Martin_Ratio Macro

This macro calculates the Martin Ratio by dividing the annualized excess return by the Ulcer Index. It orchestrates calls to several utility macros (%return_excess, %return_annualized, %Ulcer_Index) and combines the results via a DATA step using the LAG function to perform the division between the stacked results.

Data Analysis

Type : EXTERNAL

Input data is provided via the macro parameter 'returns'.

1 Code Block

MACRO

Explanation :
Definition of the macro accepting data parameters (returns), risk-free rate (Rf), time scale, and calculation method.

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1	%macro Martin_Ratio(returns, Rf= 0, scale= 1, method= DISCRETE, dateColumn= DATE, outData= MartinRatio);
2	... %mend;
3

2 Code Block

MACRO CALL

Explanation :
Calls to underlying macros to calculate excess returns, annualize them, and compute the Ulcer Index.

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1	%return_excess(...);
2	%return_annualized(...);
3	%Ulcer_Index(...);
4

3 Code Block

DATA STEP Data

Explanation :
Stacks annualized results and the Ulcer Index. Uses the LAG function to divide the value from the first table (return) by that from the second (risk) to obtain the ratio.

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1	DATA &outData (drop= &i);
2	SET &annualized &ulcer_index;
3	array Ulcer[*] &vars;
4	DO &i= 1 to dim(Ulcer);
5	Ulcer[&i]= lag(Ulcer[&i])/Ulcer[&i];
6	END;
7	RUN;

4 Code Block

DATA STEP Data

Explanation :
Finalization of the output table: adding the '_STAT_' label and keeping only the last observation containing the calculated ratio.

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1	DATA &outData;
2	FORMAT _stat_ $32.;
3	SET &outData END= last;
4	_STAT_= 'Martin Ratio';
5	IF last;
6	RUN;

5 Code Block

PROC DATASETS

Explanation :
Deletion of temporary work tables.

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1	PROC DATASETS lib=work nolist;
2	delete &ulcer_index &annualized;
3	RUN;
4	QUIT;

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