MAXDD

Calculate the maximum drawdown for time series returns.

Description

Calculate the maximum drawdown for one or more time series of asset (or portfolio) returns. Maximum drawdown is the measure of peak to through and is typically used as an indicator of downside risk for historical data.

Syntax

The following describes the function signature for use in Microsoft Excel's formula bar.

=MAXDD(returns, dataPeriodicity, isAppendIndex)

Input(s)

Argument	Description
returns	Required. Vector or matrix of time series returns.
dataPeriodicity	Optional. Periodicity of the data, used for annualization. If you do not enter the argument, it defaults to 1. e.g. Daily = 255, Monthly = 12, Yearly = 1, Quarterly = 4.
isAppendIndex	Optional. Logical (TRUE or FALSE), when set to TRUE, the function will append the start and end index positions of the respective max drawdown periods. If not specified, the function defaults this argument to FALSE.

Output(s)

The function returns a vector of maximum drawdown estimates, $mdd$

$\text{output}=\begin{bmatrix}mdd_1 & mdd_2 & \ldots & mdd_N\end{bmatrix}$

When isAppendIndex is set to TRUE, the function appends the start index, $p$ , and end index, $q$ , of the corresponding maximum drawdown periods.

$\text{output}=\begin{bmatrix}mdd_1 & mdd_2 & \ldots & mdd_N \\ p_1 & p_2 & \ldots & p_N \\ q_1 & q_2 & \ldots & q_N \end{bmatrix}$

Example

97KB

MAXDD.xlsx

Open

Example Workbook: MAXDD