Calmar Ratio
Calmar Ratio compares a fund’s annualized return to its Maximum Drawdown over a period (typically 3 years). It is a downside-risk-aware performance metric favored by hedge funds and PMS strategies. Formula: Calmar = Annualized Return ÷ |
Calmar Ratio compares a fund’s annualized return to its Maximum Drawdown over a period (typically 3 years). It is a downside-risk-aware performance metric favored by hedge funds and PMS strategies.
Formula: Calmar = Annualized Return ÷ |Maximum Drawdown|
INR example: A mid-cap fund delivers 18% CAGR but had a 35% drawdown in March 2020. Calmar = 18% ÷ 35% = 0.51. Compare with a balanced advantage fund: 12% CAGR, 15% MDD → Calmar = 0.80. The BAF delivered better return-per-unit-of-pain despite lower headline CAGR.
When to use: When investor pain tolerance matters more than headline return — retirement portfolios, SWP funding, capital-preservation mandates. Calmar > 0.5 over 3 years is solid; > 1.0 is excellent.
SEBI note: Not a SEBI-mandated disclosure — compute from NAV history. Use peak-to-trough on daily NAVs for accuracy.
Related terms: Sortino Ratio, Maximum Drawdown, Sharpe Ratio.