Young calmar ratio a smoother tool

Alpha is a measure of the active return on an investment, the performance of that investment compared with a suitable market index.

Alpha, along with beta, is one of two key coefficients in the capital asset pricing model used in modern portfolio theory and is closely related to other important quantities such as standard deviation, R-squared and the Sharpe ratio. In finance, margin is collateral that the holder of a financial instrument has to deposit with a counterparty to cover some or all of the credit risk the holder poses for the counterparty.

This risk can arise if the holder has done any of the following:. The information ratio , also known as appraisal ratio , is a measure of the risk-adjusted return of a financial security. It is defined as expected active return divided by tracking error, where active return is the difference between the return of the security and the return of a selected benchmark index, and tracking error is the standard deviation of the active return; i.

The ulcer index is a stock market risk measure or technical analysis indicator devised by Peter Martin in , and published by him and Byron McCann in their book The Investors Guide to Fidelity Funds. It's designed as a measure of volatility, but only volatility in the downward direction, i. Toby Crabel is a United States commodities trader. In , the Financial Times called Crabel "the most well-known trader on the counter-trend side".

Crabel managed 3. Crabel has a strong record of positive returns, having avoided a single losing year between and Initially pioneered by financial institutions during the s as interest rates became increasingly volatile, asset and liability management is the practice of managing risks that arise due to mismatches between the assets and liabilities.

Post-modern portfolio theory is an extension of the traditional modern portfolio theory. Both theories propose how rational investors should use diversification to optimize their portfolios, and how a risky asset should be priced. The Sterling ratio SR is a measure of the risk-adjusted return of an investment portfolio. The company trades on more than global futures markets in a wide variety of asset classes and on global equity markets.

The risk-return-ratio is a measure of return in terms of risk for a specific time period. The percentage return R for the time period is measured in a straightforward way:.

Systematic trading is a way of defining trade goals, risk controls and rules that can make investment and trading decisions in a methodical way. The V2 ratio V2R is a measure of excess return per unit of exposure to loss of an investment asset, portfolio or strategy, compared to a given benchmark. A managed futures account MFA or managed futures fund MFF is a type of alternative investment in the US in which trading in the futures markets is managed by another person or entity, rather than the fund's owner.

Managed futures accounts include, but are not limited to, commodity pools. Brandywine Asset Management, Inc. The firm is registered as a commodity trading advisor. The drawdown is the measure of the decline from a historical peak in some variable. For one thing, it's more understandable than other, more abstract risk gauges, and this makes it preferable for some investors. In addition, even though it is updated monthly, the Calmar ratio's standard three-year time frame makes it more reliable than other gauges with shorter time frames that might be more affected by natural market volatility.

On the flip side, the Calmar ratio's focus on drawdown means it's view of risk is rather limited compared to other gauges, and it ignores general volatility.

This makes it less statistically significant and useful. Still, the risk-adjusted nature of the Calmar ratio makes it among many possible investment performance measures, though it is one of the lesser-known gauges of risk-adjusted returns. In fact, William Sharpe , creator of the Sharpe, won the Nobel Prize in economics in for his work on capital asset pricing theory. Portfolio Construction. Financial Ratios. Portfolio Management. Business Essentials.

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Popular Courses. What Is the Calmar Ratio? Key Takeaways The Calmar ratio is a measure of risk-adjusted returns for investment funds, created by fund manager Terry Young in This could also be considered one of its weaknesses.

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