There we had:īTC lowest value after peak value = 3178.62īecause the maximum drawdown of BTC is more significant (over four times), we can state that BTC involves much more risk than SPY. On the other hand, Bitcoin experienced its maximum drawdown during December 2017 and December 2018. Therefore, SPY maximum drawdown = -19.33% During that time, SPYD has lagged VYM on both a general and risk-adjusted basis. SPY lowest value after peak value = 222.83 Heres a performance backtest of SPYD and VYM going back to SPYDs inception in 2015 through 2021: Source:. SCHD and VYM are two of the largest, most well-known U.

You can verify both results in our maximum drawdown calculator.įor the SPY, we have the biggest drawdown to be around March 2020, when the OMS declared the COVID-19 a pandemic disease. be more volatile than Schwabs, SCHB has a higher maximum drawdown of -20. Maximum drawdown is considered to be an indicator of downside risk, with large MDDs suggesting that. The fund employs an indexing investment approach designed to track the performance of the Standard. Maximum drawdown (MDD) is a measure of an asset's largest price drop from a peak to a trough. Investment Strategy: The investment seeks to track the performance of the Standard & Poor‘s 500 Index that measures the investment return of large-capitalization stocks. Let's evaluate the maximum drawdown of the S&P500 index ETF, the SPY, and compare it to the most famous cryptocurrency, Bitcoin. Max Drawdown (Since Inception) 1.48 2.00 40.31B Upgrade: Basic Info. LP – Lowest value after peak value and.The maximum drawdown formula is quite simple: Similarly, QYLD doesnt get to fully participate in the upside. QQQ had a Calmar ratio (ratio of return to max drawdown) of over 3x that of QYLD as well.

We've discussed the definition of maximum drawdown, so it's high time we told you how it's actually computed. VYM Comparing Vanguard’s 2 Popular Dividend ETF’s The Best Vanguard Dividend Funds 4 Popular ETFs.

Maximum drawdown vym