Calmar Ratio

Formula

Calmar = annualized return / |maximum drawdown|

Interpretation

Answers "how much return did I get for the worst drawdown I had to sit through," which Sharpe and Sortino don't directly capture.

What good looks like

Above 1.0 means annual return exceeded the worst drawdown; above 2.0 is strong.

What bad looks like

Below 0.5 means even a modest annual return required tolerating a large drawdown to get it.

Typical range

0.3–1.5 for most single-name signal strategies over a multi-year backtest.

How OmniSignal uses it

Drawdown is what actually drives investors to abandon a strategy at the worst time — Calmar keeps that front and center next to the headline return.

References

Young, T. (1991), the Calmar ratio, as used in managed-futures reporting