Calmar ratio
Annual return per unit of the worst fall it took to get it.
In the demo portfolio
0.26
How it is computed here
The annualised excess return divided by the maximum drawdown — the third version of the same ratio, after Sharpe divides by volatility and Martin by the ulcer index.
Worked example
- Annual return +10.4% ÷ worst fall 39.4% = 0.26.
Demo portfolio: four invented companies, generated prices, measured by the real engine. Past returns do not predict future ones.
Where it misleads
It hangs on one single day of the whole history, so it is the most fragile of the three. The same portfolio measured to February 2020 and to April 2020 gives numbers that do not resemble each other.