MAR and Calmar Ratios: Identical twins, with Opposite Personalities

This post is part of an ongoing series on the Attain Capital blog that seeks to help investors understand the various metrics we use to evaluate managers. Stay tuned for future pieces!


With the stock market at all time highs, having left managed futures in the dust over the past 4 years (S&P +100%, Managed Futures = -.13% since March 2009), it’s easy to forget why one would diversify into the asset class. It’s easy to forget about risk adjusted performance.

Enter the Calmar and the Mar Ratios. They measure return per unit of risk, with risk defined as the maximum drawdown (versus risk as volatility – Sharpe, downside volatility – Sortino, or average drawdown – Sterling). The max drawdown, remember – is the most drawdown or loss experienced over all time. In the case of CTA’s, maximum drawdown is reported on a month to month basis. Compound Rate of Return is return over the span of a time frame of your choice (6 mo, 1yr, 10yr). So the formula for MAR is simply dividing the Compound ROR by Max DD.

MAR = (Compound ROR) / (Max DD)

For you newcomers out there, the CALMAR ratio is slightly different. Some assume the MAR ratio refers to a shortening of the CALMAR name, but there is a key difference. The MAR ratio usually analyzes data from the inception of the program (although it can easily be used to analyze any period within a track record), whereas the CALMAR ratio typically analyzes a shorter time period, usually 36 months of data.

CALMAR = (36mo Compound ROR) / (Max DD past 36mo)

At first glance you may think there wouldn’t be much of a difference between the two risk adjusted metrics, but all we need to do is consider the stats from our old friend the S&P 500 to see how different these metrics can be:

MAR and CalMar Data

(Disclaimer: Past Performance in not necessarily indicative to future results.)

Looking just at the MAR, on what we will generously call ‘since inception’ data (knowing the S&P 500 has been around a lot longer than that), Managed Futures is nearly 3 times better than the stock market in terms of risk adjusted returns. But flip the period to just the past 36 months – and stocks are almost 13 times better than managed futures in terms of risk adjusted performance. Which is right, which is wrong? The beauty is in the eye of the beholder, so to speak. If you have a long investment timeline and aren’t interested in outperforming this benchmark or that in any one year – the MAR is likely better for you. If you are more of a ‘what have you done for me lately’ type of person – then the CALMAR might suit you more.

You can sort and rank programs by MAR ratio (and dozens of other metrics)  on our website for free. Click here to try it out. 

Related Posts:

Sharpe Ratio explained

Sortino Ratio explained

Backwardation – Contango

Hidden Max Drawdown




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Forex trading, commodity trading, managed futures, and other alternative investments are complex and carry a risk of substantial losses. As such, they are not suitable for all investors.

The entries on this blog are intended to further subscribers understanding, education, and – at times- enjoyment of the world of alternative investments through managed futures, trading systems, and managed forex, and is not intended as investment advice, or an offer or solicitation for the purchase or sale of any financial instrument. Unless distinctly noted otherwise, the data and graphs included herein are intended to be mere examples and exhibits of the topic discussed, are for educational and illustrative purposes only, and do not represent trading in actual accounts. Opinions expressed are that of the author.

*The mention of specific asset class performance (i.e. +3.2%, -4.6%) is based on the noted source index (i.e. Newedge CTA Index, S&P 500 Index, etc.), and investors should take care to understand that any index performance is for the constituents of that index only, and does not represent the entire universe of possible investments within that asset class. And further, that there can be limitations and biases to indices such as survivorship and self reporting biases, and instant history.

The mention of general asset class performance (i.e. managed futures did well, stocks were down, bonds were up) is based on Attain’s direct experience in those asset classes, estimates of performance of dozens of CTAs followed by Attain, and averaging of various indices designed to track said asset classes.

It should be noted that past market performance is not indicative of future market movement.No market data or other information is warranted by Attain Capital Management as to completeness or accuracy, express or implied, and is subject to change without notice.

Managed Futures Disclaimer:

Past Performance is Not Necessarily Indicative of Future Results. The regulations of the CFTC require that prospective clients of a managed futures program (CTA) receive a disclosure document when they are solicited to enter into an agreement whereby the CTA will direct or guide the client’s commodity interest trading and that certain risk factors be highlighted. The disclosure document contains a complete description of the principal risk factors and each fee to be charged to your account by the CTA.