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Quant Corner
:: Calmar Ratio
Posté le 06-Nov-2006 par Raisepartner

The Calmar ratio measures the return relative to drawdown (downside) risk of a financial instrument.

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.