Returns the maximum drawdown (MDD) in the given time series data set.
Syntax
NxMDD(X)
 X
 is the portfolio simple rate of returns data series (a onedimensional array of cells (e.g., rows or columns)).
Status
The NxMDD function is available starting with NumXL version 1.68 CAMEL.
Remarks
 The drawdown is the measure of the cumulative decline of value from a peak point to the next low point.
 The MDD is a measure capturing the maximum movement (loss) from a high point to a low point of a portfolio before a new peak is achieved.
 If all values in the input data set (X) are nonnegative (i.e., the portfolio never lost a penny), then the maximum drawdown is zero (0).
 The MDD is an indicator of downside risk over a specified time period.
 The MDD is an indicator used to assess the relative riskiness of one investment fund or strategy versus another.
 By definition, all values in the input data set (i.e., X) must be greater than 1.0.
 The input data series may include missing values (e.g., #N/A, #VALUE!, #NUM!, empty cell) at either end.
 The MDD is computed as follows:
$$\textrm{MDD}= \max_{\forall p} \left (\frac{V_p  V_L}{V_p} \right )$$
$$\textrm{MDD}=1  \min_{\forall p} \left (\prod_{t_p}^{t_g}{(1+r_i)}\right )$$
Where:
 $V_p$ is a portfolio's inner peak value.
 $V_g$ is the succeeding low (trough) portfolio value before a new peak is attained.
 $t_p$ is an inner high data point (from its neighbors).
 $t_g$ is an inner low data point, after $t_p$ and immediately before the given portfolio attains a new high value.
 $r_i$ is the simple rate of return for the ith data point.
Examples
Example 1:


Formula  Description (Result) 

=NxMDD(\$B\$2:\$B\$14)  MDD (0.06162) 
Files Examples
Related Links
References
 Hamilton, J .D.; Time Series Analysis, Princeton University Press (1994), ISBN 0691042896
 Tsay, Ruey S.; Analysis of Financial Time Series John Wiley & SONS. (2005), ISBN 0471690740
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