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Calmar's mathematically rigorous cousin. Penalizes deep drawdowns disproportionately.
Burke ratio is excess return divided by the square root of the sum of squared drawdowns. Unlike Calmar (worst-only) or Sterling (mean of worst N), Burke uses every meaningful drawdown but penalizes deep ones quadratically. Developed by Gibbons Burke in 1994 for trend-following systems.
Burke = (Rp − Rf) / sqrt(Σ DDᵢ²)Burke = (Rp − Rf) / sqrt(Σ DDi2)You square each drawdown, sum them, take the square root. This penalizes a single 30% drawdown more than three 10% drawdowns combined, because squaring magnifies extremes.
Burke sits between Calmar and Martin. Like Calmar, it cares about specific drawdown events. Like Martin, it incorporates multiple events. But unlike both, it squares each event, so a single catastrophic drawdown dominates the denominator the way a tail event dominates volatility.
Excess return: 8%. Significant drawdowns: −12%, −8%, −5%.
sqrt(0.122 + 0.082 + 0.052) = sqrt(0.0144 + 0.0064 + 0.0025) = sqrt(0.0233) = 0.153
Burke = 0.08 / 0.153 = 0.52
Burke above 0.5 is solid, above 1.0 is strong. Burke typically tracks somewhere between Calmar and Sterling.
Calmar Ratio · Sterling Ratio · Martin Ratio · Maximum Drawdown
Traditionally any drawdown deeper than the chosen threshold (often 5% or 10%). Foliolytic uses 5% by default.
Sterling averages the worst N drawdowns linearly. Burke squares each drawdown before summing — penalizing deep drawdowns quadratically.
For strategies where rare-but-severe drawdowns matter more than frequent-but-mild ones. Trend-following and managed futures use Burke heavily.
Yes — alongside Calmar, Sterling, Martin, and Pain Ratio in the risk-adjusted section.
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