Finance & Money · 最大回撤（Max Drawdown） · Updated 2026-10-25
What Is Maximum Drawdown?
Definition
Max drawdown = (peak value − trough value) ÷ peak, capturing the deepest paper loss a holder must stomach. The recovery math is asymmetric: after −20% you need +25%, after −50% you need +100%, after −90% you need +900% — required gains rise exponentially with depth. This is the point of allocation: a 50/50 stock-bond portfolio typically draws down half as much as pure equities while giving up limited long-run return.
Formula
Drawdown = (peak − trough)/peak; recovery gain = 1/(1 − drawdown) − 1
Worked Example
A fund falling from 2.0 to 1.2 (40% drawdown) needs +1/0.6−1 ≈ 66.7% to recover; at 8% annualized that takes 6.5 years — the true cost of "holding through."
Common Misconception
Comparing returns while ignoring drawdowns — Fund A at 15%/30% DD versus Fund B at 12%/10% DD: most holders stay the course better with B. And "I haven't sold, so I haven't lost" ignores that recovery time is a real opportunity cost.
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