Computing the MAR Ratio - Using what sort of drawdown?

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Idea Man
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Computing the MAR Ratio - Using what sort of drawdown?

Post by Idea Man » Thu Apr 17, 2003 10:54 am

How do you compute the MAR ratio?

I know it is basically: annualized return / maximum drawdown

However, the MAR group uses month end drawdowns based on total equity including open positions. Is this what Trading Recipes uses?

Do you base this on the account balance of closed out trades or total equity? Only on the month end drawdowns or does it include drawdowns that are based on prices occuring during the month?

yp
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Post by yp » Thu Apr 17, 2003 11:00 am

It calculates in all the time, not just month end and uses total equity.
yp

Howard Brazzil
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re: Computing the MAR Ratio

Post by Howard Brazzil » Thu Apr 17, 2003 12:28 pm

Yes - TR calculates MAR as CAGR / MaxDD, and as yp said, it uses the closed daily MaxDD of total equity.

I read somewhere recently that hedge fund rating agencies typically use end-of-month data points to calculate MaxDD, whereas CTAs are subject to MaxDD scrutiny on a daily time-frame. Can anyone confirm this?

yp
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Post by yp » Thu Apr 17, 2003 12:32 pm

Howard I can cofirm that what you are saying is true.
There are some reporting services that allow fund managers to input their #'s on a daily or weekly basis. This has been the trend with the advent of internet, real time services.
I believe Quadriga fund reports on a daily basis now.
Most funds still follow the monthly rule.

yp

Roscoe
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Re: Computing the MAR Ratio - Using what sort of drawdown?

Post by Roscoe » Thu Feb 19, 2004 2:48 am

Inflector wrote:How do you compute the MAR ratio?
CAGR / MDD%

I have posted a spreadsheet here viewtopic.php?p=6468#6468 that has the calc in it as well as a few others. Hope it helps!

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