The Calmar ratio divides the annual growth rate by the maximum drawdown. It puts the two numbers investors care about most into one: how fast the account grew, and how far it fell on the way. The classic definition uses the last 36 months; on this site it is computed over each strategy's whole backtest.
Calmar = CAGR ÷ |max drawdown|
Growth-Value Style Selection grew at +29.5% a year with a worst fall of -35.0%: 29.54 ÷ 34.97 = 0.84. A strategy with 30% CAGR and a 60% drawdown scores 0.5, so a higher annual rate alone does not make a strategy better on this measure.
Across 6 re-run strategies the Calmar ratio ranges from 0.47 to 0.84, median 0.64; 0 are at 1 or above.
Highest Calmar ratio — full table
Calmar = CAGR ÷ |max drawdown|
Growth-Value Style Selection grew at +29.5% a year with a worst fall of -35.0%: 29.54 ÷ 34.97 = 0.84. A strategy with 30% CAGR and a 60% drawdown scores 0.5, so a higher annual rate alone does not make a strategy better on this measure.
Across 6 re-run strategies the Calmar ratio ranges from 0.47 to 0.84, median 0.64; 0 are at 1 or above.
All strategy backtests, lowest drawdown first
Disclosure. Backtests are hypothetical simulations on historical data. They do not include every real-world cost, are not live results, and do not guarantee future returns. Educational research only, not investment advice.