How to compare all columns with one column in pandas?

You can use df.apply:

In [670]: df.iloc[:, :-1]\
            .apply(lambda x: np.where(x > df.THRESHOLD, 1, -1), axis=0)\
            .add_suffix('_CALC')
Out[670]: 
            A_CALC  B_CALC
Date                      
2011-01-01      -1      -1
2012-01-01      -1      -1
2013-01-01       1       1
2014-01-01       1       1
2015-01-01       1       1

If THRESHOLD is not your last column, you'd be better off using

df[df.columns.difference(['THRESHOLD'])].apply(lambda x: np.where(x > df.THRESHOLD, 1, -1), axis=0).add_suffix('_CALC')

Or maybe you can try this , by using subtract, should be faster than apply

(df.drop(['THRESHOLD'],axis=1).subtract(df.THRESHOLD,axis=0)>0)\
    .astype(int).replace({0:-1}).add_suffix('_CALC')