −24.5% | −33.7% | Feb 19, 2020 → Mar 23, 2020 (COVID crash) |
| QQQ (Nasdaq-100) | −35.1% | −35.1% | Dec 27, 2021 → Nov 3, 2022 (rate-hike bear) |
| VT (Total World) | −26.4% | −34.2% | Feb 12, 2020 → Mar 23, 2020 (COVID crash) |
| IWM (Russell 2000) | −31.9% | −41.1% | Aug 31, 2018 → Mar 23, 2020 (19-month slide into COVID) |
| AGG (US Bonds) | −17.8% | −18.2% | Aug 4, 2020 → Oct 20, 2022 (bond bear market) |
| GLD (Gold) | −26.0% | −26.0% | Jan 30, 2026 → Jul 14, 2026 (ongoing at data date) |
| BTC (Bitcoin) | −76.6% | −83.4% | Dec 16, 2017 → Dec 15, 2018 (crypto winter) |
| ETH (Ethereum) | −79.4% | −94.0% | Jan 13, 2018 → Dec 14, 2018 (crypto winter) |
Windows end July 18, 2026. Computed from daily total-return series (dividends reinvested) using the same drawdown engine this page's analyzer applies to uploaded portfolios — see methodology. Crypto series use calendar days; equities use trading days.
Note the asymmetry these numbers imply: recovering from SPY's −33.7% required a 51% gain; recovering from ETH's −94.0% required a 1,567% gain. Gold's entry is a reminder that max drawdown is a live number — its worst 10-year drawdown began in January 2026 and was still open at the data date.
Foliolytic takes your raw transaction history and builds a complete drawdown profile. No manual calculations, no spreadsheet formulas, no guesswork.
Export from any major broker — Interactive Brokers, Fidelity, Schwab, Robinhood, Coinbase, Kraken, and more. The parser auto-detects format.
Foliolytic matches your transactions against 1,400+ tickers with price history back to 2000 and reconstructs your portfolio's daily value.
Every drawdown period is identified: depth, duration to trough, recovery time. The worst drawdown is highlighted and its exact dates reported.
A visual timeline showing every period your portfolio spent below its high-water mark, with shading proportional to drawdown depth.
Drawdown analysis is paired with 70+ other metrics: Calmar ratio, Ulcer Index, Sharpe, Sortino, VaR, and more — all calculated from the same upload.
Upload a CSV, get full drawdown analysis in seconds. No signup, no data retention.
Analyze Your PortfolioMaximum drawdown does not exist in isolation. Foliolytic calculates these complementary risk metrics from the same upload to give you a complete picture.
Annualized return divided by maximum drawdown. Measures how much return you earned per unit of worst-case risk. A Calmar above 3.0 is exceptional. Below 1.0 suggests the drawdowns are too severe for the returns delivered.
The root mean square of percentage drawdowns over time — a more sensitive measure than standard deviation because it only counts downside moves and weighs deeper, longer drawdowns more heavily. Invented by Peter Martin in 1987.
The average drawdown depth over the full period. While max drawdown captures the worst single event, Pain Index reflects the cumulative suffering — how much time the portfolio spent underwater and how deep those underwater periods were on average.
Maximum drawdown is the largest peak-to-trough percentage decline in a portfolio's value before a new peak is reached. It measures the worst-case loss an investor would have experienced during a specific period. For example, if a portfolio grows from $100,000 to $150,000 then falls to $90,000, the maximum drawdown is -40% (from the $150,000 peak to the $90,000 trough).
A 50% drawdown requires a 100% gain just to break even — you need to double your money. At a 10% annual return, that takes approximately 7.3 years. At 8% annually, roughly 9 years. This asymmetry is the core reason risk management matters: it is always harder to recover from losses than it is to incur them. The S&P 500's 2007-2009 drawdown of ~57% took until 2013 to fully recover.
The Calmar ratio divides annualized return by maximum drawdown to produce a single risk-adjusted performance score. A Calmar ratio above 3.0 is considered excellent (strong returns with limited drawdown), 1.0 to 3.0 is good, and below 1.0 suggests the returns may not justify the drawdown risk. Unlike the Sharpe ratio, which penalizes all volatility equally, the Calmar ratio specifically penalizes large peak-to-trough losses.
Foliolytic reconstructs your portfolio's daily value from your actual transaction history and real market prices for 1,400+ tickers. It tracks the running high-water mark, measures the percentage decline at every point, identifies all drawdown periods, and reports the maximum. The analysis includes drawdown depth, duration to trough, recovery time, and a full underwater chart showing every drawdown period with daily granularity.
Over the last 10 years (through July 18, 2026), the S&P 500's maximum drawdown was −33.7% — the COVID crash from February 19 to March 23, 2020, measured on total returns with dividends reinvested. Over the last 5 years it was −24.5%, from the January 2022 peak to the October 2022 trough. Going further back, the 2007–2009 financial crisis produced a drawdown of roughly 57% that took until 2013 to fully recover.
Yes. Upload any supported brokerage CSV and Foliolytic automatically generates an underwater chart visualizing every drawdown period across your portfolio's entire history. You can see the depth and duration of each decline, identify the worst drawdown with its exact dates, and compare drawdown patterns across different time periods. Free, no signup required.