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Calmar Ratio

Return/risk ratio. Return is defined as the compound annualized rate of return over the last 3 years, risk as the maximum drawdown over the last 3 years. If the performance history is shorter than 3 years, the available data is used.

Calmar Ratio Formula

Annualized (Rp) – Annualized portfolio return
MaxDDp – Portfolio maximu drawdown

The Calmar Ratio can be calculated on a daily, monthly, or quarterly basis.

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