CalmarRatio       package:PerformanceAnalytics       R Documentation

_c_a_l_c_u_l_a_t_e _a _C_a_l_m_a_r _o_r _S_t_e_r_l_i_n_g _r_e_w_a_r_d/_r_i_s_k _r_a_t_i_o

_D_e_s_c_r_i_p_t_i_o_n:

     Calmar and Sterling Ratios are yet another method of creating a
     risk-adjusted measure for ranking investments similar to the
     'SharpeRatio'.

_U_s_a_g_e:

        CalmarRatio(Ra, scale = 12)
        SterlingRatio(Ra, scale = 12, excess=.1)

_A_r_g_u_m_e_n_t_s:

      Ra: a vector, matrix, data frame, timeSeries or zoo object of
          asset returns 

   scale: number of periods in a year (daily scale = 252, monthly scale
          = 12, quarterly scale = 4) 

  excess: for Sterling Ratio, excess amount to add to the max drawdown,
          traditionally and default .1 (10%)

_D_e_t_a_i_l_s:

     Both the Calmar and the Sterling ratio are the ratio of annualized
     return over the absolute value of the maximum drawdown of an
     investment. The Sterling ratio adds an excess risk measure to the
     maximum drawdown, traditionally and defaulting to 10%.

     It is also traditional to use a three year return series for these
     calculations, although the functions included here make no effort
     to determine the length of your series.  If you want to use a
     subset of your series, you'll need to truncate or subset the input
     data to the desired length.

     Many other measures have been proposed to do similar reward to
     risk ranking. It is the opinion of this author that newer measures
     such as Sortino's 'UpsidePotentialRatio' or Favre's
     'SharpeRatio.modified' are both "better" measures, and should be
     preferred to the Calmar or Sterling Ratio.

_V_a_l_u_e:

     Calmar or Sterling Reward/Risk Ratio

_N_o_t_e:

_A_u_t_h_o_r(_s):

     Brian G. Peterson

_R_e_f_e_r_e_n_c_e_s:

     Bacon, Carl. _Practical Portfolio Performance Measurement and
     Attribution_. Wiley. 2004.

_S_e_e _A_l_s_o:

     'Return.annualized',  
      'maxDrawdown', 
      'SharpeRatio.modified', 
      'UpsidePotentialRatio'

_E_x_a_m_p_l_e_s:

     data(edhec)
     lapply(edhec,CalmarRatio)
     lapply(edhec,SterlingRatio)

