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    Calmar Ratio

    Annual return divided by maximum drawdown, useful when peak-to-trough loss matters more than volatility.

    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|}

    Related terms

    Maximum DrawdownSortino Ratio

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