Comparison of Risk vs. Return Metrics

What are Risk vs. Return Metrics?

Risk vs. Return Metrics are analytical tools used in finance to assess the relationship between the level of risk taken by an investment and the potential return generated from that investment.

MAR Ratio vs. Calmar Ratio

	MAR Ratio	Calmar Ratio
description	risk-adjusted performance metric in investing that evaluates the return of an investment relative to its maximum drawdown.	risk-adjusted performance metric in investing that evaluates an investment's annualized return relative to its maximum drawdown.
numerator	excess return (above the risk-free rate)	excess return (above the risk-free rate)
denominator		3-year maximum drawdown
formula
SPY range