Take the DJCS MF index as an exampleвЂ¦ the вЂ“17.74% Max DD had a peak in 03/95, valley in 11/95, and new peak in 02/97 вЂ“ for a drawdown duration of 22 months. So it could be the time when the program also had its biggest peak to valley loss (and usually is, because the program needs a long time to recover from the largest loss), but it doesnвЂ™t have to be. The Max DD duration is the longest time between peaks, period. Which brings us to a nuanced point about the max DD durationвЂ¦ many assume that it is the length of time between new highs during which the Max DD (magnitude) occurred. Source: Dow Jones Credit Suisse Managed Futures Index Here is a graphical example, using the Dow Jones Credit Suisse Managed Futures Index. The Max Drawdown Duration is the worst (the maximum/longest) amount of time an investment has seen between peaks (equity highs).The Drawdown Duration is the length of any peak to peak period, or the time between new equity highs.This is pretty much self explanatory, as the Max DD is the worst (the maximum) peak to valley loss since the investmentвЂ™s inception.

Next up, the Maximum Drawdown, more commonly referred to as Max DD.Putting is plainly, a drawdown is the вЂњpainвЂќ period experienced by an investor between a peak (new highs) and subsequent valley (a low point before moving higher).So, what are the two drawdown definitions: Managed Futures data from Newedge, Barclayhedge CTA Index, and Dow Jones Credit Suisse Д«onds data from Fidelity Investment Grade BondД«ut that got us thinkingвЂ¦ even though the finance world commonly tosses around the word drawdown, does everyone know the difference between the Drawdown figures commonly tossed around (-25%, -12%, etc) and the Drawdown Duration вЂ“ which is measured in months, not percentages? And even then, are they using the Max Drawdown Duration in the right context? Turns out вЂ“ the drawdowns experienced by investors have two separate measurements, the magnitude (how much) and the duration (how long), and that when talking Max Drawdowns and Drawdown Durations вЂ“ while they can occur during the same time, theyвЂ™re not always the same. S&P 500 (post depr.) data from Yahoo Finance Source: Gold data from В S&P Depression data from MorningStar (Disclaimer: Past performance is not necessarily indicative of future results) It puts into perspective just how long investors have had to wait in the past until their investments in various asset classes went on to make new highs. We have a nice graph here showing the longest periods between new highs for five different asset classes.

Drawdown definition water