Performance & Risk Metrics
MAR Ratio
A risk-adjusted performance metric that divides annualized return by the maximum drawdown experienced over a measurement period, indicating how efficiently a strategy generates profit relative to peak-to-trough loss exposure.
The MAR Ratio (Managed Account Reports Ratio) divides a strategy's annualized return by its maximum drawdown. It is essentially the Calmar Ratio computed over the full track record rather than a trailing window. A high MAR Ratio means the strategy compounded steadily without a deep loss; a low one means returns came with a painful worst-case decline.
Because the denominator is the worst drawdown ever recorded, the MAR Ratio almost always falls as a track record lengthens: more history means more chances to have seen a deep loss. That makes it most fair when comparing strategies measured over the same span.
Formula
- Ra
- Annualized return of the strategy or trader over the period
- DDmax
- Maximum drawdown, expressed as a negative value representing peak-to-trough percentage decline