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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.

A ratio used to determine returns relative to drawdown´s (downside) risk in a futures portfolio or other similar investment vehicles. The Calmar ratio is determined by dividing the compounded annual return by the maximum drawdown, using the absolute value.

Generally speaking, the higher the Calmar ratio the better. Some programs have high annual returns, but they also have extremely high drawdown risk. This ratio helps determine return on a downside risk–adjusted basis. Most Calmar ratios utilize 3 years of data.

 

 

 

 

 

 

 

 


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Past performance is not necessarily indicative of future results. Trading commodity futures, options, and foreign exchange ("forex") involves substantial risk of loss and is not suitable for all investors. In no way is the advisor of the month a direct recommendation of aiSource or any of its affiliates. Please carefully review the disclosure documents and any other promotional material prior to investing with any program. Managed accounts and/or managed futures are very risky and may not be suitable for all investors. Please consult with a Managed Futures specialists prior to investing.