This is the maximum loss (compounded, not annualized) that the manager ever incurred during any subperiod of the entire time period. Conceptually, the calculation looks at all subperiods of the time period in question and calculates the compound return of the manager over that period. The maximum drawdown is the minimum of zero and all these compound returns.
Related Statistics:
Pain Index
Pain Ratio
Drawdown
Downside Deviation
Downside Standard Deviation
