A statistical performance evaluation method for any fund, trading program, or investment strategy. All investments and asset holdings go through relative valuation highs and lows over different time periods. When evaluating an asset holding, the last peak valuation is marked. Then, the last valuation low immediately after that high is noted. These peaks and valleys are used to gauge how long it will take for the asset to return to its recent high.
Related information about peak-to-valley drawdown:
- Peak-To-Valley Drawdown Definition | Investopedia
A fund or money manager's largest cumulative percentage decline in net asset value. It is defined as the percentage decline from the fund's highest net asset ...
- What is peak-to-valley drawdown? definition and meaning
Definition of peak-to-valley drawdown: A statistical performance evaluation method for any fund, trading program, or investment strategy. All investments and ...
- Peak-To-Valley Drawdown: Definition from Answers.com
Peak-To-Valley Drawdown A fund or money manager's largest cumulative percentage decline in net asset value.
- Introduction
Once the periods are established, you must figure out which period has the worst peak to valley drawdown. Please note that it is possible to have an ongoing ...
- Pros and cons of “drawdown” as a statistical meadure ... - TurtleTrader
capsule performance record their “worst peak-to-valley drawdown”1. As a description of an aspect of historical performance, drawdown has one key positive ...
- Autumn Gold Alternative Investment Website
Maximum Drawdown (Peak to Valley Drawdown) reflects the greatest to date loss of a Commodity Trading Advisor. Maximum Drawdown can be defined as the ...
- So you want to be a money manager? - PeterLBrandt | PeterLBrandt
May 4, 2011 ... To determine your own Calmar, divide your compounded average annual rate of return by your worst month-ending peak to valley drawdown.
- How to reduce Peak-to-Valley Drawdown without cannibalizing ...
Fund Investment and Asset Allocation based on Risk Mitigation Strategies: Value -at-Risk approach is more effective than Volatility Diversification.