Calmar Ratio

Risk Metrics

A risk-adjusted performance metric calculated as the average annual return divided by the maximum drawdown. For example, a strategy with 15% annual return and a maximum drawdown of 30% has a Calmar Ratio of 0.50. The Calmar Ratio penalizes strategies with large drawdowns, making it particularly useful for evaluating downside protection—a key concern for risk-conscious investors.

Mentioned in this definition

DrawdownMaximum Drawdown

More in Risk Metrics

Bear MarketBetaBull MarketCorrelationSharpe RatioSortino RatioSystematic RiskVaR (Value at Risk)Volatility

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