CAGR/Drawdown Ratio
Growth relative to the worst drawdown
Description
This metric combines growth and risk in a single ratio.
It relates the long-term growth rate (CAGR) to a matching reference drawdown (dd_ref) based on available history.
An asset can grow strongly, but if it required enduring large historical drawdowns, the ratio will look worse.
The higher the ratio, the more “robust” the growth looks relative to the worst setback.
Source
Calculation
- 1) Use ret_10y if available — otherwise ret_5y — otherwise ret_3y as the base return (base_ret).
- 2) CAGR = (1 + base_ret)^(1/years) − 1 (only if 1 + base_ret > 0)
- 3) dd_ref = maxdd_10y → maxdd_5y → maxdd_3y → maxdd_365d
- 4) CAGR / abs(dd_ref)
Interpretation
- Higher is better.
- A very low or negative value happens when growth is weak or drawdowns were extreme.
Ranking
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