Angie · learn

Calmar ratio

Return measured against the worst loss along the way, rather than against general choppiness. It punishes the single deepest hole.

Updated 2026-09-03

How it is calculated

Calmar ratio = return ÷ maximum drawdown

The Calmar ratio divides annual return by the worst peak-to-trough loss over the period. It answers a question a trader cares about more than volatility: how much did I earn per unit of the pain I actually had to sit through.

Calmar = CAGR ÷ maximum drawdown

A strategy returning 20 percent a year with a 40 percent worst drawdown has a Calmar of 0.5.

It is often the more honest measure, because drawdown is what ends strategies. Volatility is a statistical description; a drawdown is the specific experience of watching an account fall for months and having to decide whether to continue. Most strategies are abandoned at their worst drawdown, which means the drawdown, not the average return, determines what you actually earned.

Its weakness is that it rests on a single historical event: the one worst drawdown in the sample. A short backtest that happened to miss a crisis reports a flattering Calmar for no better reason than good luck about which years were tested.

See also

  • Sharpe ratio — Return per unit of volatility. It asks how much turbulence you endured for the gain, so a smoother path scores better than a wild one that ends up level with it.
  • Max drawdown — The deepest fall from a peak before a new peak was reached. The number that decides whether a strategy is one you could actually hold through.

← See this one in the deck

Educational content, not investment advice. Angie explains how a valuation is built so you can judge it yourself. What you do with that is your call.

IsiofiaIsiofia