Calmar Ratio Calculator
The Calmar ratio measures return relative to the worst loss experienced. Named after the California Managed Account Reports newsletter where it was first published in 1991, the Calmar ratio is the compound annual growth rate divided by the maximum drawdown (expressed as an absolute percentage). Unlike the Sharpe ratio, which uses standard deviation as the risk denominator, the Calmar ratio uses the actual worst-case loss investors would have suffered, making it intuitively meaningful for most investors. It is particularly popular among commodity trading advisors and trend-following fund managers because it captures the real-world experience of loss in a way that standard deviation does not. Enter your annualised return and maximum drawdown to compute your Calmar ratio and see how it compares to benchmarks.
Calmar ratio formula
Calmar Ratio = CAGR / |Maximum Drawdown|
where CAGR = compound annual growth rate (%)
and Maximum Drawdown = peak-to-trough loss (% expressed as positive)
The original Calmar ratio uses the trailing 36-month period. Longer periods give a more robust assessment of strategy performance across market cycles.
Calmar ratio benchmarks
- Below 0.5: poor risk-adjusted return relative to drawdown.
- 0.5 to 1.0: acceptable; common for diversified equity funds.
- 1.0 to 3.0: good; common for well-managed multi-asset strategies.
- Above 3.0: excellent; typical only in favourable market regimes or crisis-absent periods.
- S&P 500 trailing 3-year Calmar ratio ranges widely from negative to above 2.0 depending on period.
Calmar ratio: frequently asked questions
What is the Calmar ratio?
The Calmar ratio (Compound Annual Return / Maximum Drawdown) was introduced by Terry Young in 1991 in Futures magazine. It measures a strategy's annual return relative to its worst peak-to-trough loss. Higher values indicate better return per unit of drawdown risk. It is widely used by CTA (commodity trading advisor) allocators.
How is the Calmar ratio different from the Sharpe ratio?
The Sharpe ratio uses standard deviation as the risk measure. The Calmar ratio uses maximum drawdown. Many investors, particularly those allocating to hedge funds or CTAs, prefer the Calmar ratio because they are most concerned about the magnitude of potential losses rather than volatility per se.
What Calmar ratio is considered good?
A Calmar ratio above 0.50 is considered acceptable, above 1.0 is good, and above 3.0 is excellent. The S&P 500, depending on the measurement period, has produced Calmar ratios ranging from below 0.10 (including the 2008 crash) to above 1.0 during strong bull markets with limited drawdowns.
What time period should I use for the Calmar ratio?
The original Calmar ratio uses the most recent 36 months of data. Some practitioners use trailing 5 years. The time period matters significantly because a long history captures more market cycles and drawdowns, while a short period may only reflect a favourable or unfavourable regime.
Can the Calmar ratio be misleading?
Yes. A strategy with a high Calmar ratio over 3 years may have avoided a major market crisis. If that crisis occurs after the measurement period, the true long-run Calmar ratio may be much lower. Always consider the market environment during the measurement period when comparing Calmar ratios.
Official sources
- CFTC: CTA Performance Research.
- Federal Reserve Bank of St. Louis (FRED): S&P 500 Data (for MDD calculation).
Reviewed by the CalculatorHub team, edited by James Graham, 14 June 2026. See our methodology.