Inputs
Tip: You can paste values separated by spaces, commas, or new lines. Use the example button below to preload realistic monthly data.
Annualized Return
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Max Drawdown
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Calmar Ratio
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Quick Tips
- Use at least 36 monthly observations for a more stable ratio.
- Calmar Ratio = annualized return ÷ maximum drawdown (absolute).
- Computed drawdown is based on peak-to-trough declines in the equity curve.
Equity & Drawdown Chart
Equity is plotted on the left axis; drawdown on the right axis (negative values). Data points correspond to your selected frequency.Calculation Details
| # | Return | Equity | Drawdown |
|---|
Example Data Table
Sample monthly returns you can load with the button above:
| Month | Return (%) |
|---|
Formula Used
Equity curve: Starting from E0, each period updates as Et = Et-1 × (1 + rt).
Drawdown series: Let Pt = max(E0, …, Et) be the running peak. Period drawdown is DDt = (Et − Pt) / Pt. Maximum drawdown is MDD = min(DDt) (a negative value). Magnitude used is |MDD|.
Annualized return (CAGR): If there are N periods with k periods per year, years = N / k, then CAGR = (EN / E0)^(1/years) − 1.
Calmar Ratio: Calmar = CAGR / |MDD|. If |MDD| = 0, the ratio is undefined; this tool reports "∞".
How to Use This Calculator
- Paste your periodic returns into the input box or press Load Example.
- Select the correct return frequency and starting equity value.
- Optionally toggle manual max drawdown and enter a value if you already know it.
- Click Calculate to generate the equity curve, drawdown series, and key ratios.
- Export the full table and results using the CSV or PDF buttons.
FAQs
A higher value indicates more return per unit of drawdown risk. Many discretionary and systematic strategies target values above 1, but acceptable thresholds vary by asset class and leverage.
The MAR ratio is often used interchangeably with Calmar. Sterling ratios use different drawdown conventions. Calmar typically uses the absolute maximum drawdown over the observation window.
Choose “Annual” for frequency. CAGR then reduces to the geometric mean over whole years using your horizon length. The drawdown is still computed from the equity curve implied by the series.
Yes. If the annualized return is negative, the ratio will be negative. If drawdown magnitude is zero, the ratio is undefined and reported as infinite by this tool.
More data is better. Common practice is at least 36 months when using monthly returns, mirroring the original three‑year convention behind Calmar.
Differences usually come from compounding conventions, frequency choices, or drawdown methodology. Ensure your series, frequency, and whether returns are in percent or decimal are identical.