InsidersTradesSigma
Performance & Risk Metrics
A risk-adjusted performance metric that divides annualized return by maximum drawdown to measure excess return per unit of downside risk.
Unlike the Sharpe Ratio, which penalizes all volatility equally, the Calmar Ratio focuses on the severity of peak-to-trough declines. That makes it useful where avoiding a catastrophic loss matters more than smoothing day-to-day noise. A high Calmar means the return was earned without a deep drawdown along the way.
Used as a defensive filter, the ratio flags strategies with excessive tail risk or hidden leverage. A Calmar that deteriorates over rolling windows can mark a regime change or factor crowding. It is most informative alongside volatility and the information coefficient, which together help separate skill-based alpha from luck.
Formula