Calmar Ratio

Filed Under » , ,
Dictionary Says

Definition of 'Calmar Ratio'

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.
Investopedia Says

Investopedia explains '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.

Sign Up For Term of the Day!

Try Our Stock Simulator!

Test your trading skills!

Related Definitions

  1. Compound Annual Growth Rate - CAGR

    The ...

  2. Drawdown

    The ...

  3. Hedge Fund

    An aggressively ...

  4. Sterling Ratio

    A ratio used ...

  5. Peak-To-Valley Drawdown

    A fund or money ...

  6. Fund Of Funds

    A mutual fund ...

  7. Paper Trade

    Simulated ...

  8. Portfolio

    A grouping of ...

  9. Financial Intermediary

    An entity that ...

  10. Strategic Asset Allocation

    A portfolio ...

Articles Of Interest

  1. 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. Hedge Funds Hunt For Upside, Regardless Of The Market

    Hedge funds seek positive absolute returns, and engage in aggressive strategies to make this happen.

  3. Hedge Funds: Higher Returns Or Just High Fees?

    Discover the advantages and pitfalls of hedge funds and the questions to ask when choosing one.

  4. Do hedge funds and mutual funds invest in commodities in high inflation environments?

  5. 12b-1: Understanding Mutual Fund Fees

    Many mutual funds charge investors a 12b-1 fee to pay for marketing and promotion expenses.

  6. 5 Common Misconceptions About ETFs

    The rise in these funds' popularity has contributed to misinformation about what they are and how they work. Learn more here.

  7. Using ETFs To Build A Cost-Effective Portfolio

    ETFs are a viable alternative to mutual funds, but before you invest, there are a few things you should know.

  8. 5 Things To Know About Asset Allocation

    Overwhelmed by investment options? Learn how to create an asset allocation strategy that works for you.

  9. 4 Strategies For Managing A Portfolio Of Mutual Funds

    Discover some common strategies to devise a plan and maintain your holdings to reflect it.

  10. Active Management: Is It Working For You?

    There are guidelines to be followed when comparing an actively-managed investment strategy with a benchmark.
Sponsored links

comments powered by Disqus
Hot Definitions

  1. Love Money

  2. Shark Watcher

  3. Judo Business Strategy

  4. Dogs Of The Dow

  5. Chinese Hedge

  6. X-Mark Signature

Recommended
Loading, please wait...
See More »
Trading Center