I have a monthly fund return series in the database and I want to create a maximum drawdown chart from it in reporting services (maximum drawdown is the maximum percentage change in asset value from the historical peak). For ex: we have the following data Date Return 5/2010 10% 6/2010 10% 7/2010 -10% 8/2010 -10% 9/2010 10% I can easily create a cummulative return/Net asset value series by converting the returns to log returns = Log(1+Return) and then using this running value expression on the Log returns =exp(RunningValue(Fields!LOG_RETURN.Value,Sum,Nothing))-1 to get the cummulative return series. Is there a way by which I can store this new cummulative return series as a calculated field? My goal is to find the difference in the maximum historical cummulative return peak with the current value of the cummulative return. So the result should be like Date Return NAV Historical Peak Drawdown May-10 10% 110 110 0 Jun-10 10% 121 121 0 Jul-10 -10% 109 121 12 Aug-10 -10% 98 121 23 Sep-10 10% 108 121 13 I need to calculate the last column Drawdown (which is Max(cummulative return) - current cummulative return)

Hi Igor, Thanks for your reply but I guess this won't solve the problem. I am trying to find the running maximum value of the cummulative returns and this will only enable me to refer it as a value. I still wont be able to use runningvalue expression on this new cummulative return series. Just as to reiterate, I want to use runnig value expression on a field generated by a running value expression i.e. cummulative return is found from return by using runningvalue and I need to finding the moving maximun of this cummulative return (which will require) another runningvalue expression. Thanks, Sachin

Hi Igor, Thanks for your reply but I guess this won't solve the problem. I am trying to find the running maximum value of the cummulative returns and this will only enable me to refer it as a value. I still wont be able to use runningvalue expression on this new cummulative return series. Just as to reiterate, I want to use runnig value expression on a field generated by a running value expression i.e. cummulative return is found from return by using runningvalue and I need to finding the moving maximun of this cummulative return (which will require) another runningvalue expression. Thanks, Sachin Hi Schin, Runningvalue function could not be specified as nested aggregates, so it will jump out the error if you use Runningvalue in another runningvalue function, here I would recommend you achieve one runningvalue function in the database, then utilize another runningvalue in the report level. Thanks, Challen Fu