Calmar Ratio Calculator

✖Average Rate of Return is the average annual return (profit) from an investment. It is calculated by dividing the average annual profit by the cost of investment and multiplying by 100 percent.ⓘ Average Rate of Return [ARR]			+10% -10%
✖Maximum Drawdown is the maximum observed loss from a peak to a trough of a portfolio, before a new peak is attained. Maximum drawdown is an indicator of downside risk over a specified time period.ⓘ Maximum Drawdown [MDD]			+10% -10%

✖Calmar Ratio is is a measure of risk-adjusted returns for investment funds which uses a fund’s maximum drawdown as its sole measure of risk.ⓘ Calmar Ratio [CR]

⎘ Copy

👎

Formula

✖

Calmar Ratio

Formula

`"CR" = ("ARR"/"MDD")*-1`

Example

`"0.24"=("12"/"-50")*-1`

Calculator

LaTeX

Reset

👍

Download Risk Management Formulas PDF PDF Image

Calmar Ratio Solution

STEP 0: Pre-Calculation Summary

Formula Used

Calmar Ratio = (Average Rate of Return/Maximum Drawdown)*-1
CR = (ARR/MDD)*-1
This formula uses 3 Variables

Variables Used

Calmar Ratio - Calmar Ratio is is a measure of risk-adjusted returns for investment funds which uses a fund’s maximum drawdown as its sole measure of risk.
Average Rate of Return - Average Rate of Return is the average annual return (profit) from an investment. It is calculated by dividing the average annual profit by the cost of investment and multiplying by 100 percent.
Maximum Drawdown - Maximum Drawdown is the maximum observed loss from a peak to a trough of a portfolio, before a new peak is attained. Maximum drawdown is an indicator of downside risk over a specified time period.

STEP 1: Convert Input(s) to Base Unit

Average Rate of Return: 12 --> No Conversion Required
Maximum Drawdown: -50 --> No Conversion Required

STEP 2: Evaluate Formula

Substituting Input Values in Formula

CR = (ARR/MDD)*-1 --> (12/(-50))*-1

Evaluating ... ...

CR = 0.24

STEP 3: Convert Result to Output's Unit

0.24 --> No Conversion Required

FINAL ANSWER

0.24 <-- Calmar Ratio

(Calculation completed in 00.004 seconds)

You are here -

Home » Financial » Common Probability Distribution » Risk Management » Calmar Ratio

Credits

Created by Keerthika Bathula

Indian Institute of Technology, Indian School of mines, Dhanbad (IIT ISM Dhanbad), Dhanbad

Keerthika Bathula has created this Calculator and 50+ more calculators!

Verified by Vishnu K

BMS College of Engineering (BMSCE), Bangalore

Vishnu K has verified this Calculator and 200+ more calculators!

< 20 Risk Management Calculators

Risk Adjusted Return on Capital

Go Risk Adjusted Return on Capital = (Revenue-Expenses-Expected Loss+Income From Capital)/Capital Cost

Sortino Ratio

Go Sortino Ratio = (Expected Portfolio Return-Risk Free Rate)/Standard Deviation of Downside

Maximum Drawdown

Go Maximum Drawdown = ((Trough Value-Peak Value)/Peak Value)*100

Modigliani-Modigliani Measure

Go Modigliani-Modigliani measure = Return on Adjusted Portfolio-Return on Market Portfolio

Interest Rate Risk

Go Interest Rate Risk = (Original Price-New Price)/New Price

Sterling Ratio

Go Sterling Ratio = (Compound Annual Growth Rate/(Average Maximum Drawdown-10))*-1

Risk Tolerance

Go Risk Tolerance = (Public Equity Exposure*0.35)/Monthly Gross Income

Market Risk Premium

Go Market Risk Premium = Expected Equity Market Rate-Risk Free Rate

Basis Risk

Go Basis Risk = Future Price of Contract-Spot Price of Hedged Asset

Credit Value at Risk

Go Credit Value at Risk = Worst Credit Loss-Expected Credit Loss

Economic Capital

Go Economic Capital = Earnings at Risk/Required Rate of Return

Calmar Ratio

Go Calmar Ratio = (Average Rate of Return/Maximum Drawdown)*-1

Upside/Downside Ratio

Go Upside/Downside Ratio = Advancing Issues/Declining Issues

Credit Spread

Go Credit Spread = Corporate Bond Yield-Treasury Bond Yield

Probability of Default Regression Model

Go Probability of Default = 1/(1+exp(-Linear Combination))

Default Risk Premium

Go Default Risk Premium = Interest Rate-Risk Free Rate

Pain Ratio

Go Pain Ratio = Effective Return/Pain Index

Risk Exposure

Go Risk Exposure = Risk Impact*Probability

Risk Determination

Go Risk = Risk Impact*Likelihood

Loss Given Default

Go Loss Given Default = 1-Recovery Rate

Calmar Ratio Formula

Calmar Ratio = (Average Rate of Return/Maximum Drawdown)*-1
CR = (ARR/MDD)*-1

What is Calmar Ratio?

The Calmar ratio indicates the relationship between risk and return. It is a function of the expected annual rate of return and the maximum drawdown over the previous three years. It is used to assess the success of various hedge funds and make investment decisions. A high ratio implies that it has higher returns on a risk-adjusted basis over the specified timeframe, usually set at 36 months.

How to Calculate Calmar Ratio?

Calmar Ratio calculator uses Calmar Ratio = (Average Rate of Return/Maximum Drawdown)*-1 to calculate the Calmar Ratio, The Calmar Ratio is a function of the expected annual rate of return and the maximum drawdown over the previous three years. Calmar Ratio is denoted by CR symbol.

How to calculate Calmar Ratio using this online calculator? To use this online calculator for Calmar Ratio, enter Average Rate of Return (ARR) & Maximum Drawdown (MDD) and hit the calculate button. Here is how the Calmar Ratio calculation can be explained with given input values -> 0.6 = (12/(-50))*-1.

FAQ

What is Calmar Ratio?

The Calmar Ratio is a function of the expected annual rate of return and the maximum drawdown over the previous three years and is represented as CR = (ARR/MDD)*-1 or Calmar Ratio = (Average Rate of Return/Maximum Drawdown)*-1. Average Rate of Return is the average annual return (profit) from an investment. It is calculated by dividing the average annual profit by the cost of investment and multiplying by 100 percent & Maximum Drawdown is the maximum observed loss from a peak to a trough of a portfolio, before a new peak is attained. Maximum drawdown is an indicator of downside risk over a specified time period.

How to calculate Calmar Ratio?

The Calmar Ratio is a function of the expected annual rate of return and the maximum drawdown over the previous three years is calculated using Calmar Ratio = (Average Rate of Return/Maximum Drawdown)*-1. To calculate Calmar Ratio, you need Average Rate of Return (ARR) & Maximum Drawdown (MDD). With our tool, you need to enter the respective value for Average Rate of Return & Maximum Drawdown and hit the calculate button. You can also select the units (if any) for Input(s) and the Output as well.

Home

FREE PDFs

🔍 Search