Calculate Calmar Ratio - Quant Researcher Interview Question
Difficulty: Easy
Category: backtesting
Asked at: Citadel, Winton, AQR Capital Management, Man Group, Millennium
Topics: risk-metrics, performance, backtesting
Problem Description
The Calmar Ratio evaluates the risk-adjusted performance of an investment strategy by comparing its Compound Annual Growth Rate (CAGR) to its Maximum Drawdown. This metric is essential in quantitative finance for assessing the return generated per unit of tail risk, particularly in hedge fund performance analysis.
Task
Implement a function solution(prices, periods_per_year) that calculates the Calmar Ratio for a given sequence of portfolio prices. The calculation requires deriving the CAGR and
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