A return/risk ratio. The return (numerator) is defined as the compound annualized return over the last 3 years, and the risk (denominator) is defined as the maximum drawdown (in absolute terms) over the last 3 years. (If there is not 3 years of data, the available data is used.)
Calmar Ratio = Compound Annualized ROR ¸ ABS (Maximum Drawdown )
Investors who are required to select and monitor investment managers should develop a basic understanding of investment statistics. Quantitative tools can provide you with good insight that you can use in your qualitative interviews with managers and when monitoring your investments.