Portfolio Analytics
Calmar Ratio
Definition
What is Calmar Ratio?
Annualised return divided by maximum drawdown, commonly measured over a stated period.
Example in practice
How This Looks in Practice
A strategy returning 15% with a 10% maximum drawdown has a Calmar ratio of 1.5.
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Related Terms
Portfolio Analytics
Correlation
A statistic ranging from minus one to plus one that describes how two return series move together.
Portfolio AnalyticsPositive Correlation
A relationship in which two assets tend to move in the same direction.
Portfolio AnalyticsNegative Correlation
A relationship in which two assets tend to move in opposite directions.
Risk ManagementStress Test
An analysis of portfolio performance under severe but plausible scenarios.