Comparison, in Risk & Portfolio Construction
Calmar vs MAR Ratio
Calmar and MAR are close cousins from the managed-futures world, both designed to reward return per unit of worst-case loss rather than per unit of volatility. They share a structure, an annualized return on top and a maximum drawdown on the bottom, and they differ almost entirely in the measurement window. Calmar fixes a recent, rolling window so the number stays current. MAR uses everything since inception, so it gets steadily harder to flatter as the record lengthens and accumulates a deeper worst drawdown. This matrix compares the two and the consequences of that one design choice.
6 criteria. Published May 26, 2026. By AI Fin Hub Research.
Annualized return divided by maximum drawdown over a fixed recent window, conventionally the trailing three years. A current, rolling return-to-drawdown measure.
Pros
- Stays current by using a fixed recent window, so it reflects how the strategy behaves now
- Comparable across managers because everyone uses the same window length
- Less hostage to an ancient drawdown that no longer reflects the current approach
- Standard in managed futures, so the number is widely recognized and benchmarkable
Cons
- A fixed window can miss a severe drawdown that fell just outside it, flattering the ratio
- Still defined by a single worst-case event within the window, so it is noisy
- Sensitive to where the window happens to start and end relative to the worst loss
- Shorter window means fewer drawdown events, so the denominator is less stable
Comparing recent risk-adjusted performance across managers on a common, current window
Annualized return since inception divided by maximum drawdown over the entire track record. A whole-history, worst-case-aware return-to-drawdown measure.
Pros
- Uses the full history, so it accounts for the worst loss the strategy has ever taken
- Conservative: a longer record is more likely to have captured a genuine tail drawdown
- Hard to game by choosing a favorable window, since the window is the whole life
- Rewards strategies that have survived varied regimes without a catastrophic drawdown
Cons
- Penalizes long track records, since more history means more chances for a deeper drawdown
- Not comparable across managers with different inception dates and history lengths
- An old, regime-irrelevant drawdown can dominate and depress a currently strong strategy
- Still a single-event denominator, inheriting maximum drawdown's noisiness
Whole-history, worst-case evaluation of a single strategy and conservative due diligence on long records
Decision table
See the tradeoffs side by side
| Criterion | Calmar Ratio | MAR Ratio |
|---|---|---|
| Numerator | Annualized return, fixed window | Annualized return since inception |
| Drawdown window | Fixed recent, usually 3 years | Entire track record |
| Currentness | High, reflects recent behavior | Lower, blends all history |
| Conservatism | Moderate | High, captures worst-ever drawdown |
| Cross-manager comparability | Good, common window | Poor, differing histories |
| Window-selection risk | Can miss a drawdown outside the window | None, uses everything |
Verdict
Pick by the question you are answering. For comparing managers head to head on a like-for-like basis, the Calmar ratio's fixed recent window is the fairer choice, because everyone is measured over the same span and the number reflects current behavior rather than ancient history. For conservative due diligence on a single strategy, the MAR ratio is more honest, because it refuses to ignore the worst drawdown the strategy ever took, even if that means penalizing a long, battle-tested record. Be aware of each one's blind spot: Calmar can be flattered by a severe drawdown that fell just outside its window, and MAR can be unfairly depressed by an old drawdown that no longer reflects how the strategy is run. As with all drawdown ratios, both rest on a single worst-case event, so pair either with a path-aware measure like the Ulcer Performance Index when ranking by holding experience.
Run the numbers next
- Calculators Drawdown-Recovery Markov Simulator
Time to recover from an N% drawdown given monthly Sharpe + skew + kurtosis. Cornish-Fisher Monte Carlo, percentile distribution of recovery months.
- Calculators Risk-Adjusted Returns Calculator
Paste a returns CSV. Sharpe, Sortino, Calmar, Omega, alpha, beta, tracking error, information ratio, max drawdown, and tail moments — plus.
- Calculators Returns Distribution Analyzer
Paste a returns CSV. Histogram, normal QQ plot, skewness, excess kurtosis, Jarque-Bera test, tail-weight index. See why Sharpe alone misleads.
Questions people ask next
What window does the Calmar ratio use?
The conventional Calmar window is the trailing three years of monthly returns, both for the annualized return in the numerator and the maximum drawdown in the denominator. Some practitioners vary this, but three years is the standard that makes Calmar values comparable across managers. The fixed window is the whole point: it keeps the ratio current and stops a long-ago drawdown from dominating, which is exactly where it differs from the inception-to-date MAR ratio.
Why does the MAR ratio penalize longer track records?
Maximum drawdown is an extreme-value statistic that tends to grow with the length of the observation period, simply because more time offers more opportunities for an unusually deep peak-to-trough loss. Since MAR uses the entire history in its denominator, a strategy running for fifteen years almost certainly carries a larger worst drawdown than the same strategy measured over three years, which mechanically lowers the ratio even if recent performance is excellent.
Should I trust a high Calmar or a high MAR more?
Neither in isolation, because both divide by a single worst-case event and are therefore noisy and sample-dependent. A high Calmar tells you the recent risk-adjusted return looks strong on a common window; a high MAR tells you the strategy has avoided a catastrophic drawdown across its whole life. The most informative read is both together, plus a duration-aware metric, since two strategies with the same return-to-drawdown ratio can differ enormously in how long and how often they spent underwater.
Sources
- The Calmar Ratio , Terry W. Young, Futures Magazine (1991)
- Maximum Drawdown , Magdon-Ismail and Atiya, Risk Magazine (2004)
Keep the topic connected
- Learn Drawdown
Drawdown explained: peak-to-trough decline, why max drawdown alone is misleading, and the recovery math that actually matters.
- Learn Sharpe Ratio
Sharpe ratio defined, when it lies (skew, fat tails, autocorrelation), and how to read a Sharpe number you didn't compute yourself.
- Learn Sortino Ratio
Sortino ratio: same numerator as Sharpe, denominator only counts downside volatility. When it's the right number to look at.
- Learn Volatility
Volatility as the standard deviation of returns: realized vs implied, the annualization gotcha, and why volatility-of-volatility matters.