Back to the glossary

    optimizer

    Conditional Drawdown-at-Risk (CDaR)

    The average of the worst drawdowns in a backtest, used to optimize against deep peak-to-trough losses.

    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.

    Related terms

    Maximum DrawdownConditional Value-at-Risk (CVaR)Ulcer Index

    Get full access to GNG Research

    Create a free account to access portfolio tracking, advanced tools, and more.

    Create Free AccountLog In