Definition
Calmar ratio = annualized return / |max drawdown|. Good when you care most about the worst-case scenario. Above 1.0 = the strategy returns more per year than its worst observed drawdown. Above 3.0 = exceptional.
Calmar ratio
Annualized return divided by absolute max drawdown.
Frequently asked questions
What is Calmar ratio?
Calmar ratio = annualized return / |max drawdown|. Good when you care most about the worst-case scenario. Above 1.0 = the strategy returns more per year than its worst observed drawdown. Above 3.0 = exceptional.