Best month and worst month

Also seen as: biggest monthly gain, biggest monthly loss, monthly extremes

How are best month and worst month measured?

Both are read off the same month-by-month return series: best month is the largest value in that series and worst month is the smallest. No averaging or smoothing is involved, and neither figure is combined with its neighbours — a month that gained 12% is the best month even if the months either side of it lost ground.

Is the worst month the same as max drawdown?

No — the worst month is one calendar month's return, while max drawdown is the largest peak-to-trough fall of the capital curve. A drawdown can start mid-month, run across several months, and end mid-month, so it is usually deeper than the worst single month and always measured from a peak rather than from a month boundary. A strategy can have a mild worst month and a severe max drawdown if the losses were spread out; how long such a decline lasted is longest drawdown.

What counts as a good value?

The pair is read as a range rather than as two separate scores: a narrow gap between best and worst means month-to-month outcomes clustered together, and a wide gap means they were spread far apart, which is the same behaviour volatility puts into a single annualized number. A high best month is not evidence of a better strategy on its own — a single outsized month can lift a whole run's total return while the other months contributed little, and the monthly average beside it is what shows whether the rest of the period pulled its weight.

Defaults in Fincanva

• Both appear as rows in the Monthly performance group of the metrics table, labelled "Best month" and "Worst month", as percentages to one decimal place and coloured by sign.
• The monthly returns view repeats them as KPIs using the same two labels.
• They come from the same month-by-month series the monthly returns heatmap displays, so you can find the two months on the grid.
• Each is a single calendar month of the simulated period — never a rolling 30-day window and never a run of consecutive months.

Worked example

A ten-year backtest reports Best month +12.0% and Worst month −18.0%. Those are two individual months out of roughly 120, and the 30-percentage-point spread between them tells you monthly outcomes ranged widely. The −18.0% month is not the run's max drawdown: if the strategy also fell in the month before and the month after, the peak-to-trough decline around that month is deeper than 18%. Equally, the +12.0% month may be the reason the run's total return looks strong, which is why the monthly average is worth reading next to it.

Best month and worst month describe what a strategy would have done on historical data, not what it will do. Fincanva provides no financial advice — see Is this financial advice?.