Portfolio Analytics
Calmar Ratio
Definition
What is Calmar Ratio?
Annualised returnA return converted into an equivalent yearly rate to make periods easier to compare. divided by maximum drawdownThe largest peak-to-trough decline over a measurement period., commonly measured over a stated period.
Example in practice
How This Looks in Practice
A strategy returning 15% with a 10% maximum drawdown has a Calmar ratio of 1.5.
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A relationship in which two assets tend to move in opposite directions.
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An analysis of portfolio performance under severe but plausible scenarios.