Performance Metric

Calmar Ratio — Definition & Example

Annualised return divided by max drawdown — risk-adjusted return using worst-case decline.

Calmar ratio is similar in spirit to Sharpe but uses max drawdown instead of standard deviation as the risk measure. This makes it more relevant to traders who care about psychological pain (drawdowns) more than statistical volatility. Calmar above 0.5 is reasonable; above 1.0 is good; above 3.0 is excellent and rare.

Formula

Calmar Ratio = Annualised Return / Max Drawdown

Example

Strategy returned 24% annualised with a 12% max drawdown. Calmar = 24 / 12 = 2.0.

Sharpe Ratio Sortino Ratio Max Drawdown Recovery Factor

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Calmar Ratio — Definition & Example

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