Is max drawdown the worst single-day loss for a PMS scheme?

Usually it refers to the peak-to-trough decline over a period (often from a portfolio high-water mark to the subsequent low), not a single tick. Confirm whether your data source reports scheme-level or model-portfolio drawdowns and whether fees are included.

Why do two vendors report different max drawdown for the same scheme name?

Differences come from return series (gross vs net), corporate action handling, benchmark overlays, cash levels, and whether the series is live model vs actual client account composites. Always read the methodology footnote before comparing vendors.

What should I read next to max drawdown for a fuller risk picture?

Pair drawdown with time-to-recovery, drawdown frequency, volatility, and tail metrics like CVaR or worst-month clusters. Drawdown tells you depth; companion metrics describe how often you revisit stress and how long pain persists.

Max Drawdown

Name: Max Drawdown reference dataset
Creator: Know Your PMS

Published 2026-01-15. Last updated 2026-04-17. Editorial review: Know Your PMS editorial standards. By Abhimanyu Kucheria for Know Your PMS. Editorial team · Methodology.

What Max Drawdown measures

Max Drawdown is one of the metrics we use to evaluate aPMS scheme. It helps quantify a specific dimension of performance, risk, consistency, or implementation quality.

**Best for:**Understanding worst historical loss and suitability for your risk tolerance.

Why it matters for PMS scheme evaluation

Adds context beyond headline returns by highlighting one key dimension of scheme behavior.
Improves comparability across schemes when used within the same strategy and benchmark context.
Becomes most useful when combined with other metrics (especially drawdowns and risk-adjusted measures).

How to interpret Max Drawdown

Use the Max Drawdown Calculator tool

Compare PMS schemes using this and other metrics

**Compare like-for-like:**use peer schemes with similar strategy and benchmark.
**Check multiple horizons:**avoid a single time window (for example 1Y vs 3Y vs 5Y).
**Use a cluster:**pair withMax DrawdownandVolatilityto understand trade-offs.

Common pitfalls

Read our methodology for calculation assumptions and limitations.

Backward-looking; future drawdowns can exceed historical drawdowns.
Short track records can make this metric unstable; prefer longer histories where possible.
Calculation choices can shift values—compare schemes using consistent assumptions.

Related metrics

FAQs

Max Drawdown is a metric used to evaluate PMS scheme behavior. In simple terms, it helps quantify: largest peak-to-trough decline; the worst historical loss endured.

Not always. Higher values can come with trade-offs. Interpret Max Drawdown alongside drawdowns, volatility, and strategy context.

Compare within similar peer groups and across multiple horizons. Use Max Drawdown as part of a metric cluster, not a single-number decision.

What is Max Drawdown in a PMS scheme?

Max Drawdown is a metric used to evaluate PMS scheme behavior. In simple terms, it helps quantify: largest peak-to-trough decline; the worst historical loss endured.

Is a higher Max Drawdown always better?

Not always. Higher values can come with trade-offs. Interpret Max Drawdown alongside drawdowns, volatility, and strategy context.

How should I use Max Drawdown to compare schemes?

Compare within similar peer groups and across multiple horizons. Use Max Drawdown as part of a metric cluster, not a single-number decision.

Next:How to compare PMS schemes·How to evaluate a PMS scheme·All metrics

Frequently asked questions

Is max drawdown the worst single-day loss for a PMS scheme?: Usually it refers to the peak-to-trough decline over a period (often from a portfolio high-water mark to the subsequent low), not a single tick. Confirm whether your data source reports scheme-level or model-portfolio drawdowns and whether fees are included.
Why do two vendors report different max drawdown for the same scheme name?: Differences come from return series (gross vs net), corporate action handling, benchmark overlays, cash levels, and whether the series is live model vs actual client account composites. Always read the methodology footnote before comparing vendors.
What should I read next to max drawdown for a fuller risk picture?: Pair drawdown with time-to-recovery, drawdown frequency, volatility, and tail metrics like CVaR or worst-month clusters. Drawdown tells you depth; companion metrics describe how often you revisit stress and how long pain persists.