Below you'll find an ETF Drawdown Calculator. It will calculate the maximum drawdown and drawdown periods within a selected timeframe. Graph the output or display a drawdown period table. Contains data for thousands of ETFs, updated within the previous seven days.
Using the ETF Drawdown Calculator
To euse this tool to analyze past drawdowns in an ETF investment, follow these steps:
- Ticker: Enter the ticker for an ETF. The list of tickers will auto-filter and complete as you type.
- Log scale: If checked, the tool will graph the ETF price using a log scale.
- Starting Date: Enter the date you want to start analyzing drawdowns.
- Ending Date: Enter the date you want to end analyze drawdowns.
- Calculate: Click the Calculate button to view the maximum drawdown in that period along with a graph that includes all drawdowns from local closing maximums. The tool will draw a graph of the ETF's price in that time along with an overlaid area graph showing drawdowns from the previous peak.
- Show Drawdowns: Click the Show Drawdowns button to display a detailed table of all significant drawdown periods.
The table will include the ETF's peak and trough closing value and date, the percentage drawdown between the two, the duration of the drawdown period, and the volatility in that period. It only shows drawdowns of 30 or more days.
Understanding Drawdowns
Understanding drawdowns is crucial. They measure the drop from peak to bottom (alternatively, peak to trough) in the value of a portfolio, thus providing insights into the potential risk and volatility of ETF investments.
While historical performance is not a guarantee of future performance, it can be instructive. If an ETF has experienced significant declines in the past, this tool will show you visually how challenging those drawdown periods would have been.
Special Features
The ETF Drawdown Calculator offers a few unique features:
- Maximum Drawdown: Calculates the largest percentage drop in investment value over the specified period. You'll see this if you hit the Calculate button (which also shows the graph).
- Drawdown Periods: Identifies specific periods where significant drawdowns occurred (defined as 30 or more calendar days from a peak) and puts stats on them in a table, helping you understand the duration and severity of investment declines.
This is a feature of the Show Drawdowns button. - Volatility: Computes the annualized volatility during a drawdown based on daily log returns during the drawdown periods in the table.
- Interactive Graphs: Visualize drawdown dynamics with interactive charts that highlight drawdowns from the previous high at a date, along with the ETF's price through that period.
Methodology and Data Sources
The calculator uses historical price data for ETFs from Tiingo.
Any forward or reverse splits are accounted for in the ETF price. Dividend reinvestment is not included (use the ETF Total Return tool for dividend reinvestment). Next, try the ETF Daily Moving Average Calculator.
Disclaimer
While we strive to provide accurate and up-to-date information, the results from this calculator are for informational purposes only and should not be considered financial advice. Past performance is not a guarantee of future returns. Always conduct your own research and consult with a financial advisor before making investment decisions.
We hope this tool aids you in learning more about how an ETF investment may have performed in the past. For more financial tools, check out our Investing category page.
