Calmar Ratio Calculator
Compare annualised return against maximum drawdown.
Please note: Trading carries substantial risk of loss. These calculators are planning tools, not trading advice, and no position sizing method prevents losses.
What the Calmar Ratio Calculator does
The Calmar ratio divides annualised return by the worst peak-to-trough loss. Where Sharpe measures return against ordinary volatility, Calmar measures it against the single worst experience — which is usually what actually decides whether an investor stays invested.
Formula
Calmar = Annualised return ÷ Maximum drawdownRecovery gain = 1 ÷ (1 − Drawdown) − 1Sterling-style = (Return − Risk-free) ÷ Maximum drawdown
Inputs explained
| Input | Unit | Required | Notes |
|---|---|---|---|
| Annualised return | % | Yes | — |
| Maximum drawdown | % | Yes | — |
| Risk-free rate | % | Optional | Subtracted from the return for a Sterling-style ratio. |
| Years of history | number | Optional | Accepts 0 or more. |
| Account size | selected currency | Optional | Accepts 0 or more. |
| Currency | one of 10 options | Optional | — |
How to use it
- Choose Currency.
- Enter Annualised return and Maximum drawdown.
- Optionally add Risk-free rate, Years of history and Account size.
- Select Calculate.
Worked example
A strategy returning 18% a year with a 12% worst drawdown.
- Return
- 18%
- Max drawdown
- 12%
18 ÷ 12 = 1.5 — good. Recovering that drawdown needs a 13.64% gain, about 0.77 years at this rate of return.
Frequently asked questions
How does Calmar differ from Sharpe?
Sharpe divides by ordinary volatility; Calmar divides by the single worst drawdown. Calmar therefore captures tail pain that Sharpe can average away.
Why does a 50% drawdown need a 100% gain?
Because the gain is calculated on the reduced balance. Halving 100 to 50 means the 50 must double to get back — the asymmetry gets worse the deeper the hole.
Method and sources
Method. Annualised return divided by maximum drawdown over the same period.
Assumptions
- The drawdown figure covers the same window as the return, and that window includes a genuine decline.
Limitations
- Sensitive to the period chosen: a window that happens to exclude the worst decline produces a flattering ratio from the same strategy.
- Maximum drawdown is one observation from the past, not a bound on the future, so a ratio built on it inherits that fragility.
- Conventionally computed over three years; comparing ratios measured over different windows is not meaningful.