Fund Maximum Drawdown

[alexcn]

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

 

[Domenic]

Can you provide an small sample of the data, along with an example?

 

[alexcn]

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]

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]

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!

 

[alexcn]

http://www.mrexcel.com/forum/showthread.php?t=285148&highlight=drawdown

this explains what I want to do - but I would like a formula in one cell (if possible of course)