Calmar Ratio

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Calmar ratio is a performance measure that is used in comparing Commodity Trading Advisors (CTA's) or alternative asset managers. It is the absolute value of the ratio of the annual compounded return divided by the largest drawdown incurred to date.

It is also quite commonly referred to the MAR ratio. Calmar or MAR ratio's of 1 are very rare in real world trading for an extended period of time. From this we can infer that if we are striving for a compounded annual return of 20% than we can expect our largest drawdown to be at least -20%.

$C A L M A R R A T I O = A b s o l u t e (C o m p o u n d e d A n n u a l R e t u r n / M a x i m u m D r a w d o w n)$