Annualized return

In this article, you'll learn about the annualized return and how it's calculated in Composer.

What is the annualized return?

The annualized rate of return is the geometric mean of the returns of an investment. It is a measure of how much that investment would earn on average per year, assuming the return was compounded, over a given time period.

What is the formula?

Where will you see an annualized return in Composer?

This metric appears in a few places in Composer including:

In your library of symphonies
In the results of a symphony backtest
In the overview of a symphony template

What is the step-by-step calculation?

Let's go through the calculation of the annualized return step-by-step for a symphony backtest. Here's how we do it:

Compute the cumulative percent return of the symphony for the time between the first and last date in the backtest
Add one to that value
Raise that result to the (252/N) power, where N is the number of trading days in the backtest
Subtract 1 from that result