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: Young believed the Calmar ratio was superior because
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- Calmar ratio (en)
- 卡玛比率 (zh)
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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: Young believed the Calmar ratio was superior because (en)
- El ratio Calmar es una medida de rendimiento utilizada para evaluar a Commodity Trading Advisors (CTAs) y hedge funds. Fue creado por Terry W. Young y apareció por primera vez en 1991 en la revista Futures. Young era el propietario de California Managed Accounts, una compañía con sede en Santa Ynez, California, que gestionaba fondos de varios clientes y publicaba el boletín CMA Reports. El nombre del ratio Calmar proviene del acrónimo del nombre de su compañía y del boletín que publicaba: CALifornia Managed Accounts Reports. Young lo definía así: (es)
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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. (en)
- El ratio Calmar es una medida de rendimiento utilizada para evaluar a Commodity Trading Advisors (CTAs) y hedge funds. Fue creado por Terry W. Young y apareció por primera vez en 1991 en la revista Futures. Young era el propietario de California Managed Accounts, una compañía con sede en Santa Ynez, California, que gestionaba fondos de varios clientes y publicaba el boletín CMA Reports. El nombre del ratio Calmar proviene del acrónimo del nombre de su compañía y del boletín que publicaba: CALifornia Managed Accounts Reports. Young lo definía así: El ratio Calmar utiliza una versión ligeramente modificada del ratio Sterling - tasa de retorno promedio anual de los últimos 36 meses dividido por el máximo drawdown de los últimos 36 meses - y lo calcula con base mensual, en lugar de anual como en el caso del ratio Sterling. Young consideraba que el ratio Calmar era mejor ya que: El ratio Calmar varía gradualmente y sirve para suavizar los períodos de altos y bajos rendimientos de los CTAs más fácilmente que con los ratios Sterling o Sharpe. Es necesario mencionar que el boletín competidor Managed Account Reports (fundado en 1979 por el editor Leon Rose) había definido y popularizado anteriormente otra medida de rendimiento, el ratio MAR, que se calcula como el rendimiento anual compuesto desde los orígenes del fondo, dividido por el máximo drawdown también desde su comienzo. Aunque en ocasiones se considera que el ratio Calmar y el ratio MAR son idénticos, en la práctica son diferentes: el ratio Calmar usa 36 meses de datos de rendimientos, mientras que el ratio MAR usa todos los rendimientos desde el comienzo del fondo. Las últimas versiones del ratio Calmar introduce la tasa del activo libre de riesgo en el numerador para crear un ratio de tipo Sharpe. (es)
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