Calmar ratio
InvestingDefinition
Annualized return divided by the maximum drawdown. A simple, intuitive risk-adjusted return metric that focuses on the worst-case loss the strategy has actually produced. Popular among CTAs and managed futures funds.
Higher = better. Above 1.0 = your average annual return exceeds your worst drawdown — a strategy you can stomach.
Higher = better. Above 1.0 = your average annual return exceeds your worst drawdown — a strategy you can stomach.
Formula
Calmar = CAGR / Max drawdown (absolute value)
Example
A strategy returns 15% CAGR but had a 30% max drawdown → Calmar = 0.5. Another returns 12% with a 10% max DD → Calmar = 1.2. The second strategy is more capital-efficient even though it has lower headline return.