Calmar Ratio

What does it Mean? A ratio used to determine return relative to drawdown (downside) risk in a hedge fund.

Calculated as:
 
Investopedia Says... 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.

Terms Related Links

Compound Annual Growth Rate - CAGR
Drawdown
Hedge Fund
Sterling Ratio

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