Calmar Ratio
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. Related Terms:
Compound Annual Growth Rate - CAGR
Drawdown
Hedge Fund
Sterling Ratio |