What is maximum drawdown (MDD)?

Maximum drawdown (MDD) is the largest peak-to-trough decline in the value of a portfolio or asset over a specified period. It measures the worst-case cumulative loss from the highest point to the lowest point before a new peak is reached. For example, if a portfolio grew from $100,000 to $150,000 then fell to $105,000 before recovering, the maximum drawdown is ($150,000 - $105,000) / $150,000 = 30%. MDD is expressed as a percentage and is always negative or zero.

How much gain is needed to recover from a drawdown?

Recovery gain = Drawdown % / (1 - Drawdown %), expressed as a positive percentage. This illustrates the mathematical asymmetry of losses: a 10% loss requires an 11.1% gain to recover; a 25% loss requires 33.3%; a 50% loss requires 100%; a 75% loss requires 300%. The required recovery gain always exceeds the original loss by an increasing margin as losses grow larger. This asymmetry is why managing maximum drawdown is critical to long-term investment performance.

What is the Calmar ratio?

The Calmar ratio equals Annual Return divided by Maximum Drawdown. It measures return relative to the worst-case loss experienced, making it particularly relevant for trend-following strategies, hedge funds, and investors for whom drawdown severity is the primary risk concern. A Calmar ratio above 1.0 means the annual return exceeds the maximum drawdown — generally considered strong. Most diversified equity strategies have Calmar ratios between 0.2 and 0.8.

What is the Ulcer Index?

The Ulcer Index is the root mean square (RMS) of all drawdown levels over a period, including periods when the portfolio is at zero drawdown. It measures both the depth and duration of drawdowns — a portfolio that stays in a deep drawdown for a long time has a higher Ulcer Index than one that recovers quickly. The Martin ratio (Ulcer Performance Index) is excess return divided by the Ulcer Index, providing a drawdown-sensitive alternative to the Sharpe ratio.

What is a good maximum drawdown?

Maximum drawdown benchmarks by asset class: below 5% is Minor (bond-like stability); 5-15% is Moderate (conservative balanced portfolios); 15-25% is Significant (diversified equity portfolios); 25-40% is Severe (concentrated equity or bear markets — the S&P 500 had a 34% drawdown in the 2020 COVID crash); above 40% is Extreme (the S&P 500 had a 57% drawdown in 2008-09, the Nasdaq lost 78% in 2000-02). What is acceptable depends on the investor's time horizon, risk tolerance, and whether leverage is used.

Is this maximum drawdown calculator free?

Yes. The Maximum Drawdown Calculator Pro on StockToolHub is completely free with no registration, account, or subscription required. All five tabs — MDD Calculator, Drawdown Analysis, Recovery Calculator, Risk Metrics, and Compare — are fully accessible.

Maximum Drawdown Calculator Pro — MDD, Drawdown Analysis, Recovery, Risk Metrics & Compare

Input Method

Prices (comma-separated)

Enter historical price series — NAV, index values, or stock prices.

Portfolio Value optional

Shows drawdown in dollar terms

Maximum Drawdown (MDD)

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Enter a price or return series to calculate

MDD in Dollars

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Peak Value (Date)

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Trough Value (Date)

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Recovery Gain Needed

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Drawdown Duration

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Current Drawdown

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Equity Curve & Underwater Chart

Series Input

Price or Return Series (comma-separated)

Enter prices (values ≥ 1 are treated as prices) or percentage returns.

Min Drawdown Threshold

Only show drawdowns larger than this threshold

Total Drawdown Periods Found

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Enter a series to analyze all drawdown periods

Max Drawdown

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Avg Drawdown

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Avg Duration

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% Time in Drawdown

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All Drawdown Periods (ranked by depth)

#	Peak (Period)	Trough (Period)	Drawdown (%)	Duration (periods)	Recovery	Severity

Drawdown Depth by Period

Drawdown Level

Drawdown Amount

Enter as positive number (e.g. 30 for −30% drawdown)

Portfolio Value at Peak optional

Recovery Rate

Expected Annual Return

%/yr

Expected future annual return of the strategy

Multiple Scenarios

Compare Recovery at Different Return Rates

5% / yr

8% / yr

10% / yr

15% / yr

20% / yr

Required Recovery Gain

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Enter drawdown % to see how much gain is needed to recover

Drawdown Amount

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Portfolio Loss ($)

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Remaining Value

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Years to Recover

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Recovery Date (est.)

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Asymmetry Factor

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Recovery Time at Different Annual Return Rates

Annual Return	Years to Recover	Recovery Date	Required Gain	Difficulty

Recovery Path — Portfolio Value Over Time

Strategy	Max DD (%)	Avg DD (%)	Ann. Return (%)	Calmar	Recovery Gain	DD Severity	Recovery

Lowest Max Drawdown

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Strategies

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Best Calmar

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Avg Max DD

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Worst Max DD

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Max Drawdown & Calmar Ratio by Strategy

What each tab calculates

MDD Calculator

Calculates maximum drawdown from a price series or return series, identifying the peak, trough, drawdown depth, drawdown duration, required recovery gain, and current drawdown. Shows a dual-panel chart with equity curve above and underwater chart below, color-coded by drawdown severity.

DD Analysis

Identifies and ranks every drawdown period in the series above a minimum threshold. Shows peak and trough period, depth, duration, recovery status, and severity badge for each period. Summary includes average drawdown, average duration, and percentage of time spent in drawdown.

Recovery Calculator

Computes the exact gain required to recover from any drawdown level, demonstrating the mathematical asymmetry of losses. Projects recovery timeline at a user-defined annual return rate and five benchmark rates (5%, 8%, 10%, 15%, 20%) in a scenario table with a recovery path chart.

Risk Metrics

Calculates the full suite of drawdown-based risk metrics from a return series: Calmar ratio (annual return / max drawdown), Ulcer Index (RMS of drawdowns), Pain Index (average drawdown depth), Martin ratio, Pain ratio, drawdown volatility, and percentage of time at new equity highs. Radar chart visualization.

Compare

Side-by-side comparison of drawdown risk across up to 8 strategies using max drawdown, average drawdown, annual return, Calmar ratio and recovery gain. Identifies the lowest-drawdown and best-Calmar strategy. Grouped dual-axis bar chart of max drawdown and Calmar ratio.