What Is Benchmark?

In quantitative finance, benchmarking is comparing different portfolios or trading strategies against each other.

The comparison examines

• Cumulative profit

• Risk-adjusted return

• Fees paid or generated

Common comparison methods include

• Compound Annual Growth Rate (CAGR), or cumulative profit

• Equity curve comparison

• Volatility risk-based and risk-adjusted metrics like Sharpe and Sortino ratios

Benchmark can compare

• Different trading stragies to each other

• Different portfolios to each other

• Strategies and portfolios to a trading pair buy and hold performance

See also

• Trading strategy

• Portfolio

• Quantitative finance

• Risk-adjusted return

• Buy and hold

• Best trading strategy

• Equity curve

• Sharpe

• Sortino