Definition
A drawdown is the percentage or monetary decline from a portfolio or strategy’s previous peak to a later lower value before recovery.
In market context
Maximum drawdown is the largest observed peak-to-trough decline within the measurement period, while a current drawdown measures the still-unrecovered fall from the latest high. The statistic captures loss depth but not how quickly it occurred, how long recovery took, or whether hidden risks remain. Historical drawdown can guide risk limits, yet future losses can exceed anything in the sample or regime.
Risk context
A strategy with a small historical drawdown may still carry severe tail, leverage, liquidity, or model risk.
Source
Use the primary source for fuller regulatory or market context.
