Most useful when
CAGR/Drawdown Ratio is most useful when you want to judge the quality of return over a holding period instead of only reading the latest price move.
Metric detail
Ranking viewCAGR/Drawdown Ratio
Growth relative to the worst drawdown
Metric ranking
Metric ranking
See which assets currently stand out on this metric.
Top Assets
- 6.63
- 6.41
- 4.86
- 3.29
- 3.16
- 2.57
- 2.33
- 2.14
- 2.09
- 1.91
Bottom Assets
- -0.58
- -0.59
- -0.59
- -0.59
- -0.59
- -0.59
- -0.59
- -0.60
- -0.61
- -0.62
Assets with missing values are hidden. · Top Assets · 25 Entries · Bottom Assets · 25 Entries
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When to use this metric
Use this metric to read one signal clearly.
Read the explanation first. Then use the ranking to compare the signal across assets.
What it helps you see
This performance lens separates raw outcome from the amount of risk, drawdown, or efficiency needed to achieve it.
Why it changes the ranking view
Use it to distinguish impressive-looking return from return that is genuinely repeatable or efficient enough to matter in comparison.
What to open next
Use the definition and formula first, then compare the ranking to see which assets currently stand out on this return lens.
Metric explainer
Read the definition, sources, calculation, and interpretation after the ranking above.
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.