Calmar ratio
Annual return divided by the largest drawdown over the same period: how much was earned per unit of the most painful decline.
Formula
The return is annualised, the drawdown is the deepest over the same window taken as an absolute value. Both are stored as fractions.
How to read the number
It measures patience rather than dispersion: it sets the result against the loss the owner had to sit through without closing the position.
When the metric lies
Also known as: return to drawdown ratio