Calmar Ratio Calculator
Compare annualized return with maximum drawdown using the Calmar ratio. Enter both percentages from the same measurement window.
How it works
Enter CAGR and maximum drawdown as percentages in percentage points. For example, type 12 to represent 12%. Enter drawdown as a nonnegative magnitude of loss, such as 20 for a 20% fall from a prior peak.
The calculator divides CAGR by maximum drawdown without rounding the inputs first. Both values need to cover the same observation window and use a consistent return basis. A blank or invalid value produces an input message; zero drawdown produces an undefined result.
A positive result means CAGR is positive relative to the drawdown magnitude. A result of zero means CAGR is zero and drawdown is positive. A negative result means CAGR is negative. The displayed bands are illustrative fixed ranges, not a universal assessment.
The tool receives two summary values only. It does not infer dates, calculate annualized return, reconstruct a return path, or measure recovery time. Verify the underlying figures separately before comparing strategies. If browser storage is available, the two entered values can be saved for a later visit.
Step by step
- Enter CAGR and maximum drawdown in percentage points.
- Check that both figures use the same period and return basis.
- Read the ratio, or the undefined message when drawdown is zero.
Worked example
For an annualized return of 12% and a maximum drawdown of 20% over the same window, enter 12 and 20. The ratio is 12 ÷ 20 = 0.6.
If annualized return is −8% and maximum drawdown is 20%, the result is −8 ÷ 20 = −0.4. A negative ratio preserves the negative return; the calculator does not convert it to a positive score.
When to use this calculator
Use the ratio to compare annualized return with maximum drawdown when both figures use the same window and return basis.
Read it alongside other measures and the underlying data. The quotient does not describe the return path, drawdown duration, or future performance.
Common input errors
Entering 0.12 for 12% or entering a negative drawdown changes or invalidates the calculation. Use percentage points and a positive drawdown magnitude.
Using values from different windows or return conventions makes the quotient difficult to compare. The ratio also hides the sequence and duration of losses.
Formula
Calmar ratio = CAGR ÷ maximum drawdown
CAGR = compound annual growth rate in percentage points
Maximum drawdown = peak to trough loss magnitude in percentage points
Use the same observation window and return basis for both inputs. Enter 12 for 12%, and enter drawdown as a positive loss magnitude, such as 20 for a 20% decline.
Assumptions and limitations
The result depends entirely on the two entered values. The calculator cannot verify their source, dates, frequency, or treatment of dividends, fees, and taxes. It does not calculate performance from return observations or predict future results.
Key terms
- CAGR
- The annualized compounded rate of change over a stated period. This calculator accepts the value and does not derive it from return observations.
- Maximum drawdown
- The largest percentage decline from a prior peak to a later trough within a measured window, entered here as a positive loss magnitude.
- Calmar ratio
- The quotient of CAGR and maximum drawdown when the drawdown magnitude is greater than zero.
Compare related measures
Maximum drawdown describes the largest peak to trough decline. Sharpe and Sortino ratios compare returns with different measures of variability. Each answers a different question.
Use these tools with matching periods and return data when comparing results. The Calmar ratio alone does not describe the path of returns or explain why a drawdown occurred.
FAQ
What does the Calmar ratio measure?
The Calmar ratio divides an annualized return by the magnitude of the maximum drawdown. It summarizes two figures from the same period. It does not calculate either figure from a dated return series, and it does not show the order or duration of losses.
How do I enter percentages?
Enter CAGR and maximum drawdown in percentage points, not decimal fractions. For example, enter 12 for 12% and 20 for a 20% drawdown. Drawdown must be a nonnegative loss magnitude. A negative CAGR remains negative in the ratio.
How should I interpret the result?
A positive ratio means the entered annualized return is positive relative to the entered drawdown magnitude. A zero ratio means CAGR is zero while drawdown is positive. A negative ratio means CAGR is negative. The labels shown are fixed illustrative bands, not universal ratings or advice.
Which data should I compare?
Both values should describe the same measurement window and a consistent return basis. The calculator cannot check your source data, infer dates, or determine whether dividends, fees, or taxes were included. Different data and window choices can change the ratio.
Why might the ratio be undefined?
When maximum drawdown is zero, division by drawdown is undefined, so no ratio is shown. This differs from a valid ratio of zero, which occurs when CAGR is zero and drawdown is positive. Blank, negative drawdown, or nonfinite inputs are invalid.
Related tools
Compare the result with maximum drawdown, Sharpe ratio, or Sortino ratio calculations. These measures summarize different features and should use compatible periods and data.