What is the Calmar Ratio?
Sharpe and Sortino measure risk as volatility. Calmar measures it differently - as the single worst peak-to-trough loss the fund actually experienced. It answers “how much did I earn, per unit of the deepest hole I’d have had to sit through?”
Calmar = CAGR / |Max Drawdown|
Higher is better - more return earned per unit of worst-case loss.
Real comparison across 6 funds
CHART
3Y Calmar Ratio - 6 real funds
Same 3-year window used for CAGR and max drawdown.
Funds compared: Canara Robeco Flexi Cap Fund - Direct Plan - Growth · Canara Robeco Large and Mid Cap Fund - Direct Plan - Growth · Bandhan Large Cap Fund - Direct Plan - Growth · Franklin India Small Cap Fund - Direct - Growth · Franklin India Large Cap Fund - Direct - Growth · Canara Robeco Infrastructure Fund - Direct Plan - Growth
Reading the spread
Across these 6 funds, Calmar ratio runs from 0.63 (Franklin India Small Cap Fund - Direct - Growth) to 0.93 (Canara Robeco Infrastructure Fund - Direct Plan - Growth), a gap of 0.30. The middle value is 0.79, with 3 of 6 above it. Taking higher as better, Canara Robeco Infrastructure Fund - Direct Plan - Growth leads and Franklin India Small Cap Fund - Direct - Growth trails on this measure alone.
How to use it in practice
Calmar divides a fund’s annual return by its maximum drawdown, so it asks how much return you got for the worst fall you had to sit through. A higher figure means a smaller worst-case loss relative to return. It is a useful companion to Sharpe because it focuses on the single worst episode rather than average volatility.
Common mistakes
Because it rests on one worst drawdown, Calmar is unstable: one bad month in the window can change it sharply. It also depends heavily on the window length, and a fund with a short history and no real fall will look excellent. Treat it as one view of risk, not the only one.
Frequently asked questions
How is the Calmar Ratio calculated?
It divides the fund’s annualised return by its maximum drawdown over the same period, so it compares return with the worst fall.
What is a good Calmar Ratio?
Higher is better. A ratio above 1 means the annual return exceeded the worst fall, though the useful comparison is against category peers.
Why can the Calmar Ratio change a lot?
Because the drawdown in the denominator comes from one episode. A single bad month in the window can change the ratio sharply.
WHAT THIS MEANS FOR YOU Calmar penalizes a single bad drawdown much more heavily than Sharpe does - two funds with similar Sharpe Ratios can have very different Calmar Ratios if one of them had one sharp, deep fall. Useful for investors who care specifically about “how bad could the worst stretch actually feel,” not just average volatility.
METHODOLOGY Computed over a trailing 3-year window, using the same max-drawdown figure (true peak-to-trough, not just the lowest NAV point in the window) shown on each fund’s own page. See methodology. Not investment advice.