What is the Calmar ratio?

The Calmar ratio, also known as the Drawdown Ratio, is a performance assessment used to gauge the merits and downsides of hedge funds and commodity trading advisors. It was devised by Terry W Young. Where have you heard about the Calmar Ratio?

What does a sudden rise in the Calmar ratio mean?

A sudden rise in the Calmar ratio is a positive sign for the fund as the same is less prone to risk and deviations in the prices/nav and has started performing better. Alternatively, this implies the sudden fall in the Calmar ratio.

What is the difference between Sharpe ratio and Calmar ratio?

Two main differences between the two and, some would say weaknesses, of the Sharpe ratio are that it is calculated yearly and uses standard deviation in its formula. The first of these makes the Calmar ratio faster to respond to the actual state of the market.

What is MAR ratio?

It should be mentioned that a competitor newsletter, Managed Account Reports (founded in 1979 by publisher Leon Rose), had previously defined and popularized another performance measurement, the MAR Ratio, equal to the compound annual return from inception, divided by the maximum drawdown from inception .