Reply To: Portfolio Builder – Old

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Reply To: Portfolio Builder – Old 2017-09-30T15:55:13+00:00
Alexander Horn
Keymaster
Post count: 374

Hello Sunil,

Thanks for the feedback, appreciated as always!

Had a look into this in depth, and the data is right as shown. Monthly Return versus DrawDown sometimes is not very intuitive though, it depends on when the HighestHigh (Peak) and the Low (valley/through) has occurred, and also whether the data is on daily, weekly or even monthly frequency.

Below a chart and attached an Excel table, will also write a short post as I guess many people have the same question:

Here comes the science:
In the case of the Excel tool where you can see the data, the peak in the equity line of 202 was reached 9/22, so the drawdown vs the Low on 10/27 indeed is 6.9%. At the same time, the monthly return between 9/30 (196.7) and 10/31 (194) was -1.3%. So the drawdown started before October, and partly recovered before end of October, it was not fully realized in October

Now, in the Online version I only use weekly data to keep the tool fast enough, second graph:
There the peak in the equity line of 199 was reached 10/3, so the drawdown vs the Low on 10/24 is 4.2%. The monthly return between 9/26 (195) and 10/31 (194) was -0.5%, what I show in the Online tool. So the drawdown started in October (the peak of 202 during the week of 9/22 is ignored), and partly recovered before end of October, also here, it was not fully realized in October

Hope this explains,
All the best,
Alex

Return and DrawDown