calmar ratio

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    Calmar ratio (or Drawdown ratio) is a performance measurement used to evaluate Commodity Trading Advisors and hedge funds. It was created by Terry W. Young and first published in 1991 in the trade journal Futures.
    Young owned California Managed Accounts, a firm in Santa Ynez, California, which managed client funds and published the newsletter CMA Reports. The name of his ratio "Calmar" is an acronym of his company's name and its newsletter: CALifornia Managed Accounts Reports. Young defined it thus:

    The Calmar ratio uses a slightly modified Sterling ratio – average annual rate of return for the last 36 months divided by the maximum drawdown for the last 36 months – and calculates it on a monthly basis, instead of the Sterling ratio's yearly basis.
    Young believed the Calmar ratio was superior because

    The Calmar ratio changes gradually and serves to smooth out the overachievement and underachievement periods of a CTA's performance more readily than either the Sterling or Sharpe ratios.
    It should be mentioned that a competitor newsletter, Managed Account Reports (founded in 1979 by publisher Leon Rose), had previously defined and popularized another performance measurement, the MAR Ratio, equal to the compound annual return from inception, divided by the maximum drawdown from inception.
    Although the Calmar ratio and MAR ratio are sometimes assumed to be identical, they are in fact different: Calmar ratio uses 36 months of performance data, whereas MAR ratio uses all performance data from inception onwards. Later versions of the Calmar ratio introduce the risk free rate into the numerator to create a Sharpe type ratio.


    See also


    Modigliani risk-adjusted performance
    Omega ratio
    Risk return ratio
    Sharpe ratio
    Sterling ratio
    Sortino ratio


    References

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calmar ratio

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What Is the Calmar Ratio, Its Strenths & Weaknesses? - Investopedia

Apr 12, 2024 · What Is the Calmar Ratio? The Calmar ratio is a gauge of the performance of investment funds such as hedge funds and commodity trading advisors (CTAs). It is a...

What Is the Calmar Ratio? - Finance Strategists

Nov 30, 2023 · What Is the Calmar Ratio? The Calmar Ratio is a risk-adjusted performance measure that is commonly used in the finance industry to evaluate investment strategies. It was developed by Terry W. Young, who named it after the California Managed Accounts Reports (CALMAR) that were published in the 1990s.

Calmar ratio - Wikipedia

Calmar ratio (or Drawdown ratio) is a performance measurement used to evaluate Commodity Trading Advisors and hedge funds. It was created by Terry W. Young and first published in 1991 in the trade journal Futures .

Calmar Ratio - Overview, How To Calculate, Importance

The Calmar ratio is a formula that measures the performance of an investment fund – such as a hedge fund – compared to its risk. It is commonly used by investors as a risk-adjusted measure in the selection of investments. The Calmar ratio indicates the relationship between risk and return.

Calmar Ratio: Definition, Formula and Calculator

Jul 12, 2024 · What is the Calmar Ratio? The Calmar Ratio is a risk-adjusted metric that measures the performance of an investment fund, such as a hedge fund, by assessing its risk. This ratio scrutinizes the relationship between the risk …

What Is a Calmar Ratio? - The Motley Fool

Dec 31, 2024 · What Is a Calmar Ratio? The Calmar ratio measures a fund's return against its risk, calculated by dividing annual return by maximum drawdown. Fund B, despite a larger...

What Is the Calmar Ratio and How Is It Used in Finance?

Feb 10, 2025 · What Is the Calmar Ratio and How Is It Used in Finance? Discover how the Calmar Ratio evaluates investment performance by balancing returns against risk, offering insights into financial decision-making.

Calmar Ratio: Definition, Application, and Real-World Examples

Mar 20, 2024 · The Calmar ratio, devised by Terry W. Young, offers investors a unique perspective on risk-adjusted returns. While its focus on maximum drawdown provides clarity, potential limitations should be acknowledged.

Calculate Calmar Ratio in Excel - WallStreetMojo

Guide to Calmar Ratio and its definition. Here we discuss the formula of the Calmar Ratio along with examples, advantages, disadvantages, and limitations

Calmar Ratio: How to Compare the Return and Drawdown of

Jun 9, 2024 · The Calmar ratio is a performance measure that compares the annualized return of a portfolio with its maximum drawdown. The higher the Calmar ratio, the better the portfolio's risk-adjusted performance.