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HISTORICAL DRAWDOWN RESEARCH

MDD Calculator — Stock & ETF Drawdown and Recovery

Analyze historical drawdowns, decline durations and recovery times for stocks and ETFs.

Analysis conditions

Price basis: split-adjusted close, excluding dividends. Total-return analysis is currently unavailable.

Peak-value scenario

Scenario currency is independent of language and asset currency. No FX conversion is applied.

No analysis results yet.

Choose an asset and period to review drawdowns, recovery and historical episodes.

Reading the Analysis

What is MDD?

MDD is the largest decline from a preceding running peak to a later trough. Daily closes exclude intraday declines.

Formula and example

DD = (price / running peak − 1) × 100. In the hypothetical series [100, 120, 90, 110, 125], MDD is −25%. Price falls from 120 to 90, then recovers at 125.

Returns, volatility and drawdown

Period return compares the first and last prices. Volatility measures both upward and downward variation. MDD measures the path-dependent loss after a peak. These metrics are not interchangeable.

Depth and duration

A deep decline can recover quickly, while a shallow decline can persist. Ulcer Index is the root mean square of all daily DD percentages, including zero days. Larger values indicate greater observed drawdown burden.

Dividends and leveraged ETFs

Split adjustment removes mechanical split effects. Price-only analysis does not add distributions to returns. Dividend reinvestment can change results. Leveraged ETF MDD is not a simple multiple of underlying MDD because of daily targets and compounding paths.

Limits of historical analysis

Changing the period resets peaks and episodes. Delistings, ticker changes and historical data corrections affect available coverage. Unrecovered means unrecovered at the analysis end, without an estimated future recovery date. MDD alone does not establish safety or rank assets.

Frequently asked questions

Is observation share a future loss probability?

No. It is the fraction of observed days spent at that drawdown state in the selected period.

Does a rebound create another episode?

No. A new episode starts only after recovery to the preceding peak and another decline. Equal peaks use the latest date; equal troughs use the first date.

How do trading and calendar days differ?

Trading duration is the difference between observation indices. Threshold runs count qualifying observations. Calendar duration is the date difference and includes weekends and holidays.