MAR 与CALMAR比:特点迥异的双生花_RCM Alternatives_HIT48


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本专栏获得RCM Alternatives授权发表原文及其翻译。本文不构成投资建议,不代表个人观点,仅用于交流学习使用,不得用于商业用途。更多免责声明参见原文。

原文链接:

MAR and Calmar Ratios: Identical twins, with Opposite Personalities​www.rcmalternatives.com图标


This post is part of an ongoing series on the Attain Capital blog that seeks to help investors understand the various metrics we use to evaluate managers. Stay tuned for future pieces!

本文是“获得资本”(Attain Capital)博客上一个正在连载的博文的一部分,旨在帮助投资者理解我们用来评估职业经理人的各种指标。请继续关注之后的更新!

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With the stock market at all time highs, having left managed futures in the dust over the past 4 years (S&P +100%, Managed Futures = -.13%, since March 2009), it’s easy to forget why one would diversify into the asset class. It’s easy to forget about risk adjusted performance.

由于股市目前处于历史高位,在过去4年里,对于管理型期货(自2009年3月以来的数据为S&P+100%,管理型期货=-0.13%),人们很容易忘记为什么需要资产类别多样化。与此同时,风险调整后的绩效也常被投资者忽略。

Enter the Calmar and the Mar Ratios. They measure return per unit of risk, with risk defined as the maximum drawdown (versus risk as volatility – Sharpe, downside volatility – Sortino, or average drawdown – Sterling). The max drawdown, remember – is the most drawdown or loss experienced over all time. In the case of CTA’s, maximum drawdown is reported on a month to month basis. Compound Rate of Return is return over the span of a time frame of your choice (6 mo, 1yr, 10yr). So the formula for MAR is simply dividing the Compound ROR by Max DD.

输入Calmar和Mar比率。它们通过利用被定义为最大回撤的风险来衡量每单位风险的回报(与通常利用夏普比率衡量波动性、索蒂诺比率衡量下行波动性或斯特林比率衡量平均回撤的风险定义方法相比)。需要注意的是,最大回撤是有史以来经历的最大的回撤或损失。如果研究对象是CTA,则最大回撤是以月度作为评估标准。复合回报率是在您选择的时间范围内(6月期、1年期、10年期)的回报率。因此MAR的公式就是简单地将复合收入回报率除以最大回撤值。

MAR = (Compound ROR) / (Max DD)
MAR =复合收益回报率/最大回撤

For you newcomers out there, the CALMAR ratio is slightly different. Some assume the MAR ratio refers to a shortening of the CALMAR name, but there is a key difference. The MAR ratio usually analyzes data from the inception of the program (although it can easily be used to analyze any period within a track record), whereas the CALMAR ratio typically analyzes a shorter time period, usually 36 months of data.

对于新人来说,CALMAR比率则略有不同。有些人认为MAR比率是CALMAR比率名称的缩写,但这两者间存在一个关键的区别。MAR比率通常用于分析项目开始时的数据(尽管它可以很容易地用于分析跟踪记录中的任何时段的数据),而CALMAR比率则通常分析较短的时间段的表现,通常是三年期(36个月)的数据。

CALMAR = (36mo Compound ROR) / (Max DD past 36mo)
CALMAR =36个月的复合收益回报率/过去36个月的最大回撤

At first glance you may think there wouldn’t be much of a difference between the two risk adjusted metrics, but all we need to do is consider the stats from our old friend the S&P 500 to see how different these metrics can be:

乍一看,你可能认为这两个经风险调整的指标大同小异,但我们需要做的只是以我们的老朋友标准普尔500的统计数据为例,看看这些指标有多大的差异:

MAR and CalMar Data

MAR与CalMar数据

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(免责声明:过去的表现不一定预示着未来的结果。)

Looking just at the MAR, on what we will generously call ‘since inception’ data (knowing the S&P 500 has been around a lot longer than that), Managed Futures is nearly 3 times better than the stock market in terms of risk adjusted returns. But flip the period to just the past 36 months – and stocks are almost 13 times better than managed futures in terms of risk adjusted performance. Which is right, which is wrong? The beauty is in the eye of the beholder, so to speak. If you have a long investment timeline and aren’t interested in outperforming this benchmark or that in any one year – the MAR is likely better for you. If you are more of a ‘what have you done for me lately’ type of person – then the CALMAR might suit you more.

仅从MAR比率来看,我们将其慷慨地称之为“自开始以来”的数据(实际上标准普尔500指数的发展时间比这更长),就风险调整后的回报而言,管理型期货几乎是股市的3倍。但将衡量时期转为过去36个月,从风险调整后的表现来看,股票几乎是管理期货的13倍。孰是孰非?俗话说得好,情人眼里出西施。如果你的投资时间线很长,并且没有兴趣在任何一年内超越这个基准,那么MAR指数对你来说可能更为合适。如果你是一个纠结于“最近为我提供了什么回报”类型的人,那么CALMAR比率可能更适合你。