Calmar ratio
Shows how much annual return was earned per unit of worst drawdown.
Calmar connects growth speed with the deepest drawdown. If Sharpe looks at normal monthly bumpiness, Calmar asks whether the annual pace was worth the worst hole already seen in the history.
The metric helps separate fast but dangerous growth from a more controlled result. It is especially useful when two accounts have similar return but very different drawdown.
Calmar below 1 means the annual pace is smaller than the worst drawdown. 1-3 is often read as a workable to strong range, and above 3 looks excellent, but history length and data quality still matter. If drawdown is below 1%, the ratio is not calculated, so a near-zero denominator does not create huge numbers.
Example: annualized return is 24% and max drawdown is 12%. Calmar = 24 / 12 = 2.0. If return is still 24% but drawdown is 40%, Calmar falls to 0.6.
How we compute it
Annualized return comes from the same monthly TWR chain as annual forecast, while the denominator is max equity/NAV drawdown. If drawdown is below 1%, the ratio is not calculated.