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Help with Maximum Drawdown

  1. #1
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    06-19-2012
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    Excel 2010
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    Help with Maximum Drawdown

    Hi there, I would be grateful for some help with maximum drawdown, spreadsheet attached.

    Column A is a series of dates over the last three years
    Column B is the values at the end of each month
    Column C is the drawdown, (current value/max of all previous values)

    I can establish what the low point is, but I am having a problem with the formulae showing when the drawdown started. For example, the low point was on 31/1/11 (row 21), but started on 31/8/10 (row 16), however the formulae is show the starting point as 31/11/09 (row 7), help would be appreciated with the formulae in F3

    Thanks

    Nick
    Attached Files Attached Files

  2. #2
    Forum Guru shg's Avatar
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    06-20-2007
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    The Great State of Texas
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    2003, 2010
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    40,678

    Re: Help with Maximum Drawdown

    Does this give the result you're looking for?

    Please Login or Register  to view this content.
    There's a function that returns three values -- the peak and min on which the drawdown was based, and the drawdown.

    I'll post the function if those results are correct.
    Entia non sunt multiplicanda sine necessitate

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