Calmar Ratio Calculator

Measure return relative to maximum drawdown, the risk measure investors actually experience.

About Calmar Ratio Calculator

The Calmar ratio divides excess return by maximum drawdown rather than volatility, which reflects the pain investors actually feel and abandon strategies over. It is widely used for managed futures and hedge funds. Volatility measures are symmetric and forgiving; maximum drawdown is what actually causes investors to sell at the bottom.

Formula

Calmar Ratio

Calmar Ratio = (portfolio return − risk-free rate) ÷ maximum drawdown

excess return: Return earned above what a riskless asset would have paid
Maximum drawdown: The risk measure this ratio divides by

Worked example

With the default values below, Calmar Ratio Calculator returns Calmar Ratio of 0.389. Change any input above and every figure here is recalculated in your browser.

Inputs used

Portfolio returnaccepts -100–200 %: 11 %
Risk-free rateaccepts 0–30 %: 4 %
Maximum drawdownminimum 0.01: 18

Results

Calmar Ratio: 0.389
Excess Return Over Risk-Free: 7.00%
Interpretation: Positive but below the benchmark of 0.5
Return per Unit of Risk: 0.611
Risk Level That Would Halve the Ratio: 36.00

Step by step

1Values used
2Calmar Ratio
3Calmar Ratio= 0.389
4Excess Return Over Risk-Free= 7.00
5Interpretation= Positive but below the benchmark of 0.5
6Return per Unit of Risk= 0.611
7Risk Level That Would Halve the Ratio= 36.00

Assumptions and limits

The result is derived only from the 3 inputs listed above. Anything not among them is not part of the calculation.
In particular, this calculator does not take inflation, tax, fees or charges or compounding frequency into account.
Figures are rounded for display to 3 decimal places, so totals built from several rounded parts can differ slightly from the unrounded arithmetic.
This is an estimate for general information and not professional financial, tax or legal advice. See the full disclaimer for the limits that apply to this kind of calculator.

How these calculators are built and tested is described on the Methodology page. If a figure looks wrong, please report it.

Frequently Asked Questions

How is Calmar Ratio calculated?

Calmar Ratio = (portfolio return − risk-free rate) ÷ maximum drawdown The Calmar ratio divides excess return by maximum drawdown rather than volatility, which reflects the pain investors actually feel and abandon strategies over. It is widely used for managed futures and hedge funds.

Why does Calmar Ratio matter?

Volatility measures are symmetric and forgiving; maximum drawdown is what actually causes investors to sell at the bottom.

What values do I need to enter?

This calculator takes 3 inputs: Portfolio return, Risk-free rate, Maximum drawdown. The pre-filled defaults are a realistic starting point — replace them with figures from your own environment for a result you can act on.