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The maximum observed peak-to-trough decline in a portfolio's equity curve.
The maximum observed peak-to-trough decline in a portfolio's equity curve.
Maximum Drawdown measures the largest percentage loss a strategy experienced from its historical high water mark to its subsequent trough before a new peak is achieved.
Critical metric for evaluating strategy downside risk and capital preservation.
Long drawdown duration can lead to investor redemptions and strategy termination.
Calmar Ratio uses MDD to measure return relative to maximum drawdown.