---
title: "Worst Drawdowns"
method: POST
path: "/portfolios/analysis/drawdowns/worst"
tags: ["Portfolio Analysis / Drawdowns"]
---

# Worst Drawdowns

`POST /portfolios/analysis/drawdowns/worst`

Compute the magnitude of the worst drawdowns of a portfolio, as well as their start time, bottom time and end time.

References
* [Alexei Chekhlov & Stanislav Uryasev & Michael Zabarankin, 2005. Drawdown Measure In Portfolio Optimization, International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 8(01), pages 13-58](https://www.worldscientific.com/doi/abs/10.1142/S0219024905002767)

## Request body

- object
  - `portfolios` object[], required
    - `portfolioReturns` number[] — portfolioReturns[t] is the arithmetic return of the portfolio at the time t; exclusive with portfolioValues
    - `portfolioValues` number[] — portfolioValues[t] is the value of the portfolio at the time t; exclusive with portfolioReturns
    - `portfolioWorstDrawdowns` integer — The (maximum) number of worst drawdowns of a portfolio to compute

## Response `200`

OK

- object
  - `portfolios` object[], required
    - `portfolioWorstDrawdowns` object[], required
      - `drawdownDepth` number, required — drawdownDepth[i] is the magnitude of the i-th worst drawdown of the portfolio, in (portfolio value) percentage
      - `drawdownStart` integer, required — drawdownStart[i] is the index - in either portfolioReturns or portfolioValues - of the start of the i-th worst drawdown of the portfolio
      - `drawdownBottom` integer, required — drawdownBottom[i] is the index - in either portfolioReturns or portfolioValues - of the (current) bottom of the i-th worst drawdown of the portfolio
      - `drawdownEnd` integer, required — drawdownEnd[i] is the index - in either portfolioReturns or portfolioValues - of the end of the i-th worst drawdown of the portfolio; possibly equal to null in case the drawdown has not yet been confirmed to be ended

---

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