SAME DATA . DIFFERENT SORT
When you re-sort by Calmar, six strategies move five places or more.
Calmar ratio = CAGR divided by the depth of the worst fall. Higher is better.
| Strategy |
CAGR |
Max DD |
Calmar |
Rank shift |
| LargeMid MA |
37.12% |
-17.61% |
2.11 |
+6 |
| Large Midcap |
40.85% |
-19.30% |
2.12 |
+5 |
| Large Mid Hybrid |
35.99% |
-18.30% |
1.97 |
+5 |
| Allcap |
48.02% |
-22.70% |
2.12 |
+1 |
| Midcap |
41.21% |
-24.87% |
1.66 |
-4 |
| Midcap Smallcap |
48.98% |
-26.17% |
1.87 |
-6 |
| Energy Basket |
35.51% |
-39.48% |
0.90 |
-3 |
The point
The strategy you scroll past at rank 10 might be the one your temperament can actually hold through a drawdown.