calmar ratio การใช้

The Calmar Ratio is very similar to the MAR Ratiowhich was formulated much earlier.
The Calmar Ratio is a key tool used to analyze the performance of Commodity Trading Advisors.
Later versions of the Calmar ratio introduce the risk free rate into the numerator to create a Sharpe type ratio.
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 Ratio.
The Calmar Ratio is an improvement over both the Sterling Ratio and the Sharpe Ratio in that it provides a current up-to-date appraisal of a CTA s success.