Risk Reward Comparison:
This 3-year study compares the risk reward profile for the all markets across eight sectors each along side the S&P 500 index. We define reward as Compounded Annual Growth Rate (CAGR) and risk as Maximum Drawdown. Additionally, the current drawdown (shown as a black dot) indicates the markets open sell-off level from its most recent equity high.
Definitions:
- Compounded Annual Growth Rate (CAGR) measures the growth of an investment as if it had grown at a steady rate on an annually compounded basis.
- Maximum Drawdown measures the largest peak-to-valley loss based on monthly return data.
- Current Drawdown measures the percent retracement form the most recent equity high.
Sector Breakdown based on CAGR and Maximum Drawdown:
