Welcome to BarclayHedge

#1 Alternative Investment Resource
See hedge fund rankings, indices, exclusive third party research, and more when you join for FREE.

Instant access after activation.

Not a member yet? Sign up!

X Member Login

I agree to Terms of Use
Lost your password?
Contact us: +1 (641) 472-3456
Secure Member Login

User ID/Email Address:


I Agree to Terms of Use

Forgot your
Click Here  

New User?
Free Member

Barclay Ratio

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.

FREE Live Data on 6752 Hedge Funds & CTAs

Related Terms:

Back to definitions home page >>


back to top

Home | Privacy | About Us | Blog | Articles | Terms of Use | Advertise | Contact Us | Follow Us Follow us on Twitter | © BarclayHedge, Ltd