Calmar Ratio

View Financial Glossary Index

Definition

The California Managed Account Reports Ratio or Calmar Ratio is a comparison of the average annual compounded rate of return and the maximum drawdown risk of commodity trading advisers and hedge funds.

Formula

Calmar Ratio = average(rasset - rf) / Max Drawdown

(Both average excess returns and max drawdown are taken over a specified time period. Average excess returns are based on annual periods.)

Are you an investing professional?

Click here to request a live demo of YCharts Professional, our premium suite of tools and data.
Learn more about our professional products. Call (866) 965-7552 or email sales@ycharts.com

Advertisement

{{root.upsell.info.feature_headline}}.

{{root.upsell.info.feature_description}}

Please note that this feature is only available as an add-on to YCharts subscriptions.


Please note that this feature requires full activation of your account and is not permitted during the free trial period.

Start My Free Trial {{root.upsell.info.call_to_action}} No credit card required.

Already a subscriber? Sign in.