MAR Ratio Calculator
Reviewed by Hamza Gujjar, Algorithm Architect & Software Developer
Last updated: August 19, 2026CAGR 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.
Principles of the MAR Ratio in Commodity and Managed Futures Trading
Developed in 1978 by Leon Rose, publisher of the Managed Account Reports newsletter, the MAR Ratio is a widely respected risk-adjusted performance metric used to rank Managed Futures Commodity Trading Advisors (CTAs), algorithmic quantitative funds, and global macro hedge funds.
The MAR Ratio directly compares the annualized compound rate of return of an investment strategy since its inception against the single worst maximum peak-to-trough drawdown experienced across its entire operating history.
MAR Ratio Benchmark Standards in Institutional Due Diligence
| MAR Ratio Range | Institutional Rating | Typical Fund Profile |
|---|---|---|
| > 2.00 | Exceptional / Elite | Top-tier algorithmic trend-followers with strict stop-loss risk management |
| 1.00 to 2.00 | Very Strong | High-performing institutional hedge funds and disciplined multi-strategy funds |
| 0.50 to 1.00 | Acceptable / Good | Standard market equity portfolios (e.g., S&P 500 historical MAR ≈ 0.20 to 0.30) |
| < 0.50 | Sub-Par / High Risk | Strategies with severe historical drawdowns relative to modest annualized returns |
MAR Ratio vs. Calmar Ratio: Understanding the Distinction
While both metrics divide CAGR by Maximum Drawdown, they differ fundamentally in evaluation timeframe:
- Calmar Ratio: Evaluates a fixed rolling 36-month (3-year) historical window. As market cycles progress, old historical drawdowns fall outside the 36-month lookback window, causing the Calmar Ratio to reset higher.
- MAR Ratio: Evaluates performance over the entire historical track record since inception. A catastrophic 45% drawdown experienced in Year 1 remains in the MAR denominator permanently, maintaining a perpetual record of the strategy's worst-case stress event.
Step-by-Step Worked Calculation Example
Example: Institutional Due Diligence Comparison of Two Quantitative CTAs
Problem: A family office investment committee evaluates two quantitative commodity trading funds with 8-year operating track records: Fund A achieved a CAGR of 18.00% with a lifetime Maximum Drawdown of -12.00%. Fund B achieved a CAGR of 24.00% with a lifetime Maximum Drawdown of -32.00%. Calculate the MAR Ratio for both funds and determine which presents the superior risk profile.
Step 1: Calculate Fund A MAR Ratio:
MARA = CAGR / Max Drawdown = 18.00% / 12.00% = 1.500
Step 2: Calculate Fund B MAR Ratio:
MARB = CAGR / Max Drawdown = 24.00% / 32.00% = 0.750
Conclusion: Fund A delivers a MAR Ratio of 1.50 — exactly double that of Fund B (0.75). Although Fund B delivered higher headline compound returns (24% vs 18%), it required investors to endure a devastating -32% capital drawdown, making Fund A the superior risk-adjusted choice for institutional capital preservation.
Common Pitfalls in MAR Ratio Analysis
- Track Record Duration Bias: A newly launched fund with only 6 months of trading may report an artificially high MAR ratio (e.g., 5.0+) simply because it has not yet operated through a full macroeconomic bear market cycle. Reliable MAR evaluation requires at least 36 to 60 months of audited track record.
- Monthly vs. Daily Drawdowns: Calculating Maximum Drawdown using month-end closing NAVs underestimates true risk; institutional risk officers calculate intra-month peak-to-trough drawdowns using daily NAVs.
Dynamic Volatility Targeting and CTA Position Sizing
Top-tier Managed Futures CTAs maintain high MAR Ratios (frequently exceeding 1.50) by implementing Dynamic Volatility Targeting. Rather than keeping constant nominal position sizes, algorithmic risk engines adjust daily contract position sizing inversely proportional to trailing market volatility (ATR or GARCH forecasts):
When market volatility surges during financial panics, the algorithm automatically de-leverages position sizes, preventing sharp drawdown spikes and keeping lifetime Maximum Drawdown under strict 15% institutional risk thresholds.
The Pain Ratio and Pain Index
In institutional CTA evaluation, the MAR Ratio is complemented by the Pain Ratio, which divides compound excess return by the Pain Index (the area enclosed by the portfolio's historical underwater curve). This ensures that funds are rewarded not only for minimizing one-time peak drawdowns, but for achieving rapid capital recovery following market corrections.
Underwater Curve Integral and Drawdown Area Ratios
Modern systematic risk analytics calculate the definite integral of the portfolio's underwater equity curve over time: ∫ Drawdown(t) dt. Dividing cumulative compound return by this integrated drawdown area produces the Burke Ratio, which heavily penalizes strategies that spend extensive multi-year periods struggling below previous high-water marks, ensuring fund allocators select managers with rapid capital recovery speed.
CTA Crisis Alpha and Maximum Drawdown Offsets
During historical equity bear market crashes (such as 2008 or 2022), systematic trend-following CTAs with high historical MAR Ratios delivered positive "Crisis Alpha" via short equity index futures and long US Dollar positions, offsetting broad portfolio drawdowns.
Historical Drawdown Longevity in CTA Ranking
The MAR Ratio provides institutional investors with an objective benchmark for evaluating whether a quantitative commodity trading advisor maintains disciplined risk controls over decades.