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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 .
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: The percentage return (R) for the time period is measured in a straightforward way:
He invented the ratio in 1981 when t-bills were yielding 10%. Since bills did not experience drawdowns (and a ratio of 1.0 at that time), he felt that any investment with a ratio greater than 1.0 had a better risk/reward tradeoff. The average drawdown was always averaged and entered as a positive number and then 10% was added to that value.
The Maximum Drawdown, more commonly referred to as Max DD, is the worst (the maximum) peak to valley loss since the investment’s inception. [citation needed] In finance, the use of the maximum drawdown is an indicator of risk through the use of three performance measures: the Calmar ratio, the Sterling ratio and the Burke ratio.
Proprietary trading (also known as prop trading) occurs when a trader trades stocks, bonds, currencies, commodities, their derivatives, or other financial instruments with the firm's own money (instead of using customer funds) to make a profit for itself. [1]
Profitability index (PI), also known as profit investment ratio (PIR) and value investment ratio (VIR), is the ratio of payoff to investment of a proposed project.It is a useful tool for ranking projects because it allows you to quantify the amount of value created per unit of investment.
In order to safely deduce a fall in profit as a general tendency, Marx's argument requires the presumption that the rate of surplus-value grows faster than the ratio of capital to value, which cannot demonstrated from the concepts with which Marx is working. While the general direction of movement of both quantities may be known—both the rate ...
Free cash flow to equity (FCFE) is the cash flow available to the firm's common stockholders only. If the firm is all-equity financed, its FCFF is equal to FCFE. FCFF is the cash flow available to the suppliers of capital after all operating expenses (including taxes) are paid and working and fixed capital investments are made.