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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 .
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] Proprietary traders may use a variety of strategies such as index arbitrage ...
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.
Then, shares went in a sharp drawdown that approached 90% when the pandemic e-commerce boom ended. Today, the stock is up 55% in the last 12 months but still off significantly from highs set in ...
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.
Optiver Holding B.V. is a proprietary trading firm and market maker for various exchange-listed financial instruments. Its name derives from the Dutch optieverhandelaar, or "option trader". [2] [3] The company is privately owned. Optiver trades listed derivatives, cash equities, exchange-traded funds, bonds, and foreign exchange.
Flow Traders is a proprietary trading firm. [1] A market maker, it provides liquidity in the securities market by using high frequency and quantitative trading strategies. [2] Originally founded in Amsterdam, Flow Traders also has offices in New York, London, Milan, Paris, Cluj, Shanghai, Singapore, Chicago, and Hong Kong. [3] [4]
Jane Street Capital is a global proprietary trading firm. [4] It employs more than 2,600 [5] people in six offices in New York, London, Hong Kong, Amsterdam, Chicago, and Singapore, and trades a broad range of asset classes on more than 200 venues in 45 countries.