Drawdown & Calmer RatioRisk Management
Drawdown is a measure of previous loss from a peak to a low and back to the same price as the old peak, moving from left to right. The old peak is known as the recovery point. Once the recovery peak is met or exceeded, the drawdown is complete. The size of the drawdown is measured from the latest highest peak to the bottom of the trough. Every investment has drawdowns; many have multiple historical drawdowns. Drawdowns are listed from the largest drawdown to the smallest in percentage terms. The Calmer Ratio is often used in calculating drawdown statistics.
The Calmar ratio takes the annualized return over a time period and divides it by the largest drawdown over the same period, usually 3 years. A larger Calmer Ratio is better, indicating high returns over drawdowns. As you approach zero or negative values, the Calmer Ratio shows poorer overall performance.
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International Economic Analysis:
- Major Currency Economic Summaries
- Performance of Major Imports and Exports
- Mandates of Central Banks versus Expectations
- Performance Indexes of Major Economies
- Economically Correlated Currency Projections
- Large Funds Currency Sentiment Readings
- List of Technical Indicators to Look For
- Occasional: Foregin Exchange Technicals Markups
American Markets Analysis:
- Summaries of American Economic Structure
- Performance of Major
- Federal Reserve Mandate versus Expectations
- Performance Indexes of U.S Economy
- Economically Correlated U.S Dollar Projections
- Large Trading Fund Index Sentiment Readings
- Market Wide Earnings Versus Valuations
- Fundamental Ranking of U.S Business Sectors
- Best and Worst Future Consensus Estimates
- Occasional: Firm Fundamental Strength Report
- List of Technicals to Look for While Trading
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