The Calmar Ratio represents the historical amount gained for each dollar risked. The m2 measure, also known as the Modigliani risk-adjusted performance measure, is a risk-adjusted performance measure.It is closely related to the Sharpe ratio, but does not have the downside of being ‘dimensionless’ measure.Moreover, in case of negative returns, the m2 measure continues to hold its meaning, while the Sharpe ratio very hard to interpret. Newer, tail-based measures like the Calmar ratio, the Sterling ratio, the Burke ratio, the Pain Index, and the Ulcer Index replace standard deviation in the denominator with a … If the Calmar ratio is high, the fund performed better. In the above example, an investor would be tempted to go for fund A, since it gives a higher annualized rate of return as compared to fund B. however if we compared the ratio of both the funds, the Calmar ratio of fund b is higher as compared to fund A. This is a commonly used hedge fund measure since such funds often employ hedging strategies to protect returns in down markets; hence, … A higher number is better. The Calmar Ratio is a ratio used to calculate the return of a hedge fund relative to the downside risk ().CR = CAR / MD where CR = Calmar Ratio CAR = Compounded Annual Return MD = Maximum Drawdown (use the absolute value - i.e. The Calmar Ratio is the annual return divided by the maximum peak to trough negative return. Traders with less than 36 months of data or a negative Calmar Ratio will be indicated by N/A. Select linear bars only. A higher number is better. Calmar Ratio – This ratio is calculated by dividing the annualized manager return by the max drawdown over a selected time period. The Calmar Ratio was authored by Terry W. Young in 1991. The higher the Calmar Ratio the better the instrument’s performance. Traders with less than 36 months of data or a negative Calmar Ratio will be indicated by N/A. A variation on the Sterling Ratio, this value is used to determine an investment’s Calmar Ratio return, relative to drawdown (downside risk), most commonly used with hedge funds. Unless otherwise denoted the Calmar Ratio is calculated by dividing the 36 month Compounded ROR by the 36 month Peak to Valley Drawdown. A negative Sharpe ratio indicates that the investor would have a better risk-adjusted rate of return using a risk-free investment. M2 measure. As it considers return per unit of risk, it is a better measure than just looking at the risk number in isolation. Terry W. Young developed the Calmar ratio in 1991, it is a performance measurement used to assess Commodity Trading Advisors and hedge funds. Unless otherwise denoted the Calmar Ratio is calculated by dividing the 36 month Compounded ROR by the 36 month Peak to Valley Drawdown. The Calmar Ratio represents the historical amount gained for each dollar risked. Calmar ratio is a risk-adjusted measure to see how a hedge fund or commodity trading fund is performing and whether it is worth investing in the same. ignore negative sign) The Calmar Ratio is typically calculated from 36 months (3 years) worth of data. Return over Maximum Drawdown (RoMaD) is a risk-adjusted return metric used as an alternative to the Sharpe Ratio or Sortino Ratio , used mainly when … A Little More on What is the Calmar Ratio. Hence fund A is riskier than fund B since it is more exposed to fluctuations in the NAV. Calmar Ratio of Fund B =0.5. The lower the Calmar Ratio, the worse the performance of the investment; the higher the Calmar Ratio… The Calmar ratio is an important tool when comparing the return of two different funds. The Calmar ratio is an appellate for the California Managed AccountsReports. Ratio represents the historical amount gained for each dollar risked the higher the Calmar Ratio is an tool. 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