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Drawdown Three Months Formula in Excel

Understanding Drawdown Three Months

The Drawdown Three Months formula in Excel (with MarketXLS) helps you calculate the peak-to-trough decline of a security’s price over a rolling three-month period. This metric is essential for investors seeking insights into downside risk and volatility. Key benefits include:

  • Identifying significant price dips within a short timeframe.
  • Monitoring potential risk for portfolio management.
  • Quickly comparing drawdowns across multiple symbols.

Syntax and Parameters

Below is the syntax for the DrawdownThreeMonths function:

=DrawdownThreeMonths(Symbol)
Parameter Description Required Example
Symbol The ticker or identifier of the asset (stock, index, option, or crypto) Yes "MSFT"

? Pro Tip: You can use various symbol formats, such as stock tickers (e.g., "MSFT"), indices (e.g., "^SPX"), options (e.g., "@MSFT 110122C00020000"), or crypto symbols (e.g., "BTCUSD:DEFAULT").

Return Value

  • Returns the maximum drawdown percentage (peak-to-trough) over the past three months.
  • The output is typically a negative value (e.g., -12.34), indicating the percentage drop from the highest closing price to the lowest point.

Error Handling

  • If the symbol is invalid or the MarketXLS license is not active, the function returns "NA".
  • If there is a data retrieval issue, the function also returns "NA".

Special Cases and Limitations

  • The start date is automatically set to 91 days prior to the current date, and the end date is set to the previous day.
  • The function relies on historical data availability; if no data is present, "NA" is returned.

?? Note: This formula calculates drawdowns using adjusted closing prices. Always review your data source and confirm its accuracy before making decisions.

Examples and Usage

Below are some common ways to use DrawdownThreeMonths in Excel:

  1. Regular stock ticker:
    =DrawdownThreeMonths("MSFT")
  2. Index symbol:
    =DrawdownThreeMonths("^SPX")
  3. Option symbol:
    =DrawdownThreeMonths("@MSFT 110122C00020000")
  4. Crypto symbol:
    =DrawdownThreeMonths("BTCUSD:DEFAULT")

? Pro Tip: Compare drawdowns across multiple symbols in separate cells to quickly gauge which assets have experienced the largest declines over the past three months.

Common Questions

  1. Why do I get “NA” as a result?

    • An invalid or unsupported symbol was entered.
    • There was no historical price data for the past three months.
    • Your MarketXLS license may not be active or valid.
  2. Should I use the three-month drawdown for long-term portfolios?

    • While it’s a helpful short-term metric, consider using longer periods to capture broader market movements.
  3. How can I analyze historical drawdowns beyond three months?

    • MarketXLS offers other formulas for custom date ranges or extended time frames, such as 30-day or 15-day returns.
  4. Is the calculation updated daily?

    • Yes. The function automatically references the latest available price data.
  5. Does this formula impact Excel performance?

    • The formula runs a web query in the background. If you are calling the function on many cells simultaneously, you may see some delay.

?? Note: Always ensure your Excel’s automatic calculation is enabled to see the most up-to-date drawdown figures.