Calmar ratio is a performance measurement used to evaluate Commodity Trading Advisors and hedge funds. It was created by Terry W. Young and first published in 1991 in the trade journal Futures.

The Calmar ratio is a comparison of the average annual compounded rate of return and the maximum drawdown risk of commodity trading advisors and hedge funds. The lower the Calmar Ratio, the worse the investment performed on a risk-adjusted basis over the specified time period; the higher the Calmar Ratio, the better it performed. Generally speaking, the time period used is three years, but this can be higher or lower based on the investment in question.

Developed by Terry W. Young in 1991, the Calmar Ratio is short for California Managed Account Reports. The ratio is very similar to the MAR Ratio, which was formulated much earlier. The only difference is that the MAR Ratio is based on data produced from the inception of the investment, whereas the Calmar Ratio is typically based on more recent and shorter-term data. Regardless of which ratio is used, investors gain better insight as to the risk of various investments.

To calculate Calmar ratio, take the average annual rate of return over the past three years and divide it by the fund's maximum drawdown over that same time period. So if a fund's average annual rate of return is 50% and its maximum drawdown is 25%, its Calmar ratio is 2.

papers.ssrn.com [PDF]

… Holding return & risk free constant. As MDD increases, Calmar Ratio decreases and vice-versa … Strengths of the Omega Ratio: ▪ The Omega ratio is a … In comparison with other ratios, such as Sharpe and Sortino, it does not dependent on the normal distribution assumption …

www.tandfonline.com [PDF]

… Holding return & risk free constant. As MDD increases, Calmar Ratio decreases and vice-versa … Strengths of the Omega Ratio: ▪ The Omega ratio is a … In comparison with other ratios, such as Sharpe and Sortino, it does not dependent on the normal distribution assumption …

www.sciencedirect.com [PDF]

… Holding return & risk free constant. As MDD increases, Calmar Ratio decreases and vice-versa … Strengths of the Omega Ratio: ▪ The Omega ratio is a … In comparison with other ratios, such as Sharpe and Sortino, it does not dependent on the normal distribution assumption …

link.springer.com [PDF]

… Holding return & risk free constant. As MDD increases, Calmar Ratio decreases and vice-versa … Strengths of the Omega Ratio: ▪ The Omega ratio is a … In comparison with other ratios, such as Sharpe and Sortino, it does not dependent on the normal distribution assumption …

www.tandfonline.com [PDF]

… Holding return & risk free constant. As MDD increases, Calmar Ratio decreases and vice-versa … Strengths of the Omega Ratio: ▪ The Omega ratio is a … In comparison with other ratios, such as Sharpe and Sortino, it does not dependent on the normal distribution assumption …

www.sciencedirect.com [PDF]

… Holding return & risk free constant. As MDD increases, Calmar Ratio decreases and vice-versa … Strengths of the Omega Ratio: ▪ The Omega ratio is a … In comparison with other ratios, such as Sharpe and Sortino, it does not dependent on the normal distribution assumption …

papers.ssrn.com [PDF]

… Holding return & risk free constant. As MDD increases, Calmar Ratio decreases and vice-versa … Strengths of the Omega Ratio: ▪ The Omega ratio is a … In comparison with other ratios, such as Sharpe and Sortino, it does not dependent on the normal distribution assumption …

papers.ssrn.com [PDF]

… Holding return & risk free constant. As MDD increases, Calmar Ratio decreases and vice-versa … Strengths of the Omega Ratio: ▪ The Omega ratio is a … In comparison with other ratios, such as Sharpe and Sortino, it does not dependent on the normal distribution assumption …

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To calculate Calmar ratio, take the average annual rate of return over the past three years and divide it by the fund's maximum drawdown over that same time period. So if a fund's average annual rate of return is 50% and its maximum drawdown is 25%, its Calmar ratio is 2.