TMX Group Ltd (X.TO)

44.48 0.00 (0.00%) CAD  |  TSX  |  Dec 27, 16:00
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TMX Group Max Drawdown (5Y): 28.93% for Nov. 30, 2024

Max Drawdown (5Y) Chart

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Sep '18
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Historical Data

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Max Drawdown Definition

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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.

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Max Drawdown (5Y) Range, Past 5 Years

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Max Drawdown (5Y) Benchmarks

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Ord Mountain Resources Corp --
Quinsam Capital Corp 95.36%
MedBright AI Investments Inc 98.52%
Polaris Northstar Capital Corp 99.98%
ThreeD Capital Inc 99.56%

Max Drawdown (5Y) Related Metrics

Alpha (5Y) 11.54
Beta (5Y) 0.4485
Annualized Standard Deviation of Monthly Returns (5Y Lookback) 17.50%
Historical Sharpe Ratio (5Y) 0.9103
Historical Sortino (5Y) 1.596
Monthly Value at Risk (VaR) 5% (5Y Lookback) 5.55%