Calmar Ratio Calculator
Compare annualised return against the deepest drawdown suffered, with the MAR ratio reported alongside it.
The Calmar ratio divides an annualised return by the deepest peak-to-trough decline suffered while earning it: return over max drawdown, in a single figure. Where the Sharpe and Sortino ratios divide by a property of the whole distribution of returns, this Calmar ratio calculator divides by a single event — one stretch of the record fixes the denominator and everything else in the record is ignored entirely.
Formula: calmar = annualised return / absolute maximum drawdown
Your figures
Your own compound annual return over the record being measured. On a record shorter than a year this is an extrapolation, which is worth knowing before dividing by anything.
The deepest peak-to-trough decline as a percentage of the peak, entered either way round — the sign is ignored. Used only when the equity curve below is empty.
Results
Calmar ratio
1.50
+18.000% a year against a deepest decline of 12.000%
- MAR ratioThe identical division. The two names differ over the record they are conventionally computed on — the Calmar ratio over the most recent 36 months, the MAR ratio since inception — not over the arithmetic, so one return and one drawdown cannot tell them apart.
- 1.50
- Annualised return usedAs entered. This is the numerator, and it is the figure the ratio is most sensitive to.
- +18.000%
- Maximum drawdown usedMeasured from the equity curve entered: the deepest fall from a previous peak, as a percentage of that peak.
- 12.000%
- Peak the decline started fromThe highest value reached before the deepest fall began.
- US$27,500.00
- Trough it reachedThe lowest value that fall reached before a new peak was made.
- US$24,200.00
- Equity values countedBlank rows are not counted. A decline that began and ended between two of the values entered is invisible to the measurement.
- 6
What this means
An annualised return of +18.000% measured against a maximum drawdown of 12.000% gives 1.50. That is how many times the annual return covers the deepest peak-to-trough decline in the record. The drawdown came from the 6 equity values entered — the fall from US$27,500.00 to US$24,200.00. The denominator is one event rather than a dispersion, which is why the same return can give very different Calmar ratios over two windows that both contain it: a window that includes the worst stretch is divided by it, and a window that stops short is not.
- The drawdown is measured only on the values entered. A decline that began and ended between two of them never appears, so month-end values usually show a shallower drawdown than daily ones over the same period.
- A drawdown is a single event rather than a distribution: one stretch of the record sets it, and everything else in the record is ignored. That is the opposite of the Sharpe and Sortino denominators, which are properties of the whole series.
- It follows that a record which has not yet had its bad stretch has a small drawdown, and a ratio that will fall when it does. The figure describes what happened, not the worst that could.
- The annualised return is yours to enter. A compound rate and an arithmetic average are different figures on a volatile record, and swapping one for the other changes the ratio without changing anything about the account.
- The Calmar ratio is conventionally taken over the most recent 36 months. A longer or shorter window is the same arithmetic answering a different question, which is worth stating whenever the figure is quoted.
- This describes a record that has already happened. It is a summary of the figures entered, not a statement about what follows them, and no particular level of it carries a meaning beyond the arithmetic that produced it.
Calmar ratio: 1.50
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Continue with these figures
About the Calmar Ratio calculation
To produce a drawdown-adjusted return the calculator takes your annualised return and then either a maximum drawdown typed in as a percentage or an equity curve to measure one from, oldest first. Whenever the curve holds any value at all it is used and the typed figure is set aside, with a note saying so, because a decline measured from the values themselves cannot be misremembered. Alongside the ratio it reports the drawdown used and — when the curve supplied it — the peak the decline started from, the trough it reached, and how many values were counted.
The MAR ratio is reported beside it and is the identical division, so the page doubles as a MAR ratio calculator. The two names differ over the record they are conventionally computed on rather than over any arithmetic: the Calmar ratio uses the most recent 36 months, the MAR ratio everything since inception. Given one return and one drawdown there is nothing left to tell them apart, so the distinction is made by which record you enter rather than by the formula.
Calmar Ratio formula
for each value in the curve:
peak = highest value seen so far
drawdown = (peak − value) ÷ peak
max drawdown = the largest such drawdown
calmar = annualised return ÷ |max drawdown|
mar = the same division, over the record since inception- peak
- The highest account value reached before a decline began. It resets whenever a new high is made.
- |max drawdown|
- The deepest decline as a positive percentage of the peak it started from. The sign you type is ignored.
- annualised return
- Your own compound annual return over the same record. It is entered rather than derived from the curve.
- trough
- The lowest value that deepest decline reached before a new peak was made.
Dividing by an event rather than by a dispersion is the point of the Calmar ratio formula and also its weakness. Investors rarely ask how varied the returns were; they ask how bad it got, and a maximum drawdown answers that in the units the account is actually held in. But a maximum is not an estimate that improves as more data arrives — it can only stay where it is or get worse. A record that has not yet had its bad stretch divides by a small number, and the ratio falls the first time it does.
The drawdown is measured only on the values entered, which is why deriving it from an equity curve is worth doing whenever the curve is to hand. A decline that began and ended between two observations is invisible to the measurement. Month-end values routinely show a shallower drawdown than daily values over the identical period, so the same strategy scores higher on the coarser record — and the ratio gives no hint that this is what has happened.
The running peak resets whenever a new high is made, so later declines are measured from the new high rather than from the old one. In the worked example below, a fall of $800 from a peak of $29,400 is a shallower decline than a fall of $3,300 from $27,500, even though the account is at a higher level when it happens. Only the deepest of the declines survives into the denominator; the rest of the curve contributes nothing at all.
The numerator has to be annualised for the ratio to mean anything across records of different lengths, and it is taken as entered rather than derived, because a compound annual rate and an arithmetic average are different figures on a volatile record and swapping one for the other changes the ratio without changing the account. The window convention behind the name matters just as much: a figure taken over a stretch that happens to exclude the worst decline is arithmetically correct and is answering a different question.
Calmar Ratio: a worked example
An equity curve recorded at $25,000, $27,500, $24,200, $26,800, $29,400 and $28,600, with an annualised return of 18% over the same record.
- Running peak after the second value$27,500
- Deepest fall from that peak27,500 − 24,200 = $3,300
- As a percentage of the peak3,300 ÷ 27,500 = 12.00%
- The later dip, for comparison29,400 − 28,600 = $800, or 2.72% of $29,400 — shallower, so it is ignored
- Calmar ratio18.00 ÷ 12.00 = 1.50
- MAR ratiothe identical division: 1.50
A Calmar ratio of 1.50 — the annualised return covers the deepest decline one and a half times over. Note how little of the record produced that answer. Two of the six values fixed the denominator and the other four changed nothing, and because the return is entered separately rather than derived from the curve, adding a better month would leave both halves of the ratio untouched while adding a deeper decline would cut it immediately.
How to use the Calmar Ratio calculator
- Enter your own annualised return over the record being measured. On a record shorter than a year it is an extrapolation, which is worth knowing before dividing anything by it.
- Fill in the equity curve if you have it, oldest first, one value per row. The drawdown is then measured from those values rather than taken on trust.
- Use the maximum drawdown field only when there is no curve to hand. It is ignored whenever the curve carries any value at all, and the result says so rather than choosing quietly.
- Enter the drawdown either way round. The same 12% decline typed as −12 or as 12 gives the same answer, because only its size divides.
- Read the peak and trough reported beside the ratio. They show which stretch of the curve set the denominator, which is frequently not the stretch a reader remembers.
- State the window whenever you quote the figure. The Calmar ratio is conventionally the most recent 36 months, and the same arithmetic over a different window is a different claim.
Limitations of the Calmar Ratio calculator
Every calculation makes assumptions. These are the ones that matter here.
- The maximum drawdown is a single observation of a single event. It has no sample size and no standard error, and unlike a mean or a standard deviation it cannot become more reliable with more data — only deeper.
- A decline that started and ended between two entered values never appears at all. Month-end curves therefore produce shallower drawdowns, and flattering Calmar ratios, compared with daily curves over the identical period.
- The annualised return is taken exactly as entered. Substituting an arithmetic average for a compound rate changes the ratio without anything about the account having changed.
- Short records make the figure unreadable in both halves at once: a strategy running for eight months has neither a trustworthy annualised return nor a representative worst decline.
- The ratio says nothing about how long the decline lasted or how long recovery took. Two years spent underwater scores exactly the same as two months at the same depth.
- Deposits and withdrawals inside the equity curve are not modelled. Cash added during a decline shortens the measured drawdown without improving any of the trading behind it.
Frequently asked questions about Calmar Ratio
Is the MAR ratio different from the Calmar ratio?
Not arithmetically. Both divide an annualised return by the absolute maximum drawdown, and given one return and one drawdown there is nothing left to distinguish them, which is why the same figure appears twice. The difference is in the record: the Calmar ratio conventionally uses the most recent 36 months, while the MAR ratio uses everything since inception.
Should the drawdown be entered as a positive or a negative number?
Either. Both conventions are in circulation — the same 12% decline is reported as −12 by some platforms and as 12 by others — so the calculator takes the magnitude rather than arguing about it. What it will not accept is a figure above 100%, since a decline cannot exceed the peak it is measured from, and that is almost always a cash amount typed into a percentage field.
Why did the calculator use my equity curve instead of the drawdown I typed?
Because a decline measured from the values themselves cannot be misremembered, and the deepest one frequently is. The curve takes precedence as soon as it holds a single value, and the result notes that the typed figure was set aside. Clearing the curve entirely restores the percentage you entered.
Why is my Calmar ratio so much larger than my Sharpe ratio?
They are not on a comparable scale and were never intended to be. One divides an annual return by a decline of a few per cent; the other divides a periodic excess return by a periodic standard deviation. A Calmar ratio is only meaningfully compared with another Calmar ratio, taken over a window of the same length.
What happens if the record never suffered a drawdown?
There is nothing to divide by, so the calculation is refused rather than reporting an enormous number. An equity curve that only ever rose is either very short, unusually fortunate, or recorded too coarsely to show the declines it did have — and the third case is by far the most common.
Can the Calmar ratio be negative?
Yes, when the annualised return entered is negative. The denominator is always positive, so the sign belongs entirely to the return, and a negative ratio says the record lost ground and suffered that decline anyway. The magnitude is not very readable in that state, since a deeper drawdown pushes a losing record's ratio closer to zero.
Last reviewed . See our methodology and editorial policy.
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