Fund Maximum Drawdown

alexcn

Board Regular
Joined
Apr 8, 2003
Messages
64
Greetings,

Given an array of a fund value over time, I would like to come up with an array formula (and if my memory serves me correctly - it is definately possible using ROW() and OFFSET() combinations - maybe with SUBTOTAL and SUMPRODUCT) for calculating the maximum draw down of the fund.

Any ideas? Thanks people,

Alex
 

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Domenic

MrExcel MVP
Joined
Mar 10, 2004
Messages
19,175
Can you provide an small sample of the data, along with an example?
 

alexcn

Board Regular
Joined
Apr 8, 2003
Messages
64
Domenic,
Thanks for the reply, maximum drawdown can be defined as "A measure of the riskiness of a mechanical investment system/model. Drawdown is simply the percentage drop from any peak in portfolio value to any valley (bottom). The maximum drawdown of a mechanical investment strategy is the largest percentage loss experienced by the strategy over a specified period of time. It is expressed as a percentage (such as 9%) and can be directly compared by an investor with their percentage risk tolerance. It can also be used to compare the inherent riskiness of different mechanical strategies"
There are other discussions on this board for the concept, I am just trying to find a "one cell" formula that could work instead of having feeder cells or columns.
Regards,
Alex
 

Richard Schollar

MrExcel MVP
Joined
Apr 19, 2005
Messages
23,707
Hi Alex

I think Domenic meant can you provide some sample data so he can see how it is laid out (eg use Excel Jeanie to post a sample of the data table you currently have). Then state what value you expect from the formula given the sample data and, if necessary, state how you arrived at this result.
 

Domenic

MrExcel MVP
Joined
Mar 10, 2004
Messages
19,175
Hi Alex

I think Domenic meant can you provide some sample data so he can see how it is laid out (eg use Excel Jeanie to post a sample of the data table you currently have). Then state what value you expect from the formula given the sample data and, if necessary, state how you arrived at this result.
Yes, thanks Richard! ;)
 

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