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Calmar Ratio Calculator

Divide a strategy's annualised return (CAGR) by its maximum drawdown to get a return-per-unit-of-pain figure.

Quick answer: The Calmar ratio measures annualised return relative to the worst peak-to-trough drawdown. This tool divides your CAGR by the magnitude of the maximum drawdown, so a higher figure means more return was earned for each unit of the deepest loss endured. It rewards smooth equity curves and penalises deep drawdowns more directly than the Sharpe ratio, which uses volatility instead.

Annualised return / CAGR (%)Maximum drawdown (%)

How to use it

Enter the strategy's compound annual growth rate and its maximum drawdown, both as percentages. The output is the Calmar ratio, CAGR divided by drawdown. Higher is better. Because it uses a single worst-case number, Calmar is sensitive to the length of the test: a short backtest may not have seen its worst drawdown yet, inflating the ratio.

Formula

Calmar = CAGR ÷ | Maximum drawdown |

Both inputs are percentages, so the units cancel and Calmar is a pure number. The drawdown is taken as a positive magnitude.

Frequently asked questions

What is a good Calmar ratio?

As a rough guide a Calmar ratio above 1 over a multi-year sample is often considered respectable, and above 3 excellent, but the figure depends heavily on the strategy and the length of the test. A short backtest can show a high Calmar simply because its worst drawdown has not happened yet.

How is Calmar different from the Sharpe ratio?

Sharpe divides excess return by total volatility, penalising all variability including upside. Calmar divides return by the single worst drawdown, so it focuses on the deepest loss an investor actually had to sit through rather than day-to-day wiggle.

Why is Calmar sensitive to the test period?

It depends on one number — the maximum drawdown — which is the most extreme observation in the sample and therefore the least stable. A longer or more stressful period tends to reveal a deeper drawdown, lowering Calmar, so ratios from different-length tests are not comparable.

Should I use the same period for CAGR and drawdown?

Yes. Both should come from the same backtest over the same window. Mixing a long-run CAGR with a drawdown from a calm sub-period produces a flattering, meaningless figure.

Can Calmar be negative?

Yes. If the strategy's CAGR is negative the Calmar ratio is negative, indicating the strategy lost money while also suffering drawdowns. A negative Calmar is an immediate red flag.

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