Calmar Ratio
Annual return divided by maximum drawdown, useful when peak-to-trough loss matters more than volatility.
Category: Optimizer & Performance
What is Calmar Ratio?
A Calmar ratio of 1 means the strategy gained, on average per year, an amount equal to its worst drawdown. Common in managed futures and hedge fund performance reporting.
Formula
Calmar = \frac{R_{ann}}{|MDD|}