Do we need to remember all of these or just the Sharpe ratio ? Downside deviation Drawdown Sharpe ratio Sortino ratio gain to loss ratio Calmar ratio Sterling ratio
Calmar and Sterling? Don’t think I know these ones…
yea calmar/sterling and gain to loss havent seen those but the other i would say yes.
calmer/sterling and gain to loss have a passing reference in CFAI texts.
^More importantly, what are they???
Calmar and Sterling ratios are just mentioned once in the footnote, CFAI V4, p.336 Calmar ratio = compound annualized rate of return over specified time period divided by the absolute value of the maximum drawdown over the same time period For Calmar ratio the time horizon is frequently set to 36 month Sterling ratio = compound annualized rate of return over a specified time period divided by the average yearly maximum drawdown over the same time period less an arbitrary 10%
For both Calmar and Sterling you need AT LEAST 36 Months of data. I posted about this a while back.