How to use the Calmar ratio calculator
From figures is the quick version. Enter the annualized return (compound annual growth rate) and the maximum drawdown as a positive number, for example from a fund factsheet or a backtest report. Use figures for the same period, usually the last three years.
From returns works from raw data:
- Paste the returns in percent, oldest first. The example has 60 monthly returns of a fictional fund.
- Choose the frequency, so the calculator knows how many returns make a year.
- Set the Calmar window. Three years is the convention; the calculator uses the most recent returns that fit in it.
The results show the Calmar ratio for the window, the MAR ratio for the full history, and the return and drawdown behind each. The chart plots the growth of $10,000 with the deepest decline marked.
The Calmar ratio formula
The ratio is named after California Managed Accounts Reports, a newsletter that tracked managed futures funds, and it is still most common in that industry. The MAR ratio, named after another newsletter, Managed Account Reports, uses the same formula over the whole track record.
A worked example
From figures. A fund returned 9% a year and its worst decline was 12%. The Calmar ratio is 9% ÷ 12% = 0.75. Recovering a 12% fall takes a 13.64% gain, which at 9% a year is about 1.5 years of growth.
From returns. Over the last 36 months of the example series, the fund grew 10.70% a year and its deepest fall was 4.20%, a Calmar ratio of 2.55. Over the full five years the picture changes: the return is 9.58% a year, but the maximum drawdown is 15.49%, giving a MAR ratio of 0.62.
Why the window changes the answer so much
The deepest decline in the example happened in the first two years, so it falls outside the three-year window. The Calmar ratio forgets it; the MAR ratio does not.
| Window | Calmar ratio | Maximum drawdown in the window |
|---|---|---|
| Last 1 year | 4.17 | 2.30% |
| Last 3 years (convention) | 2.55 | 4.20% |
| Full 5 years (MAR ratio) | 0.62 | 15.49% |
A fixed 36-month window keeps the measure current and puts funds of different ages on the same footing. The cost is that a fund’s Calmar ratio jumps when an old drawdown rolls out of the window, without anything changing in how the fund is run. When a ratio looks high, check the full-history figure and the maximum drawdown over the longest period available.
How to read the result
A Calmar ratio of 1.0 means one year of return equals the worst loss. Below 1.0, the worst fall wiped out more than a year of gains; a fund returning 9% a year with a 12% drawdown, as in the example, needs about 1.5 years of growth just to get back to its peak. A higher ratio, such as 1.88 for a 15% return with an 8% drawdown, means losses were small relative to the return.
Because the denominator is a single event, the ratio is sensitive to sample length. Short track records rarely include a severe decline, so they tend to show flattering ratios. A strategy that has never been through a bear market has not yet shown its real drawdown.
What this calculator does not include
The calculator uses the returns you enter as they are: it does not deduct fees or taxes, and it does not adjust for deposits or withdrawals. Monthly data misses declines within the month, so daily data gives a deeper and more accurate drawdown. The ratio ignores how long the drawdown lasted and how often losses occurred; the Sharpe and Sortino ratios and the Ulcer Index fill those gaps.