Tag
#maximum-drawdown
2 articles
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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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What Is Maximum Drawdown? The Largest Peak to Trough Fall, Explained
Maximum drawdown is the largest fall from a portfolio's peak value to the lowest point that follows. It measures the worst loss an investor actually had to sit through.
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