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Maximum Drawdown

The largest peak-to-trough decline in portfolio value during a specific period, expressed as a percentage. It measures the worst-case loss scenario. For example, a 20% max drawdown means the portfolio fell 20% from its peak at its worst point.

Definition

The largest peak-to-trough decline in portfolio value during a specific period, expressed as a percentage. It measures the worst-case loss scenario. For example, a 20% max drawdown means the portfolio fell 20% from its peak at its worst point.

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