Portfolio Risk & Return

Calmar Ratio

Annual return divided by the portfolio’s maximum drawdown — the deepest peak-to-trough fall in the period measured. A Calmar ratio of 0.5 means the portfolio returned, each year on average, half of the worst loss it suffered along the way. It speaks to a very practical question: was the return worth the worst stretch an investor would have had to sit through? Higher is better. Because it hinges on a single worst episode, it can change sharply when a new low arrives or an old one drops out of the window, so it reads best alongside the Sharpe and Sortino ratios rather than alone.

Educational information, not investment advice. See it applied across the screener →