← Practice
Trading: Evaluating Strategy Performance
Calculate the Sharpe Ratio, volatility, and drawdown of a backtested strategy.
Quant / TradingIntermediateCalculation
You're a junior quant. Your PM asks you to evaluate a 12-month momentum strategy backtested over 5 years.
Given
| Year 1 Return | 18 % |
| Year 2 Return | -8 % |
| Year 3 Return | 22 % |
| Year 4 Return | 15 % |
| Year 5 Return | -3 % |
| Risk-free rate | 2 %/an |
Question 1/4
Step 1. Average annual return?
Your answerEnter a number in %
%
0/4