Maximum drawdown
Risk & psychologyThe largest peak-to-trough fall in an equity curve.
In plain terms
Return is what a report advertises; drawdown is what you actually live through.
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Glossary
Every term is defined twice: once the way a filing would put it, and once the way somebody would explain it to you across a table. The second one is usually the one that sticks.
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Calmar ratio
Risk & psychologyAnnualised return divided by the maximum drawdown over the same period.
In plain terms
The most intuitive risk-adjusted measure for an individual: how much return you were paid for the worst fall you had to sit through.
MAR ratio
Risk & psychologyAnnual return divided by maximum drawdown.
In plain terms
One of the more honest single numbers in a strategy report.