What is the Calmar Ratio?
Calmar Ratio = CAGR / |Max Drawdown|. It tells you how much return you get per unit of maximum pain. Higher is better. A Calmar of 1.0 means the annualized return equals the max drawdown - you earned back exactly what you could have lost.
Formula
Calmar = CAGR / |Max Drawdown|
Only computed for periods ≥ 1Y (where CAGR is meaningful). We show it alongside the CAGR and Max DD columns for 1Y, 3Y, 5Y, and 10Y periods.
Worked Example
Calmar over 3 years
CAGR: 18.5%
Max Drawdown: −12.3%
Calmar = 18.5 / 12.3 = 1.50
For every 1% of maximum pain, you earned 1.5% annual return. Solid risk-adjusted performance.
How to Interpret
- Calmar > 1.5: Strong risk-adjusted returns
- Calmar 0.5 to 1.5: Reasonable
- Calmar < 0.5: The drawdown pain is large relative to returns
Related metrics
More Returns methodology from the MFPRO analytics tool: