Returns the Calmar ratio.
Syntax
NxCalmar($R_p$, $R_f$, Freq)
 $R_p$
 is the portfolio's rate of returns data series (a onedimensional array of cells (e.g., rows or columns)).
 $R_f$
 is the riskfree simple returns data (a single value or a onedimensional array of cells (e.g., rows or columns)). If missing, a zero(0) riskfree 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
 The Calmar ratio is a function of the fund's average compounded annual rate of return versus its maximum drawdown.
 The Calmar ratio was developed and introduced in 1991 by Terry W. Young, a Californiabased fund manager.
 The Calmar ratio is expressed as follows: $$\textrm{Calmar Ratio} = \frac{R_pR_f}{\textrm{MDD}}$$ Where:
 $R_p$ is the return of a given portfolio or strategy.
 $R_f$ is the riskfree return.
 $\textrm{MDD}$ is the maximum drawdown (MDD).
 The riskfree 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 riskfree rate could be a US treasury rate or yield, such as a oneMonth TBill, Note, etc.
 If the riskfree rate of return argument contains one value, it is assumed the value is the riskfree annual rate of return.
 The Calmar ratio aims to demonstrate the risk required to obtain a return.
 By definition, all values in the input data set (i.e., X) must be greater than 1.0.
 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:


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
Related Links
References
 Hamilton, J .D.; Time Series Analysis, Princeton University Press (1994), ISBN 0691042896
 Tsay, Ruey S.; Analysis of Financial Time Series John Wiley & SONS. (2005), ISBN 0471690740
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