Drawdown Report
A list of the worst losing period during an investment.
Can be calculated on a daily/monthly/quarterly basis. It’s possible to show total returns for each losing period.
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- 12 Months ROR
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- Alpha
- AUM Gains
- Average AuM
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- Calculate the non compounded Drawdown
- Calmar Ratio
- Correlation and Correlation Coefficient
- Correlation to negative months
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- Current Drawdown
- Difference between compounded and non compounded rate of return
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- Drawdown Report
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- Inception Date
- Information Ratio
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- Maximum Drawdown
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- Month To Date (MTD)
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- Monthly Drawdown
- Negative Months (%)
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- Number of Months Fund Outperforms
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- Omega Ratio
- Percent Outperformance
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- Since Inception to Last Quarter Return
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- Sterling Ratio
- Switch between compounded and noncompounded calculation
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- Value Added Monthly Index (VAMI)
- Value at Risk
- Which risk-free rate of return (RFR) do you apply for the calculations?
- Winning / Losing Months
- Winning 12M Rolling (%)
- Year To Date (YTD)
- Yearly Drawdown
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