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Maximum Drawdown

02 Aug 2007 (Updated 02 Aug 2007)

Maximum relative drawdown of time-series data

File Information
Description	This function returns the maximum relative drawdown of time-series data, as well as the start and end indices of the period when this drawdown was experienced.
Acknowledgements	The author wishes to acknowledge the following in the creation of this submission: Maximum Drawdown
MATLAB release	MATLAB 7.4 (R2007a)

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Everyone's Tags	analysis, finance, maximum drawdown, modeling, risk management
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Comments and Ratings (4)
16 Aug 2007	Andreas Steiner	The input for your function is a vector of cummulative returns, not a period return vector. You should point that out in your description of the arguments. Personally, I prefer my version because it allos not only computation of maximum drawdown, but computation of the full drawdown vector to for example plot time-under-water charts and calculation of the average of the n-th largest drawdowns (needed in the calc of certain risk-adjusted performance measures).
08 Nov 2008	Alexc Adad	I have been trying to figure out the what the difference between your version and the one provided by Mathworks? Could you please help me?
10 Nov 2008	Andreas Bonelli	Alexc, I don't have the Financial Toolbox, so I can't help you wih MATLAB's maxdrawdown routine. My Version simply computes the maximum relative drawdown of a given time series.
30 Jun 2009	Paul Acquatella	I think this version is more practical and quite better than Steiner's. Also, is faster since it does not computes the whole drawdown vector (which I don't need in particular) and its more understandable. Advantage vs. MATLAB's routine: data can be <= 0, and still computes (i.e. MaxDD = 120%, for instance).

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Tag Activity for this File
Tag	Applied By	Date/Time
finance	Andreas Bonelli	22 Oct 2008 09:21:42
modeling	Andreas Bonelli	22 Oct 2008 09:21:42
analysis	Andreas Bonelli	22 Oct 2008 09:21:43
maximum drawdown	Andreas Bonelli	22 Oct 2008 09:21:43
risk management	Andreas Bonelli	22 Oct 2008 09:21:43

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