.. _sphx_glr_api_gallery_risk_drawdowns:

Drawdowns
---------

The worst fall from a peak, and return measured against it.


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  <div id='sg-tag-list' class='sphx-glr-tag-list'></div>


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    <div class="sphx-glr-thumbnails">

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    <div class="sphx-glr-thumbcontainer" tooltip="A drawdown is the fall from the highest wealth reached so far. Terry Young (1991) proposed judging managed-futures funds by their compound annual return divided by their maximum drawdown, the Calmar ratio, because investors leave a fund after a deep drawdown long before its volatility looks alarming. Two strategies with the same mean and volatility can have very different drawdowns if their bad days cluster.">

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  .. image:: /api/gallery/risk/drawdowns/images/thumb/sphx_glr_plot_01_calmar_drawdowns_thumb.png
    :alt:

  :doc:`/api/gallery/risk/drawdowns/plot_01_calmar_drawdowns`

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      <div class="sphx-glr-thumbnail-title">Young's Calmar ratio and drawdowns</div>
    </div>


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    </div>


.. toctree::
   :hidden:

   /api/gallery/risk/drawdowns/plot_01_calmar_drawdowns