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Tue05222012

Last update09:26:50 PM GMT

Back Thuật Ngữ C Calmar Ratio

Calmar Ratio

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A ratio used to determine return relative to drawdown (downside) risk in a hedge fund.

Calculated as:

\text{Calmar Ratio} = \left( \frac{\text{Compound Anuation Return}}{\text{Maximum Drawdown}}\right)

Generally speaking, the higher the Calmar ratio, the better. Some funds have high annual returns, but they also have extremely high drawdown risk. This ratio helps determine return on a downside risk-adjusted basis. Most people use data from the past three years.

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