Reading the Drawdown Dynamics Report

PortBlend Docs Last updated 30 Jun 2026

The Drawdown Dynamics report provides a detailed historical risk profile for a single NAV series. Once you select a series and click Run, the Config panel collapses and the report displays your results across five distinct sections.

Use this reference guide to understand what each statistic, chart, and table column means, and how to interact with them to explore your data.

1. Stats Summary

The Stats Summary is a compact horizontal table displaying six key historical performance and risk metrics for the analysed period.

Column	Description
Total Return (%)	The raw compounded growth of the series from the first date to the last date of the selected range.
CAGR (%)	The Compound Annual Growth Rate. This annualises the total return, showing the steady yearly growth rate required to achieve the same final value. If a series is shorter than one day, or if the total loss exceeds 100%, this falls back to the Total Return.
Max Drawdown (%)	The deepest peak-to-trough decline recorded in the series, displayed in red. This represents the worst-case loss an investor would have experienced if they bought at the absolute peak and held through the trough.
Avg Drawdown (%)	The average drawdown depth across all detected drawdown episodes. Unlike the maximum drawdown (which is a single worst-case point), this shows the typical size of declines you can expect holding this series. Shown in red.
Max DD Duration (Days)	The total number of calendar days spent in the longest drawdown episode, measured from the initial peak to the point of full recovery back to a new high.
Total Episodes	The total number of distinct drawdown episodes detected across the entire analysed history.

2. NAV + Drawdown Timeline

The NAV + Drawdown Timeline is a dual-line chart sharing a single time axis. It visually connects your portfolio’s value growth with the corresponding declines.

NAV (Blue line): Displays the value of your series over time. PortBlend maintains your uploaded base value (e.g., base 100, 1,000, or raw currency value) as-is.
Drawdown (%) (Red area/line): Displays the percentage distance the NAV has fallen from its previous historical peak. A flat line at 0% indicates the portfolio is at an all-time high.

Interactive Controls

Show episode lines >=: Located directly above the chart, this input lets you specify a minimum drawdown depth (as a percentage). Vertical dotted lines will appear on the chart to mark the start and end of every episode that meets or exceeds this threshold.
Drag-Select Date Filtering: You can zoom into any period by clicking and dragging your cursor across a range of dates on the chart. A pending selection overlay will appear:
- Click the Green tick to apply the filter. The Config panel will collapse, the Date chip will display your selection, and the entire report will recompute server-side for that range.
- Click the Red X to cancel the selection and return to the current view.
- Hovering over either control shows the exact start and end dates of your selection.

3. Yearly Drawdown Overview

The Yearly Drawdown Overview is a bar chart highlighting the worst decline experienced in each calendar year.

Y-Axis: Represents the drawdown depth (as a negative percentage).
X-Axis: Represents calendar years.
Year Filtering: You can click or drag-select any bar in this chart to apply a date filter for that specific year (automatically mapping from 1 January to 31 December of that year). This triggers the standard confirm/cancel overlay.

4. Monthly & Weekly Stress Heatmaps

The heatmaps grid your historical drawdowns to show which calendar periods were the most stressful.

Monthly Stress Heatmap

Layout: A grid with years as rows and months (Jan–Dec) as columns.
Values: Each cell displays the maximum drawdown reached during that specific month.
Colour Scale: Stronger, darker red shading indicates deeper drawdowns (higher stress), while lighter or unshaded cells represent periods of safety (near or at peak NAV).
Monthly Filter: Click any cell in the grid to filter the entire report to that specific month.

Weekly Stress Heatmap (Optional)

Visibility: Only renders if Weekly heatmap was enabled in the Config panel and your uploaded series has weekly data points.
Layout: A grid layout mapping weeks of the year against calendar years. It behaves identically to the monthly heatmap but provides a finer-grained look at periods of stress.

5. Drawdown Episodes Table

The Drawdown Episodes table lists every individual decline and recovery cycle detected in your series.

Column	Description
Start	The date when the series fell from its peak, marking the start of the drawdown.
End	The date when the series fully recovered and returned to the peak level.
Depth	The maximum percentage decline reached during the episode (from the start peak to the lowest trough). Shown in red.
Duration (Days)	The total length of the cycle from start to recovery, displayed in days.

Table Interaction and Behaviors

Sorting: Click any column header to sort the episodes.
- First click: Sorts ascending (earliest date, shallowest depth, or shortest duration).
- Second click: Sorts descending (latest date, deepest depth, or longest duration).
- Third click: Resets the table back to the default sort order (Start ascending).
Open Episodes: If the series has not yet returned to its peak, the episode is considered open. The End date column will be empty to indicate that this is the current running episode which has not yet recovered. The duration displayed represents the number of days elapsed from the start of the decline to the end of the available data range.

What to do next

To understand how to prepare NAV data, see How to Prepare NAV Data.
Learn the concept behind risk management in Why your best performing series might be your biggest risk.
Once you are ready to compare multiple series or test blended asset allocations, see Your First Portfolio Blending Analysis.