Rolling Drawdowns

Published 2026-03-29. Last updated 2026-04-17. Editorial review: Know Your PMS editorial standards. By Abhimanyu Kucheria for Know Your PMS.

Topic cluster: Risk & Return Metrics

Headline CAGR hides the journey. This cluster explains drawdowns, volatility, rolling returns, capture ratios, and risk-adjusted measures — with Indian PMS factsheet context.

Pillar guide: Max Drawdown Explained

More in this cluster:

• Max Drawdown Explained
• Volatility Explained
• Rolling Returns Guide
• Calmar Ratio Guide
• Information Ratio Guide

What it means (plain English)

A rolling drawdown series plots how far below the running peak the portfolio sits each month. Unlike static max drawdown, rolling view shows duration, frequency, and whether you're still underwater.

Indian PMS investors use rolling drawdowns to spot clustering—months stuck at -15% to -25%—and recovery slopes. A manager at -5% rolling drawdown for two years feels different from quick dips.

Build from monthly NAV: compute cumulative peak, subtract current, divide by peak. Visualize alongside Nifty rolling drawdown for relative pain.

Factsheets rarely chart rolling drawdown—derive from performance data on Know Your PMS or manager exports.

Worked example (Indian PMS scenario)

Plot 12-month rolling max drawdown monthly since 2019. PMS shows spikes: −8%, −14%, −22%, −11% in overlapping windows—never the full −22% on trailing 3-year max DD headline if recovery was fast within each 12-month window.

Investor experience: in 8 of 24 months, your account was more than −10% off its rolling peak even when calendar year looked fine. On ₹1 crore, −10% rolling DD is ₹10 lakh—emotionally salient when paying ₹1.5 lakh fixed fee simultaneously.

Rolling drawdowns expose clustering better than single max DD stat. Prefer managers whose 12-month rolling DD spends 80% of time shallower than −10% if you're liability-sensitive.

Why it matters for PMS scheme selection

Rolling drawdowns show the journey of pain—static max DD shows only the deepest hole.

See the complete PMS evaluation framework

• Reveals time spent below peak
• Highlights drawdown clustering episodes
• Shows current distance from high-water mark
• Compares manager vs benchmark path
• Supports fee HWM intuition visually

How to interpret it (practical checklist)

1. Plot 36–60 month rolling drawdown series
2. Overlay benchmark rolling drawdown
3. Mark months still below prior peak
4. Count episodes deeper than -15%
5. Note recovery slope after troughs
6. Compare to stated risk philosophy
7. Archive chart at each quarterly review

Explore related metrics · Compare PMS schemes · Rolling Drawdowns

Common pitfalls (how this gets misused)

Read our methodology for assumptions and limitations.

• Using only static max drawdown snapshot
• Short windows missing full cycles
• Ignoring current underwater status
• Weekly noise without monthly smoothing
• No benchmark overlay
• Assuming past drawdown path repeats exactly

Related metrics to review together

Use this guide alongside these metrics to avoid one-number decision-making:

Browse all metrics

• Rolling Drawdowns
• Max Drawdown
• Ulcer Index
• Drawdown Frequency

Related guides

• Rolling Returns Guide
• PMS Sharpe Vs Sortino
• Max Drawdown Explained
• Volatility Explained
• Alpha Beta Explained

See also

• Drawdown clustering
• Max drawdown explained
• Ulcer index guide
• Drawdown recovery time

FAQs

How is rolling drawdown different from max drawdown?

Max drawdown is single worst peak-to-trough over period. Rolling drawdown is monthly series of distance below running peak—shows path and persistence.

Can I get rolling drawdown from factsheets?

Usually compute from monthly NAV history. Some institutional reports include charts—request if evaluating large ticket.

What rolling depth is alarming?

Depends on mandate. Persistent -25% rolling for 18+ months in large-cap PMS warrants deep review; same in small-cap may be cycle-normal—context matters.

Next: How to compare PMS schemes · Compare schemes · All guides