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- También conocido como:
- calmar, drawdown ratio, MAR ratio, calmar ratio formula
What is the Calmar Ratio?
Calmar ratio is CAGR divided by maximum drawdown. It tells you how much annual growth you earned per unit of worst-case loss.
Calmar is similar to the Sortino ratio, but it focuses on the single worst drawdown instead of day-to-day downside volatility. It is especially useful when large drawdowns are the main risk you want to control.
Calmar ratio calculator
Calmar Ratio Calculator
Estimate Calmar from CAGR and max drawdown (percent).
Calmar ratio formula
Calmar = CAGR / |Max Drawdown|
Step-by-step example
- CAGR: 12%
- Max drawdown: 40%
- Calmar = 0.12 / 0.40 = 0.30
Higher is better. A ratio above 1.0 is often considered strong.
What is a good Calmar ratio?
Calmar ratios vary by asset class, but a practical rule of thumb is:
| Calmar ratio | Interpretation | What it usually means |
|---|---|---|
| Below 0 | Poor | Negative returns relative to drawdown risk. |
| 0.0 – 1.0 | Suboptimal | Growth does not compensate for the worst loss. |
| 1.0 – 2.0 | Good | Solid drawdown-aware performance. |
| 2.0 – 3.0 | Very good | Strong return per unit of drawdown. |
| Above 3.0 | Excellent | Rare without taking outsized risks. |
Calmar ratio formula (explained)
Where CAGR is the compound annual growth rate and max drawdown is the worst peak-to-trough decline over the same window.
How we calculate Calmar at Gale Finance
We compute CAGR from daily close-to-close returns and max drawdown from the same price series. No forward-filling is used, so holidays and weekends stay out of the data when the asset does not trade.
If you want a smoother drawdown metric, compare Calmar with the Sterling ratio, which uses an average drawdown instead of the single worst drawdown.
Verlo en acción
XAG vs SIL shows drawdown-aware risk-adjusted returns in action.