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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- Active Premium
- Alpha
- AUM Gains
- Average AuM
- Average Losing Month/Quarter
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- Average Positive Month/Quarter
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- Calculate net returns / Include fees into results
- 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
- Downside Correlation
- Downside Deviation (Semi Deviation)
- Drawdown Report
- Excess Returns
- Export statistics to Excel
- Fundamental Statistics
- Gain Standard Deviation
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- Highest/Lowest Annual Return
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- Inception Date
- Information Ratio
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- Last 3/6/12/36/ Month Return
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- Loss Standard Deviation
- Max AuM
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- Maximum Drawdown
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- Month To Date (MTD)
- Monthly / Annualized Rate of Return (RoR)
- Monthly Drawdown
- Negative Months (%)
- Negative Year / Worst Negative Year
- Number of Months Fund Outperforms
- Number of Years
- Omega Ratio
- Percent Outperformance
- Positive months (%)
- Price/Book Ratio
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- Quarter To Date (QTD)
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- Since Inception to Last Quarter Return
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- Sortino Ratio
- Standard Deviation (Volatility)
- STARR Performance
- Sterling Ratio
- Switch between compounded and noncompounded calculation
- Time Window Analysis
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- Tracking Error (Active Risk)
- Treynor Ratio
- Upside/Downside Capture
- 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
- Yearly Returns
- Yield to Maturity (YTM)