What you need to know about the Calmar Ratio. It is necessary to take a more complete perspective and examine several metrics in the evaluation. To be any useable, I think a calmar ratio over a rolling 3 months or 6 months would be good already. A Little More on What is the Calmar Ratio. Since its first publication in 1991, many investors and financial advisors have found the Calmar Ratio extremely useful. Short for California Managed Account Reports, the Calmar Ratio was developed in 1991 by Terry W. Young, and compares the average annual compounded rate of return and the maximum drawdown risk of commodity trading advisors and hedge funds. Calmar Ratio is one of many statistics used to measure return vs. risk. Every investment comes with a certain amount of risk attached and a way to quantify risk is important to making good investment decisions. The Calmar ratio is similar to the Mar ratio, developed much earlier. The Sharpe ratio often misses the inherent risk of convergent strategies. It is calculated on a monthly basis. This Excel spreadsheet calculates the Calmar Ratio for the S&P500 over a three year period from October 24th 2008. The Calmar ratio is an appellate for the California Managed AccountsReports. So,….enter the Sortino and Calmar ratios: The Sortino ratio: Essentially the same thing as the Sharpe ratio except that instead of using standard deviation of all volatility, it only uses the standard deviation of downside volatility. If the Calmar ratio is high, the fund performed better. _____SharpeR CalmarR SortinoR Optimized Strategy Maximizing Sharpe Ratio 1.82 0.48 2.3 Optimized Strategy Maximizing Calmar Ratio 1.48 0.69 2 Conceptually, the Sharpe Ratio divides the average return of an investment by the standard deviation of its returns. The Calmar ratio is a risk-adjusted performance measure in which maximum drawdown is the greatest loss that an investor can incur by buying an asset at its highest value and selling it at its lowest value (Young, 1991). The Calmar ratio is another ratio that measures the same metrics but instead only looks at the past 36 months. The Calmar ratio is a useful metric for comparing several investment portfolios in a simple way, but in my opinion it is not good to judge a trading system solely by one ratio. Calmar ratios are generally calculated using 36 months of data. Skewness – Skewness is measured as a coefficient, with the ability for the coefficient to be a positive, negative or zero. A longer one over the standard 3 years can always be added in 2017 ;-) The existing ranking based on total return is nice to keep, some people like to gun for highest … A Calmar Ratio of. The standard deviation is taken as a measure of the investment's risk. 1 or higher is considered good, 3 or higher is considered excellent, and 5 or higher indicates excellent performance; Calmar Ratio in Excel. The Calmar Ratio. Among traders, a Calmar ratio of 1plus is considered good, 3 plus is excellent and 5 plus is awesome. The Calmar ratio measures the annualized rate of return over an investment's absolute drawdown value. Terry W. Young developed the Calmar ratio in 1991, it is a performance measurement used to assess Commodity Trading Advisors and hedge funds. The coefficient of skewness is a measure for the degree of symmetry in the monthly return distribution. The lower the Calmar Ratio, the worse the performance of the investment; the higher the Calmar Ratio, the better the performance. A Calmar ratio of 3.0 to 5.0 is really good. 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