Daphnia are well-established ecological and evolutionary models, and the interaction between D. magna and its microparasites is widely considered a paragon of the host-parasite coevolutionary process. Like other well-studied arthropods such as Drosophila melanogaster and Anopheles gambiae, D. magna is a small, widespread, and abundant species that is therefore expected to display a large long-term population size and high rates of adaptive protein evolution. However, unlike these other species, D. magna is cyclically asexual and lives in a highly structured environment (ponds and lakes) with moderate levels of dispersal, both of which are predicted to impact upon long-term effective population size and adaptive protein evolution. To investigate patterns of adaptive protein fixation, we produced the complete coding genomes of 36 D. magna clones sampled from across the European range (Western Palaearctic), along with draft sequences for the close relatives D. similis and D. lumholtzi, used as outgroups. We analyzed genome-wide patterns of adaptive fixation, with a particular focus on genes that have an a priori expectation of high rates, such as those likely to mediate immune responses, RNA interference against viruses and transposable elements, and those with a strongly male-biased expression pattern. We find that, as expected, D. magna displays high levels of diversity and that this is highly structured among populations. However, compared to Drosophila, we find that D. magna proteins appear to have a high proportion of weakly deleterious variants and do not show evidence of pervasive adaptive fixation across its entire range. This is true of the genome as a whole, and also of putative ‘arms race’ genes that often show elevated levels of adaptive substitution in other species. In addition to the likely impact of extensive, and previously documented, local adaptation, we speculate that these findings may reflect reduced efficacy of selection associated with cyclical asexual reproduction.