Calmar Ratio Calculator
Enter CAGR, maximum drawdown and the risk-free rate.
Calmar ratio
β
Enter values above
Return over risk-free
β
Gain needed to recover
β
Assessment
β
Annualised return
β
Drawdown applied
β
Worked example
With the default inputs shown below, this calculator returns the following results:
| Input | Value |
|---|---|
| Annualised return β CAGR (%) | 12 |
| Maximum drawdown (%) | 20 |
| Risk-free rate (%) | 3 |
| Years of data | 5 |
| Result | Value |
|---|---|
| Calmar ratio | 0.6 |
| Return over risk-free | 9.00% |
| Gain needed to recover | 25.00% |
| Assessment | Acceptable |
| Annualised return | 12.00% |
| Drawdown applied | 20.00% |
Values shown are produced by this page in your browser; change any input to update them.
How to use the Calmar Ratio Calculator
- Annualised return β CAGR (%) β default 12
- Maximum drawdown (%) β default 20
- Risk-free rate (%) β default 3
- Years of data β default 5
- Press Calculate to update the results instantly.
Frequently asked questions
Sharpe penalises all volatility, upside included. Calmar only looks at the worst peak-to-trough fall, which investors feel far more acutely than day-to-day noise.
Above 0.5 is acceptable, above 1.0 is strong, and the best managed-futures programmes run 2β3. Anything below 0.3 suggests the return is not compensating for the drawdown risk.
Enormously. A three-year Calmar that misses a major bear market flatters the strategy. Always compute it over at least a full market cycle, ideally ten years.