What does Calmar ratio measure?
✅ Higher = more return relative to the largest decline
The annual return divided by the largest decline from a peak in the period.
Background: Terry W. Young, 1991 (California Managed Account Reports).
How is Calmar ratio calculated?
CAGR / |Max DD|
CAGR = annual return · Max DD = largest decline from a peak (absolute value)
How are values of Calmar ratio usually read?
- < 0.5
- low
- 0.5 – 1.0
- medium
- 1.0 – 2.0
- high (annual return ≥ largest decline)
- > 2.0
- very high (rarely lasting)
Rules of thumb — where a value lands depends on asset class, period and market phase. A classification is no recommendation.
Worked example with real prices
Three securities from the test data, four allocations, calculated in the portfolio backtester over the same period:
| World equities | Euro government bonds | Gold | CAGR | Maximum drawdown | Calmar ratio |
|---|---|---|---|---|---|
| 100 % | 0 % | 0 % | 12.69 % | -33.63 % | 0.38 |
| 60 % | 40 % | 0 % | 8.37 % | -21.54 % | 0.39 |
| 40 % | 40 % | 20 % | 7.99 % | -16.35 % | 0.49 |
| 0 % | 100 % | 0 % | 1.59 % | -22.59 % | 0.07 |
The Calmar ratio here is calculated from the rounded values in the table: CAGR divided by the maximum drawdown.
Prices from 13 Nov 2009 to 7 Oct 2026 in euros, starting capital €10,000, annual rebalancing, without order fees and taxes; Sharpe ratio with a risk-free rate of 2 %. Past results are no indication of future ones.
All three securities are in the test data — you can recalculate the example yourself on the free plan.
When is Calmar ratio useful?
When the largest decline matters more to you than day-to-day volatility. That decline can stretch over days or months and is not a limit for future losses.
What are the limits of Calmar ratio?
Depends on a single decline. One crisis more or less in the period changes the value a lot.
Where do you see Calmar ratio for your own securities?
In the portfolio backtester, Calmar ratio appears for every calculated allocation of your securities. The Watchlist shows it for each individual security.
Last updated: 30 Oct 2026