Maximum Drawdown from Series
Computes the maximum drawdown of a series of values or prices: the largest percentage fall from a peak to the following trough across the whole history. It's the most intuitive measure of a strategy's risk — how much, at the worst moment, the investor would have seen their capital shrink from the top. Unlike the two-point version, this one scans the entire series and finds the worst stretch automatically. Enter the series of values separated by commas.
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Maximum Drawdown from Series
Computes the maximum drawdown of a series of values or prices: the largest percentage fall from a peak to the following trough across the whole history. It's the most intuitive measure of a strategy's risk — how much, at the worst moment, the investor would have seen their capital shrink from the top. Unlike the two-point version, this one scans the entire series and finds the worst stretch automatically. Enter the series of values separated by commas.
The worst fall the series has seen
Of all risk measures, the maximum drawdown speaks most to the investor's emotions. It answers a concrete question: what was the biggest fall, from top to bottom, this strategy ever put you through? It's the loss that would have tested your nerve had you bought at the worst possible moment, right at the peak before the largest decline.
This version works over the entire series, not over two cherry-picked points. It sweeps the history keeping the highest peak up to each instant and measures the fall against it, keeping the worst of all. Comparing the maximum drawdown of two strategies with the same return reveals which would demand more stomach to hold to the end.
Enter the series of values or prices separated by commas, in time order. The tool returns the maximum drawdown as a percentage. It's a historical measure, not a forecast: the worst future drawdown may well exceed what has already happened, so use the number as a floor for expectations, not a ceiling.
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Sharpe Ratio from Series
Computes the Sharpe ratio directly from a series of returns: the mean return minus the risk-free rate, divided by the sample standard deviation. It's the most practical way to get the Sharpe when you have the history at hand, without computing the mean and volatility separately. Remember the result comes in the frequency of the data entered — to annualize monthly returns, multiply by the square root of twelve. Enter the list of returns and the risk-free rate for the same period.
Volatility Drag (Variance Drag)
Computes volatility drag: the loss of the compound (geometric) return relative to the average (arithmetic) return, approximately volatility squared divided by two. It's the reason a portfolio that does +50% and then −50% doesn't return to the start: volatility erodes compound growth. The more volatile the asset, the larger the drag, even with the same average return. Enter the arithmetic mean return and the volatility.
Sterling Ratio
Computes the Sterling ratio, a drawdown-adjusted performance measure. It divides return by a measure of how much the portfolio typically falls from peak to trough, rewarding strategies that deliver return without big drops. The tool shows two versions: the modern one, using excess return over the risk-free rate divided by the average drawdown, and the original Deane Sterling Jones form, which adds a ten percent constant to the denominator. Enter the annualized return, the risk-free rate and the average annual maximum drawdown.
The results provided by this tool are for general informational and educational purposes only and do not constitute professional, financial, medical, legal, tax or accounting advice. Always confirm important decisions with a qualified professional and official sources.