Calmar Ratio Calculator

15% annualised return with 25% max drawdown: Calmar = 15/25 = 0.60. Above 1 excellent (return exceeds worst loss). Above 3 exceptional. Used heavily by hedge funds evaluating strategies — penalises strategies with large historical drawdowns.

A worked example

Suppose a trading strategy generated an annualised return of 18% over five years, and experienced a maximum drawdown of 12% during that period. Enter 18 for annualised return and 12 for maximum drawdown. The calculator returns 1.50. This indicates the strategy returned 1.50 units of gain for every unit of worst-case loss absorbed. By contrast, a strategy with 12% annualised return and the same 12% drawdown would return a ratio of 1.0 — meaning return and maximum loss were equal in magnitude.

Common scenarios where this metric matters

• Evaluating managed funds or trading strategies where you have historical return and drawdown data
• Comparing two strategies with different risk profiles — one high-return, high-drawdown versus one moderate on both
• Stress-testing a portfolio model under past market conditions to see how the ratio behaves
• Baseline screening: strategies with ratios below 0.5 often indicate returns too small relative to worst-case losses

What this captures and what it does not

The Calmar ratio shows the relationship between total return earned and the largest peak-to-trough decline observed in the historical record. It does not account for:

• How often drawdowns occurred or their duration
• Volatility between the worst drawdown and average performance
• Fees, taxes, or transaction costs applied over the holding period
• Whether past drawdowns will repeat or how likely future ones may be
• Investor behaviour during steep declines — actual outcomes often differ from modelled ones

The output is for educational illustration and modelling purposes only, not a prediction of future results.

Using this alongside other measures

A high Calmar ratio in isolation can mask other risks. Pair this calculator with the Sharpe ratio (return per unit of volatility), the Sortino ratio (return per unit of downside risk), and the maximum drawdown calculator to build a fuller picture of strategy performance.