The risk is measured as the percentage maximum drawdown $(MDD)$ of NAV for the specific period:

$$ MDD = \max\limits_{t\in(start,end)} (DD_t)\;where\;DD_t= \begin{cases} 1 - (1-DD_{t-1})\frac{P_t}{P_{t-1}} &\text{if}\; P_t - P_{t-1}<0\\ 0 &\text{otherwise} \end{cases} $$

where $DD_t$, $DD_{t-1}$, $P_t$ and $P_{t-1}$ refer the drawdown $(DD)$ and prices $(P)$ at a specific point in time, $t$, or the time right before that, $t-1$.