Calmar / MAR Ratio — Drawdown-Adjusted Return

The Calmar Ratio (also called MAR — Managed Account Reports ratio) divides annualised CAGR by the maximum drawdown over the same period: Calmar = CAGR / |Max Drawdown|. It is the go-to metric for evaluating strategies where deep drawdowns destroy compounding (PMS, hedge funds, F&O strategies).

Worked INR example

Small-cap fund: 5-year CAGR 18%, max drawdown −38% (2022 small-cap crash). Calmar = 18/38 = 0.47. Compare to NIFTY 50 ETF: CAGR 13.5%, max DD −24%. Calmar = 0.56 — the ETF is better on this metric despite lower headline return because the drawdown was milder. PMS portfolios typically target Calmar > 0.5 over a full cycle.

When to use

• Evaluating SEBI PMS strategies where 3-year CAGR is shown but DD is hidden
• F&O / option-selling strategies where tail risk dominates
• Comparing rolling 3-year Calmar across cycles to gauge consistency

SEBI caveat

SEBI PMS disclosures from Oct 2021 onwards include drawdown — verify the Calmar from raw data, don't take manager-reported numbers. Calmar penalises one bad drawdown forever (max-DD never decreases) — use rolling Calmar to spot recent improvement.

Related terms: Calmar Ratio, Drawdown, Sterling Ratio.