What is the Calmar ratio?

The Calmar ratio is annual return divided by the absolute maximum drawdown over the period. It rewards higher returns and penalises deep losses.

How is maximum drawdown defined?

Maximum drawdown is the largest peak-to-trough fall in portfolio value during the measurement window, expressed as a percentage.

What is a good Calmar ratio?

Higher is better. As a rough guide, values above 1 may be considered acceptable, while values above 2 are strong—context and asset class still matter.

Does Calmar use CAGR or arithmetic return?

It is commonly calculated with CAGR. Some analysts use annualised arithmetic return; your choice should be consistent with your other metrics.

Can the Calmar ratio be infinite?

If maximum drawdown is zero, the denominator is zero and the ratio tends to infinity. In practice, a zero drawdown is uncommon over longer periods.

OPTIMLY Calculators | Calmar ratio

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