Calmar Ratio

What is the 'Calmar Ratio'

The Calmar ratio is a comparison of the average annual compounded rate of return and the maximum drawdown risk of commodity trading advisors and hedge funds. The lower the Calmar Ratio, the worse the investment performed on a risk-adjusted basis over the specified time period; the higher the Calmar Ratio, the better it performed. Generally speaking, the time period used is three years, but this can be higher or lower based on the investment in question.

BREAKING DOWN 'Calmar Ratio'

Developed by Terry W. Young in 1991, the Calmar Ratio is short for California Managed Account Reports. The ratio is very similar to the MAR Ratio, which was formulated much earlier. The only difference is that the MAR Ratio is based on data produced from the inception of the investment, whereas the Calmar Ratio is typically based on more recent and shorter-term data. Regardless of which ratio is used, investors gain better insight as to the risk of various investments.

RELATED TERMS
  1. Compound Annual Growth Rate - CAGR

    The Compound Annual Growth Rate (CAGR) is the mean annual growth ...
  2. Hedge Fund

    An aggressively managed portfolio of investments that uses leveraged, ...
  3. Peak-To-Valley Drawdown

    A fund or money manager's largest cumulative percentage decline ...
  4. Drawdown

    The peak-to-trough decline during a specific record period of ...
  5. Sterling Ratio

    A ratio used mainly in the context of hedge funds. This risk-reward ...
  6. Derivative

    A security with a price that is dependent upon or derived from ...
Related Articles
  1. Options & Futures

    A Brief History Of The Hedge Fund

    Find out how this U.S.-born investment innovation became a $1-trillion industry that's both praised and vilified by the media.
  2. Options & Futures

    Hedge Funds: Higher Returns Or Just High Fees?

    Discover the advantages and pitfalls of hedge funds and the questions to ask when choosing one.
  3. Options & Futures

    Hedge Funds Hunt For Upside, Regardless Of The Market

    Hedge funds seek positive absolute returns, and engage in aggressive strategies to make this happen.
  4. Mutual Funds & ETFs

    3 Expensive Mid-Cap Mutual Funds Worth Your While (ETAGX, VMACX)

    Discover three mutual funds with above-average expense ratios and consistent outperformance of the S&P 500 Index and the Russell Mid-Cap Index.
  5. Mutual Funds & ETFs

    JANBX: Overview of Janus Balanced Fund

    Discover a balanced mutual fund with a solid performance history, weathering down markets and routinely outperforming equity indexes in up markets.
  6. Mutual Funds & ETFs

    Trends in Capital Flows: U.S. Equities

    Analyze asset flow data for U.S. equity mutual funds and ETFs from 2014 and 2015 to identify changes in demand, investor sentiment and outlook.
  7. Mutual Funds & ETFs

    Large Cap Mutual Funds: 5 Long-Term Portfolio Managers to Consider (FDGRX, TRBCX)

    Discover five mutual fund managers who have extensive investment experience, managing portfolios that have routinely outperformed their benchmarks.
  8. Mutual Funds & ETFs

    FREEX: A Performance Case Study

    Learn about the Franklin Real Estate Securities Fund, including a historical analysis per quarter of the fund's performance over the past decade.
  9. Mutual Funds & ETFs

    3 Expensive Global Bond Mutual Funds Worth Your While (FTIBX, AIBRX)

    Find out why these three funds with high management expense ratios may still be worth your consideration for global bond funds investing.
  10. Mutual Funds & ETFs

    5 Utilities Mutual Funds to Avoid in 2016 (FLRUX, MMUBX)

    Explore five utilities sector mutual funds that investors should avoid in 2016 due to below-average Sharpe ratios and high expense ratios.
RELATED FAQS
  1. How do drawdowns help assess investment risk?

    Learn how the concepts of drawdowns and maximum drawdowns are used in the analysis of risk, as well as in the building of ... Read Answer >>
  2. Do hedge funds and mutual funds invest in commodities in high inflation environments?

    Hedge funds and mutual funds are very different types of investment vehicles.The contents of a hedge fund are determined ... Read Answer >>
  3. Is a money market account the same as a money market fund?

    Discover the differences between money market accounts and money market funds, including minimum balance requirements, withdrawal ... Read Answer >>
  4. What typically comprises a money market fund?

    Learn about the basic types of money market funds and discover how they are characterized by the types of investments that ... Read Answer >>
  5. Do financial advisors get paid by mutual funds?

    Learn how mutual funds reimburse financial advisors for recommending that their clients invest in funds and stay invested ... Read Answer >>
  6. What advantages do exchange-traded funds have over mutual funds?

    Exchange-Traded Funds (ETFs) are growing ever more popular, as they were created to combine the best characteristics of both ... Read Answer >>
Hot Definitions
  1. Keynesian Economics

    An economic theory of total spending in the economy and its effects on output and inflation. Keynesian economics was developed ...
  2. Society for Worldwide Interbank Financial Telecommunications ...

    A member-owned cooperative that provides safe and secure financial transactions for its members. Established in 1973, the ...
  3. Generally Accepted Accounting Principles - GAAP

    The common set of accounting principles, standards and procedures that companies use to compile their financial statements. ...
  4. DuPont Analysis

    A method of performance measurement that was started by the DuPont Corporation in the 1920s. With this method, assets are ...
  5. Call Option

    An agreement that gives an investor the right (but not the obligation) to buy a stock, bond, commodity, or other instrument ...
  6. Economies Of Scale

    Economies of scale is the cost advantage that arises with increased output of a product. Economies of scale arise because ...
Trading Center