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ANNUALIZED RETURN / MAXIMUM DRAWDOWN

Portfolio Calmar Ratio Calculator

Compare annualized return with the absolute maximum drawdown. Review the entered period, benchmark, and risk assumptions alongside the result.

  • 01 Calculated in this tab
  • 02 Values stay in this browser tab
  • 03 Use boundary

Conversion input

Known value

Filter by unit name, symbol, or code. Your current selections remain available.

Scenario inputs

Preparing the calculator...

METHOD / WORKED EXAMPLE

Keep return and worst drawdown on one path

The Calmar ratio relates compounded annual growth to the deepest observed peak-to-trough fall, so both inputs must come from the same valuation series, window, and return convention.

WORKED DEFAULT

Check the calculation with the default inputs

A 10% annualized return divided by a 20% maximum drawdown magnitude gives a Calmar ratio of 0.50.

  1. Use annualized growthAnnualized return = 10%
  2. Use worst declineMaximum drawdown = 20%
  3. Divide10 / 20 = 0.50

READ THE RESULT

Interpret the output in context

Higher positive values indicate more supplied annualized return relative to the worst historical drawdown, but results can change sharply with start date, observation frequency, and one extreme episode.

ASSUMPTIONS AND LIMITS

Know where the model stops

  • Return and drawdown use the same marked-to-market wealth series.
  • Maximum drawdown is entered as a positive magnitude.
  • Annualization, fees, currency, and cash-flow treatment are documented.

This backward-looking path statistic is not a loss limit, risk forecast, or investment recommendation.

Mutual Fund Directors Forum: assessing risk in equity funds

COMMON QUESTIONS

Portfolio Calmar Ratio Calculator FAQs

Should maximum drawdown be entered as negative?

Enter its positive magnitude here. A reported peak-to-trough decline of minus 20% should therefore be entered as 20. The calculator uses that magnitude as the denominator so the ratio's sign follows the annualized return. Keep the drawdown definition and observation frequency documented because intraperiod values can reveal losses that lower-frequency data misses.

Can I compare Calmar ratios from different periods?

Only cautiously. Maximum drawdown is path- and window-dependent, so one sample may contain a severe crisis while another does not. Ensure identical date ranges, valuation frequency, currencies, fee treatment, cash-flow policy, and annualization. Even then, inspect the actual wealth paths and drawdown duration rather than reducing the comparison to one ranked number.

How does Calmar differ from Sortino?

Calmar divides annualized return by one worst peak-to-trough drawdown magnitude. Sortino compares return above a target with the broader distribution of downside deviations. Calmar is dominated by the single deepest observed loss path, while Sortino uses repeated below-target outcomes. They describe different risk experiences and should not be substituted without explaining that change.

Use boundary

Calculation path

Divide compound annualized return by the positive magnitude of maximum peak-to-trough drawdown over the same window.

Calculation path

Calmar ratio = annualized return / absolute maximum drawdown.