NxCalmar - Calculates the Calmar Ratio

Returns the Calmar ratio.

Syntax

NxCalmar($R_p$, $R_f$, Freq)

$R_p$
is the portfolio's rate of returns data series (a one-dimensional array of cells (e.g., rows or columns)).
$R_f$
is the risk-free simple returns data (a single value or a one-dimensional array of cells (e.g., rows or columns)). If missing, a zero(0) risk-free return is assumed.
Freq
is the data sampling frequency per year (i.e., number of data points in one year) (e.g., 12 = monthly, 4 = quarterly, etc.). If missing, a monthly frequency is assumed.

  Status

The NxCalmar function is available starting with NumXL version 1.68 CAMEL.

Remarks

  1. The Calmar ratio is a function of the fund's average compounded annual rate of return versus its maximum drawdown.
  2. The Calmar ratio was developed and introduced in 1991 by Terry W. Young, a California-based fund manager.
  3. The Calmar ratio is expressed as follows: $$\textrm{Calmar Ratio} = \frac{R_p-R_f}{\textrm{MDD}}$$ Where:
    • $R_p$ is the return of a given portfolio or strategy.
    • $R_f$ is the risk-free return.
    • $\textrm{MDD}$ is the maximum drawdown (MDD).
  4. The risk-free rate of return is the return of an investment with zero risks, meaning it's the return investors could expect for taking no risk. The risk-free rate could be a US treasury rate or yield, such as a one-Month T-Bill, Note, etc.
  5. If the risk-free rate of return argument contains one value, it is assumed the value is the risk-free annual rate of return.
  6. The Calmar ratio aims to demonstrate the risk required to obtain a return.
  7. By definition, all values in the input data set (i.e., X) must be greater than -1.0.
  8. The input data series may include missing values (e.g., #N/A, #VALUE!, #NUM!, empty cell), but they will not be included in the calculations.

Examples

Example 1:

 
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A B C
Date Fund Index
1/1/2017 #N/A #N/A
2/1/2017 0.030 0.020
3/1/2017 0.020 -0.040
4/1/2017 -0.007 -0.007
5/1/2017 0.055 0.055
6/1/2017 0.028 0.028
7/1/2017 0.002 0.002
8/1/2017 -0.117 -0.10
9/1/2017 0.012 0.02
10/1/2017 0.021 0.021
11/1/2017 0.111 0.05



Formula Description (Result)
=NxCalmar(\$B\$2:\$B\$14, 0.02,12) Calmar (Fund) (1.380887)
=NxCalmar(\$C\$2:\$C\$14, 0.02,12) Calmar (Index) (0.280693)

Files Examples

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References

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