Calmar ratio
Annual return divided by the deepest drawdown suffered to earn it.
Formula
Calmar = Annual return ÷ |Maximum drawdown|
Inputs
- Annual return. The yearly rate of return over the period.
- Maximum drawdown. The largest peak-to-trough fall in the same period.
How to read it
Higher is better: more return per unit of worst-case pain. Also called the MAR ratio.
How to use it
A pain-adjusted return for anyone who cares more about the worst drawdown than about day-to-day volatility.
Limitations
Rests on a single worst episode, so one bad week can define it.
In Kereon
Portfolio. The annualized mean daily return (mean × 252, not compound growth) ÷ the maximum drawdown of today's weights over their price history.
Strategies. CAGR (the plain return, for a test under a year) ÷ |maximum drawdown| over the whole backtest. Calmar and MAR are the same number here.
Investing · price record. CAGR of the price ÷ |maximum drawdown| over the loaded history. The rolling Calmar (1y) divides the trailing 252-session return by the deepest drawdown inside those sessions.
Also called: calmar, calmar ratio, calmar / mar, mar.