Calmar Ratio

Calculator · CC-BY-4.0

Compound annual return divided by maximum drawdown over a 36-month period. Popular among CTAs.

Details

• category: Risk-Adjusted Performance
• formula: Calmar = CAGR / |Max Drawdown|
• formula latex: \text{Calmar} = \dfrac{\text{CAGR}}{|\text{Max Drawdown}|}
• limitations: Sample-size dependent (single max-drawdown event), Sensitive to lookback window
• related terms: calmar-ratio, max-drawdown, cagr

Formula

Calmar = CAGR / |Max Drawdown|