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Definition of 'Calmar Ratio'
A ratio used to determine return relative to drawdown (downside) risk in a hedge fund.
Calculated as:
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Investopedia explains 'Calmar Ratio'
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 three years.
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Search results for 'Calmar Ratio'
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http://www.investopedia.com/articles/optioninvestor/05/070605.asp
... required to obtain the respective returns is quite different: the 10%-return program
with a 10% return has a return-to-drawdown ratio (see Calmar Ratio) of 5 ...
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http://www.investopedia.com/articles/professionaleducation/08/commodity-traders.asp
... Focus on generating returns that are not only near the top in terms of risk-adjusted
metrics (eg Sharpe ratio, Calmar ratio, Sterling ratio, etc.) of your ...
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