MAR Ratio Calculator
CAGR Measured Against Its Worst Setback
The MAR ratio — named after Managed Account Reports, the publication that popularized it — is functionally the Calmar ratio's sibling, built from compound annual growth rate rather than a simpler annualized return figure. It's a long-standing benchmark in the managed futures industry precisely because CAGR captures the effect of compounding over a full track record, and pairing it with maximum drawdown answers how much return that record delivered per unit of worst-case pain.
The Formula
As with the Calmar ratio, the drawdown is used as an absolute value since it's inherently a negative figure.
Where This Matters
- Managed futures and CTA track records — the MAR ratio is a standard figure quoted in commodity trading advisor performance reports, often calculated over the full life of the fund rather than a rolling window.
- Long-horizon comparisons — because it uses CAGR, the MAR ratio is well suited to comparing strategies over multi-year or since-inception periods where compounding effects matter.
- Screening for return-per-pain efficiency — a high MAR ratio signals a strategy has generated its returns without requiring investors to endure especially deep drawdowns along the way.
| Input | Value |
|---|---|
| CAGR | 14% |
| Maximum drawdown | -18% |
| MAR Ratio | 0.78 |
14% ÷ 18% = 0.78. A ratio around or above 0.5 to 1.0 is generally considered reasonable for a managed futures track record; values above 1.0 are strong.
How to Use This Calculator
- Enter the strategy's CAGR (compound annual growth rate) as a percentage.
- Enter the maximum drawdown as a percentage.
- Select Calculate to get the MAR ratio.
Related Calculations
Compare with the Calmar Ratio Calculator, or use the Sterling Ratio Calculator for a version that adjusts for a series of drawdowns rather than the single worst one.