Tag
#calmar-ratio
2 articles
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Sharpe vs Sortino vs Calmar: Which Risk-Adjusted Ratio Answers Which Question?
Sharpe, Sortino and Calmar all divide return by risk, but each defines risk differently: total volatility, downside volatility, and worst peak-to-trough loss.
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What Is the Calmar Ratio? Return Measured Against Maximum Drawdown
The Calmar ratio divides annualised return by the worst peak-to-trough fall over the same period. It is a pain-adjusted measure of whether the return justified the depth.
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