BacktestFolio · Glossary
Calmar
In plain language
If a portfolio has a CAGR of 6% and a maximum drawdown of -30%, the Calmar ratio is 0.20. Comparing Calmar across portfolios helps identify which earned the most for each euro 'lost' at the worst moment — useful because it penalises portfolios that grow but with violent crashes.
Technical definition
Ratio of CAGR to the absolute value of the maximum drawdown over the same period. Measures the return earned per unit of maximum loss sustained; higher values indicate a better risk/return profile expressed in terms of peak-to-trough loss.