Term Glossary

Metrics, Models & Concepts

Calmar Ratio

Calmar Ratio (short for California Managed Account Ratio) was created by Terry W Young in 1991 and is also called the Drawdown ratio. It measures return per unit of risk, with risk defined as the maximum drawdown. \begin{equation} \text{Calmar Ratio}=\frac{r}{MD} \end{equation}

asset return
maximum drawdown

Function Reference
portfolio_calmarRatio, position_calmarRatio