Typical bad stretch
How bad the bad periods are on average, rather than at their single worst.
In the demo portfolio
-30.5%
How it is computed here
Every session's distance below its previous high is recorded, and the worst 5% of those readings are averaged — so it measures the depth of the bad stretches rather than the single worst moment.
Worked example
- All the separate falls from a high are listed, and the worst 5% of them are averaged.
- Unlike the maximum drawdown, one freak day cannot decide it on its own.
Demo portfolio: four invented companies, generated prices, measured by the real engine. Past returns do not predict future ones.
Where it misleads
It is to maximum drawdown what CVaR is to VaR, and it is much harder to tell reassuringly — which is the point of showing it.