MAXDD

Updated 2023-10-09 20:06:11.717000

Syntax

SELECT [westclintech].[wct].[MAXDD] (
  <@PDate, datetime,>
 ,<@PValue, float,>)

Description

Use MAXDD to calculate the maximum drawdown based on net asset or portfolio values. The inputs into the function are dates and values and the maximum drawdown is calculated as the largest percentage drop in the asset values from peak to trough in chronological order.

Arguments

@PDate

The date associated with @PValue. @PDate is an expression of type datetime or of a type that can be implicitly converted to datetime.

@PValue

the net asset or portfolio value. @PValue is an expression of type float or of a type that can be implicitly converted to float.

Return Type

float

Remarks

Returns are calculated by sorting @PValue in chronological order based on @PDate and calculating the largest percentage drop from peak to trough.

Examples

In this example we have portfolio values from 2011-12-31 to 2014-12-31 and we want to calculate the maximum drawdown.

SELECT wct.MAXDD(pdate, pvalue) as [Max Drawdown]

FROM

(

    VALUES

        ('2011-12-31', 109.39),

        ('2012-01-31', 102.46),

        ('2012-02-29', 102.98),

        ('2012-03-31', 102.38),

        ('2012-04-30', 113.23),

        ('2012-05-31', 93.06),

        ('2012-06-30', 90.13),

        ('2012-07-31', 79.55),

        ('2012-08-31', 108.59),

        ('2012-09-30', 108.39),

        ('2012-10-31', 103.31),

        ('2012-11-30', 101.83),

        ('2012-12-31', 131.3),

        ('2013-01-31', 127.31),

        ('2013-02-28', 92.56),

        ('2013-03-31', 65.05),

        ('2013-04-30', 108.19),

        ('2013-05-31', 95.3),

        ('2013-06-30', 76.85),

        ('2013-07-31', 84.59),

        ('2013-08-31', 82.59),

        ('2013-09-30', 107.36),

        ('2013-10-31', 101.79),

        ('2013-11-30', 143.82),

        ('2013-12-31', 124.53),

        ('2014-01-31', 109.66),

        ('2014-02-28', 95.17),

        ('2014-03-31', 108.4),

        ('2014-04-30', 104.61),

        ('2014-05-31', 84.24),

        ('2014-06-30', 86.99),

        ('2014-07-31', 92.34),

        ('2014-08-31', 99.92),

        ('2014-09-30', 128.53),

        ('2014-10-31', 108.63),

        ('2014-11-30', 101.59),

        ('2014-12-31', 82.25)

) n (pdate, pvalue);

This produces the following result.

{"columns":[{"field":"Max Drawdown","headerClass":"ag-right-aligned-header","cellClass":"ag-right-aligned-cell"}],"rows":[{"Max Drawdown":"-0.504569687738005"}]}

Here is a graphical representation of the solution:

As you can see from the graph, the largest percentage drop was from a peak of 131.30 on 2012-12-31 to a trough of 65.05 on 2013-03-31 (-50.5%). Even though there was higher peak of 143.82 on 2013-11-30, the trough of 82.25 on 2014-12-31 is a drawdown of only -42.8%.