The Calmar ratio divides an investment's annualised return by its maximum drawdown — the deepest peak-to-trough fall. It asks a starker question than Sharpe: how much did you earn per unit of the single worst loss you had to sit through?
Calmar = annualised return ÷ maximum drawdown, usually over a trailing 3-year window. Both are percentages, so the ratio is a plain number; higher is better. Example (illustrative): a fund returning 18% a year with a worst decline of 30% scores 18 / 30 = 0.6; another earning the same 18% but with only a 12% worst drawdown scores 18 / 12 = 1.5 — far better reward for the worst pain endured.
Average-volatility measures can smooth over a single catastrophic stretch. Calmar refuses to: it anchors on the one drawdown a real holder would most remember — the one that tests whether you stay invested or panic-sell at the bottom. Read it alongside the Sharpe and Sortino ratios, not instead of them.
The Calmar ratio is standard public statistics, not a Quantustik edge. It reflects the same risk-first principle behind our forecasts — that the worst-case drawdown, not just the average return, decides whether a position is worth holding. None of this is investment advice.
Sharpe divides return by the average volatility of returns; Calmar divides return by the single worst peak-to-trough drawdown. Calmar cares about the worst moment, Sharpe about the typical ride.
Roughly, above 1 is often strong (you earned more than your worst drawdown) and above 3 excellent — but it depends heavily on the measurement window, so compare like-for-like.
Because it rests on a single worst drawdown, including or excluding the month of a crash can swing the number sharply — so it is usually quoted over a fixed trailing window and read with other risk metrics.
Browse all S&P 500 tickers to see this metric applied to individual companies.
Educational research only — not investment advice.