Worst Peak-to-Valley Draw-Down Law and Legal Definition
According to 17 CFR 4.10 [Title 17 -- Commodity and Securities Exchanges; Chapter I -- Commodity Futures Trading Commission; Part 4 -- Commodity Pool Operators and Commodity Trading Advisors], worst peak-to-valley draw-down means the greatest cumulative percentage decline in month-end net asset value due to losses sustained by a pool, account or trading program during any period in which the initial month-end net asset value is not equaled or exceeded by a subsequent month-end net asset value. Such decline must be expressed as a percentage of the initial month-end net asset value, together with an indication of the months and year(s) of such decline from the initial month-end net asset value to the lowest month-end net asset value of such decline.
