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Feature Overview: Historical Drawdown and Rally Scanner
Feature Overview: Historical Drawdown and Rally Scanner
Alex Pappas avatar
Written by Alex Pappas
Updated over a week ago

Rev. Date March 22, 2022

Historical periods where drawdowns and rallies occured where performance in excess of a minimum threshold was experienced.

What is the purpose of this feature?

The Historical Drawdown and Rally Scanner can help allocators understand the historical underperformance or outperformance of their managers or portfolios during periods that satisfy a minimum threshold.

  • Venn subscribers can specify a percentage threshold and Venn will scan for historical periods (if any) where the managers or portfolios would have experienced negative (drawdowns) or positive performance (rallies) in excess of the set threshold.

How are rally periods determined?

Rallies are defined as periods of positive performance beyond the stated threshold that are terminated when the investment or portfolio draws down 5% or more from the peak in that rally period. The performance shown for the rally is from start to peak. For illustrative purposes, say an investment has the following monthly prices: month 1 = 1.0, month 2 = 1.10, month 3 = 1.08, month 4 = 1.09, month 5 = 1.07, month 6 = 1.04. In this case, the rally would be from month 1 to month 2, and it was terminated when it hit 1.04 (or 5% below the peak in month 2 at 1.10).

This document highlights certain aspects of this feature. As an overview, it does not discuss all material facts or assumptions. Please see Important Disclosure and Disclaimer Information.

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