Definition of a Calmar Ratio

Excerpts from Building Wealth with Managed Futures

The Calmar Ratio "...Represents the historical amount gained for each dollar risked …
it is calculated over the last 36 month period." Page 37

Detailed information on this and other statistical performance measurements used by the managed futures industry to evaluate CTA performance can be found in Building Wealth with Managed Futures an easy to understand guide to investing in managed futures."      To Purchase

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The Calmar Ratio a return/reward measurement that divides the Average Annual Compounded Rate of Return by the Maximum Drawdown.

Calmar Ratio = Annualized Compound ROR / Maximum Drawdown Calmar Ratio