RotationInvest.com
  • Home
  • How To
    • Risk ON Risk OFF Tool
    • Portfolio Rotation
    • Rotation-Momentum Tool
    • Portfolio Builder
    • Screener
    • Adaptive Asset Allocation
    • Portfolio Moving Average and Portfolio Absolute Momentum
    • Portfolio Channel
    • Strategy of Strategy
    • Moving Average
    • Channel Crossover
    • Volatility Target
    • Retirement Tools
    • Total Returns
    • Rolling Research
    • Ratio/Correlation
    • Description of Calculations
  • FAQ
  • Blog
  • Free Rotation Tool
  • Tools - Members Only
  • Contact
  • Login/Manage Account

BLOG

Long Term Rotation Strategy with Calmar Ratio Scoring

8/14/2017

 
The Calmar Ratio is a comparison of the returns over a specific period of time, compared to the maximum drawdown suffered during that time period.  There are many ratios, such as the Sharpe Ratio, that compare returns to risk, the Calmar Ratio is another ratio that attempts to do this.  Unlike the Sharpe Ratio the Calmar ratio compares returns (Sharpe and Calmar do calculate returns differently, but ultimately it is something akin to returns over a period of time) to the maximum drawdown instead of volatility, giving investors another way to measure risk in a market.  Below we have put together a simple strategy using our Advanced Rotation tool that rotates between US Large Cap, US Mid Cap, Total World, and Long Term US Government Bonds, using 50% 3-month momentum and 50% 65 day Calmar Ratio as the criterion for determining which fund is the strongest, and thus gets chosen.

Settings:
Rotating between US Large Cap, US Mid Cap, Total World Fund, Long Term US Government Bonds
50% 3 month momentum, 50% 65 day Calmar Ratio

Equity/Drawdown

Picture
Picture
Picture
Picture
Picture

Strategies presented anywhere on this site are ideas only, and only for education.

RotationInvest.com/PortfolioBuilderInvest.com do not provide investment advice, and are not investment advisors.

Please read our Terms and Conditions.


Comments are closed.
    Subscribe to Our Feed
    Subscribe to our Backtesting Services
    Try our Free Rotation Backtesting Tool
Subscribe Now - $24.99/month 15 Day free trial

ROTATIONINVEST.COM

CONTACT US / QUESTIONS
Manage Your Account or Unsubscribe
ROTATIONINVEST.COM PROVIDES QUANTITATIVE TOOLS TO FACILITATE RESEARCH AND ANALYSIS OF A WIDE VARIETY OF EXCHANGE TRADE FUNDS (ETFS), STOCKS, AND MUTUAL FUNDS.  CUSTOM BUILD YOUR OWN SECTOR ROTATION, ASSET ALLOCATION, REBALANCED PORTFOLIOS, AND RISK ON RISK OFF STRATEGIES USING OUR BACKTESTING TOOL OR USE OUR PRE-BUILT STRATEGIES AS TEMPLATES FOR YOUR OWN IDEAS.

​Read Our Terms and Conditions before subscribing or using our site  &  Read Our Privacy Policy before subscribing or using our site. 
For information about retiring and financial planning software please visit:  https://eadvisor.app

Notice: Your use of this site (RotationInvest.com or RotationInvest) is considered equivalent to your signature as evidence of your acceptance of RotationInvest.com's Terms of Use, and Privacy Policy.
RotationInvest.com is not a registered investment advisor and does not provide professional financial or investment advice.
RotationInvest.com is a tool that produces trade signals and backtesting results according to the set of funds and rules provided for analysis.  Any strategies shown including but not limited to the pre-built strategies are only used to highlight what is possible using these tools.
Terms and Conditions
Privacy Policy
  • Home
  • How To
    • Risk ON Risk OFF Tool
    • Portfolio Rotation
    • Rotation-Momentum Tool
    • Portfolio Builder
    • Screener
    • Adaptive Asset Allocation
    • Portfolio Moving Average and Portfolio Absolute Momentum
    • Portfolio Channel
    • Strategy of Strategy
    • Moving Average
    • Channel Crossover
    • Volatility Target
    • Retirement Tools
    • Total Returns
    • Rolling Research
    • Ratio/Correlation
    • Description of Calculations
  • FAQ
  • Blog
  • Free Rotation Tool
  • Tools - Members Only
  • Contact
  • Login/Manage Account