Calmar Ratio

Calmar Ratio

A ratio used to determine return relative to drawdown (downside) risk in a hedge fund.

Calculated as:

Notes:

Generally speaking, the higher the Calmar ratio, the better. Some funds have high annual returns, but they also have extremely high drawdown risk. This ratio helps determine return on a downside risk adjusted basis. Most people use data from the past 3 years.

See also: Compound Annual Return, Drawdown, Hedge Fund, Sterling Ratio