Calmar Ratio Calculator

About this calculator

The Calmar ratio measures risk-adjusted performance by dividing a portfolio's annualized return by its maximum drawdown — the largest peak-to-trough decline in value over the measurement period (typically the trailing 3 years). A Calmar ratio of 2 means the strategy earned twice its worst historical loss in annualized return; higher is better, and unlike the Sharpe ratio it focuses purely on the worst-case loss investors actually experienced rather than overall volatility.

The ratio was developed by Terry W. Young for evaluating commodity trading advisors (CTAs) and is now widely used across hedge funds, managed futures funds and systematic trading strategies, where large drawdowns are a bigger practical concern than day-to-day variance. Fund managers and allocators use it to compare strategies on a "return per unit of pain" basis and to size positions or allocate capital toward funds with better drawdown-adjusted track records.