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Are you sure the return for two years is 0.7214? It should be 0.3422 per year if you are using 31/12/2011, and 0.3416 if you are using 01/01/2012 as the end date. Assuming the last number (because it makes for two full years, therefore easier to calculate), yes, there is a formula to derive it from the return of the individual years. It's the geometric ...


2

It depends on what makes more economic sense: If you are calculating CAGR for FX (which is traded effectively 24/7) strategy returns for instance, it would seem fair to use 365.25 calendar days. If you are calculating CAGR for internal reporting of trading strategy returns on a product with 5 market sessions per week, it would seem fair to use 252 calendar ...


1

You can use both standards, but when you apply or compare this rate the standards must be equal, and it should be noted which convention you used. Note that 300/365 yeardays would in percentage be equal to 205/250 tradingdays, so its really just a convention that would make no difference in actual time.



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