About this question
Easy · risk_management · Quant Researcher interview question · risk, drawdown, calmar, performance-metrics, statistics
Maximum drawdown measures the largest peak-to-trough decline in an investment's value, representing its worst-case loss. The Calmar ratio then normalizes the annualized return by this drawdown, offering a risk-adjusted performance metric crucial for evaluating trading strategies. These metrics are fundamental in institutional risk management and capital allocation, particularly for penalizing strategies prone to large, infrequent losses. Task Implement the function solution(returns: list, ann_f