Calmar Ratio
The Calmar Ratio is a risk-adjusted performance metric that divides a portfolio's compounded annual growth rate (CAGR) by its maximum drawdown over the same period.
Example: An analyst compares two portfolios over five years. Portfolio A has a CAGR of 7% and a maximum drawdown of 14%, yielding a Calmar Ratio of 0.50; Portfolio B has a CAGR of 9% with a maximum drawdown of 25%, yielding 0.36. This helps assess risk-adjusted performance across the same horizon.
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