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PerTrac User Manual v.19 1
3 ways based on the different assumptions for MAR that are shown in
parentheses. The first MAR assumption can be changed by selecting
Default Minimum Acceptable and Risk Free Returns from the
Preferences menu. The second MAR assumption uses the Sharpe
risk free rate, which can be changed at the same time as the minimum
acceptable return. The third MAR assumption is zero, which shows
the deviation of all losing rolling periods below zero.
Sharpe Ratio - The arithmetic average return less the risk-free return
divided by the standard deviation.
Sortino Ratio - The average period return less the Minimum
Acceptable Return (MAR) divided by the downside deviation from the
Minimum Acceptable Return (MAR). Just as with the Down Deviation
calculation, the Sortino Ratio is calculated on the three assumptions for
the Minimum Acceptable Return (MAR) listed above.
Skewness - The degree of asymmetry of a distribution around its
mean.
Kurtosis - The relative peakedness or flatness of a distribution
compared with the normal distribution.
Below the Risk Table are three additional return risk measures:
Sterling Ratio - The average annual return for the latest 36 months
divided by the average of the maximum drawdown during each of the
latest three 12-month periods plus 10%. If 36 months of data are not
available, this statistic is not shown.
Calmar Ratio - The average annual return for the latest 36 months
divided by the maximum drawdown during the latest 36 months. If 36
months of data are not available, this statistic is calculated using the
data available.
Losing Streak - The percent change between the maximum equity
high (high water mark) and the latest month’s equity. If the latest
month’s equity is a high water mark then 0% is displayed.
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