Annualized return
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