This ratio was developed by BarclayHedge, Ltd. In simplest terms the Barclay Ratio is equal to the trend of the VAMI divided by the standard deviation of the monthly returns. Although similar in certain respects to the Sharpe Ratio, it has a much higher correlation with percentage of profitable 12-month time windows than any other reward/risk ratio.
Formula: Trend / Standard deviation of detrended VAMI's
Example: First calculate the linear regression trend of the VAMI's including the initial point. This is the numerator. Next remove the trend from the VAMI's (detrended VAMI = original VAMI - (slope X month number + intercept)). Take the Standard Deviation of these detrended VAMI's.
- Macro definition
- Efficiency Ratio definition
- Barclay CTA Index definition
- Style Analysis definition
- Relative Value Arbitrage definition