Calmar ratio

Quantitative Finance Glossary

Calmar = dfracAnnualised Return|Maximum Drawdown| — return per unit of worst-case peak-to-trough loss. Preferred by managed-futures and CTA strategies because MDD is the redemption-triggering metric institutional allocators monitor, more so than volatility. Sensitive to the sample window (a longer window almost always contains a deeper drawdown). The Sterling ratio is a close cousin using average annual drawdown.

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