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Calmar Ratio Calculator

Find a portfolio's return per unit of its worst drawdown: Calmar ratio = annualized return ÷ maximum drawdown.

Calmar ratio
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How it works

The Calmar ratio divides an annualized return by the magnitude of the largest peak-to-trough decline (maximum drawdown) a portfolio experienced over that same period: Calmar = Ra ÷ |MDD|. Unlike this site's Sharpe, Sortino, and Treynor ratio calculators, which measure risk through volatility or beta, Calmar measures risk through the single worst loss an investor would have actually had to sit through — a number many people find more intuitive than a standard deviation.

Enter the maximum drawdown as a positive percentage representing its size (e.g. enter 25 for a 25% drawdown, not −25). A higher Calmar ratio means more annualized return was earned per unit of worst-case decline; a negative ratio simply means the annualized return itself was negative over the period measured.

FAQ

How is this different from the Sharpe or Sortino ratio?

Sharpe divides excess return by total volatility (standard deviation); Sortino divides it by downside-only volatility; Calmar divides plain annualized return by the single worst drawdown instead of any volatility measure at all. Calmar is popular in hedge fund and managed-futures reporting specifically because drawdown is easy to state in plain terms ("the strategy was down 25% at its worst") in a way a standard deviation isn't.

What time period should I use?

Calmar is conventionally calculated over a trailing 3-year window in industry reporting, but the formula itself works over any period as long as the annualized return and the maximum drawdown you enter cover the same stretch of time — mixing a 1-year return with a 5-year maximum drawdown would understate or overstate the ratio.

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