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.
• The RRR as defined here is formally the same as the so-called MER ratio, and shares some similarities with the Calmar ratio, the Sterling ratio and the Burke ratio.
• The only difference is that the MAR Ratio is based on data produced from the inception of the investment, whereas the Calmar Ratio is typically based on more recent and shorter-term data.
• 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.
• 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.
• In finance, the use of the maximum drawdown as an indicator of risk is particularly popular in the world of commodity trading advisors through the widespread use of three performance measures : the Calmar ratio, the Sterling ratio and the Burke ratio.
• The Calmar Ratio uses a slightly modified Sterling Ratio the average annual rate of return for the most recent 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.