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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