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Calmar Ratio

Annualized return divided by maximum drawdown.

The Calmar ratio compares a portfolio's annualized return to its maximum drawdown, measuring return per unit of drawdown risk. It's popular among hedge funds and CTAs. A Calmar ratio above 1.0 means the annualized return exceeds the worst historical drawdown.

Formula
Calmar=Annualized Return∣Max Drawdown∣\text{Calmar} = \frac{\text{Annualized Return}}{|\text{Max Drawdown}|}

Related Terms

Maximum Drawdown

The largest peak-to-trough loss before recovery — the worst realized loss.

Sharpe Ratio

Risk-adjusted return: excess return divided by volatility.