The Calmar Ratio is a return-to-risk ratio that divides annualized return by maximum drawdown. Both values are calculated using the most recent 36 months of performance history, or the entire available history if it is shorter.
Annualized (Rp) – Annualized portfolio return
MaxDDp – Portfolio maximum drawdown.
The Calmar Ratio can be calculated on a daily, monthly, or quarterly basis.
MAR Ratio
The MAR Ratio uses the same formula but evaluates the entire available performance history. It may therefore differ from the Calmar Ratio when a program has more than three years of history.
For example, dividing the annualized return since inception by the maximum drawdown since inception produces the MAR Ratio.
To display a full-history return-to-drawdown ratio in your factsheet, add MAR Ratio to the statistics table, or use it instead of Calmar Ratio, in the table settings.
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