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Term of the Day - September 21st, 2004
http://www.investopedia.com
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Term Of The Day: Calmar Ratio
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A ratio used to determine return relative to drawdown
(downside) risk in a hedge fund. Calculated by dividing the
compounded annual return by the maximum drawdown.
Investopedia Says:
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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 3 years.
Related Links:
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Article: What is the Calmar Ratio? (PDF)
http://click.investopedia.com/?RC=11030&AI=1098
Website: Calmar Ratios
http://www.cyberfutures.com/cmapt1.html
Related Terms:
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Compound Annual Return
http://www.investopedia.com/terms/c/cagr.asp
Drawdown
http://www.investopedia.com/terms/d/drawdown.asp
Hedge Fund
http://www.investopedia.com/terms/h/hedgefund.asp
Sterling Ratio
http://www.investopedia.com/terms/s/sterlingratio.asp
Have a Great Day!
The Investopedia Staff
http://www.investopedia.com
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