Calmar Ratio
网友投稿• 2022-01-05 14:28:29 •阅读68
A ratio used to determine return relative to drawdown (downside) risk in a hedge fund. Calculated as:
Generally speaking, the higher the Calmar ratio, the better. Some funds have high annual returns, but they also have extremely high drawdown risk. This ratio helps determine return on a downside risk-adjusted basis. Most people use data from the past three years.
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