FactSet Research Systems Inc (FDS)
485.77
+11.33
(+2.39%)
USD |
NYSE |
Nov 21, 16:00
485.71
-0.06
(-0.01%)
After-Hours: 20:00
FactSet Research Systems Max Drawdown (5Y): 33.56% for Oct. 31, 2024
Max Drawdown (5Y) Chart
Historical Max Drawdown (5Y) Data
Date | Value |
---|---|
October 31, 2024 | 33.56% |
September 30, 2024 | 33.56% |
August 31, 2024 | 33.56% |
July 31, 2024 | 33.56% |
June 30, 2024 | 33.56% |
May 31, 2024 | 33.56% |
April 30, 2024 | 33.56% |
March 31, 2024 | 33.56% |
February 29, 2024 | 33.56% |
January 31, 2024 | 33.56% |
December 31, 2023 | 33.56% |
November 30, 2023 | 33.56% |
October 31, 2023 | 33.56% |
September 30, 2023 | 33.56% |
August 31, 2023 | 33.56% |
July 31, 2023 | 33.56% |
June 30, 2023 | 33.56% |
May 31, 2023 | 33.56% |
April 30, 2023 | 33.56% |
March 31, 2023 | 33.56% |
February 28, 2023 | 33.56% |
January 31, 2023 | 33.56% |
December 31, 2022 | 33.56% |
November 30, 2022 | 33.56% |
October 31, 2022 | 33.56% |
Date | Value |
---|---|
September 30, 2022 | 33.56% |
August 31, 2022 | 33.56% |
July 31, 2022 | 33.56% |
June 30, 2022 | 33.56% |
May 31, 2022 | 33.56% |
April 30, 2022 | 33.56% |
March 31, 2022 | 33.56% |
February 28, 2022 | 33.56% |
January 31, 2022 | 33.56% |
December 31, 2021 | 33.56% |
November 30, 2021 | 33.56% |
October 31, 2021 | 33.56% |
September 30, 2021 | 33.56% |
August 31, 2021 | 33.56% |
July 31, 2021 | 33.56% |
June 30, 2021 | 33.56% |
May 31, 2021 | 33.56% |
April 30, 2021 | 33.56% |
March 31, 2021 | 33.56% |
February 28, 2021 | 33.56% |
January 31, 2021 | 33.56% |
December 31, 2020 | 33.56% |
November 30, 2020 | 33.56% |
October 31, 2020 | 33.56% |
September 30, 2020 | 33.56% |
Max Drawdown Definition
Max drawdown is an indicator of the risk of a portfolio chosen based on a certain strategy. It measures the largest single drop from peak to bottom in the value of a portfolio before a new peak is achieved.
Max Drawdown (5Y) Range, Past 5 Years
22.30%
Minimum
Nov 2019
33.56%
Maximum
Mar 2020
32.81%
Average
33.56%
Median
Mar 2020
Max Drawdown (5Y) Benchmarks
Morningstar Inc | 49.91% |
MSCI Inc | 43.74% |
CME Group Inc | 37.34% |
Nasdaq Inc | 38.28% |
Value Line Inc | 67.14% |
Max Drawdown (5Y) Related Metrics
Alpha (5Y) | 1.315 |
Beta (5Y) | 0.7530 |
Annualized Standard Deviation of Monthly Returns (5Y Lookback) | 23.86% |
Historical Sharpe Ratio (5Y) | 0.4624 |
Historical Sortino (5Y) | 0.6915 |
Monthly Value at Risk (VaR) 5% (5Y Lookback) | 9.93% |