Question 1

What is a good Calmar ratio?

Accepted Answer

Above 1 is generally solid — your annual return exceeds your worst drawdown. Above 3 is excellent and rare. Below 0.5 means you took a brutal drawdown for modest reward. Because it is built on the single worst loss, Calmar is a stern test of survivability rather than average smoothness.

Question 2

Why use max drawdown instead of volatility?

Accepted Answer

Volatility treats up and down swings the same, but what actually forces traders to quit is the deepest drawdown. Calmar puts that worst-case loss front and centre, so it rewards strategies you could realistically stick with through the pain, not just ones that look smooth on average.

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