一个计算的例子Sharpe Ratio Formula | Calculator (Excel template) 2.CALMAR Ratio CALMAR Ratio为年化超额收益率/最大回撤,也是衡量风险与收益的方式,CALMAR 越大越好。 CALMAR Ratio is a ratio of mean excess return to the maximum drawdown: Calmar Ration =Portfolio Return - Risk-Free Return /Maximum ...
MAR =复合收益回报率/最大回撤 For you newcomers out there, the CALMAR ratio is slightly different. Some assume the MAR ratio refers to a shortening of the CALMAR name, but there is a key difference. The MAR ratio usually analyzes data from the inception of the program (although it can ea...