---
title: "Average Drawdown"
method: POST
path: "/portfolios/analysis/drawdowns/average"
tags: ["Portfolio Analysis / Drawdowns"]
---

# Average Drawdown

`POST /portfolios/analysis/drawdowns/average`

Compute the average magnitude of all the drawdowns of a portfolio.

References
* [Alexei Chekhlov & Stanislav Uryasev & Michael Zabarankin, 2005. Drawdown Measure In Portfolio Optimization, International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 8(01), pages 13-58](https://www.worldscientific.com/doi/abs/10.1142/S0219024905002767)

## Request body

- object
  - `portfolios` object[], required
    - `portfolioReturns` number[] — portfolioReturns[t] is the arithmetic return of the portfolio at the time t; exclusive with portfolioValues
    - `portfolioValues` number[] — portfolioValues[t] is the value of the portfolio at the time t; exclusive with portfolioReturns

## Response `200`

OK

- object
  - `portfolios` object[], required
    - `portfolioAverageDrawdown` number, required — The average drawdown of the portfolio, in (portfolio value) percentage

---

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