Calmar Ratio
The Calmar ratio divides annualised return by the worst peak-to-trough drawdown, rewarding strategies that grow without deep collapses. It’s close kin to ROMAD and prized by those who care most about surviving the bad stretches.
The Calmar ratio divides annualised return by the worst peak-to-trough drawdown, rewarding strategies that grow without deep collapses. It’s close kin to ROMAD and prized by those who care most about surviving the bad stretches.