Conditional Drawdown-at-Risk (CDaR)
The average of the worst drawdowns in a backtest, used to optimize against deep peak-to-trough losses.
Category: Optimizer & Performance
What is Conditional Drawdown-at-Risk (CDaR)?
CDaR is to drawdown what CVaR is to single-period loss. Minimizing CDaR pulls portfolios toward weights that historically had shallower and shorter drawdown episodes.