What is the Calmar ratio, and what is a good one?
Updated Nov 9, 2026 · 2 min read
The Calmar ratio divides annual return by max drawdown. Formula, how to read it, and the one-year Calmar ratio of BTC, ETH, SOL, HYPE, XRP and DOGE on Nov 9, 2026.
What is the Calmar ratio? The Calmar ratio is a strategy’s annualised return divided by its maximum drawdown over the same period, usually the last 36 months. It answers one question: how much return did you get for the worst fall you had to sit through? A Calmar of 2 means the yearly return was twice the deepest drawdown.
Key takeaways
- Calmar = annualised return ÷ |max drawdown|.
- Created by Terry Young in 1991 to compare commodity trading advisors; the name comes from his newsletter, the California Managed Accounts Reports.
- Unlike the Sharpe ratio, it only counts the single worst loss, not day-to-day volatility.
- A negative Calmar means the return itself was negative.
One-year Calmar ratios on Hyperliquid, Nov 9, 2026
The table treats buy-and-hold of each perp’s price as the strategy, over the 365 days to Nov 9, 2026.
| Market (buy and hold) | Return, last 365 days | Max drawdown, same window | Calmar ratio |
|---|---|---|---|
| BTC | -29.2% | -44.7% | -0.65 |
| ETH | -41.1% | -56.3% | -0.73 |
| SOL | -47.8% | -62.8% | -0.76 |
| HYPE | 74.4% | -49.8% | 1.49 |
| XRP | -54.2% | -60.7% | -0.89 |
| DOGE | -61.7% | -62.2% | -0.99 |
Only HYPE had a positive one-year return: 74.4% against a 49.8% worst fall, a Calmar of 1.49. BTC lost 29.2% over the year with a 44.7% drawdown along the way, a Calmar of −0.65.
How to calculate the Calmar ratio
- 01Compute the annualised return over the window (for exactly one year, the plain return).
- 02Compute the max drawdown over the same window.
- 03Divide the return by the absolute value of the drawdown.
Example: a strategy makes 30% in a year and its worst fall was 12%. Calmar = 30 ÷ 12 = 2.5.
Calmar vs Sharpe vs profit factor
| Metric | Formula | What it punishes |
|---|---|---|
| Calmar ratio | Annual return ÷ max drawdown | The single deepest fall |
| Sharpe ratio | Excess return ÷ volatility of returns | All swings, up and down |
| Sortino ratio | Excess return ÷ downside volatility | Only the down swings |
| Profit factor | Gross profit ÷ gross loss | Losing trades, regardless of order |
What is a good Calmar ratio?
Above 1 means the yearly return beat the worst drawdown; many fund allocators treat 2 to 3 or more as strong. Buy-and-hold HYPE scored 1.49 over the year to Nov 9, 2026, while BTC, ETH, SOL, XRP and DOGE were negative.
What is the difference between the Calmar and Sharpe ratios?
Sharpe divides return by the volatility of all returns; Calmar divides return by the single worst peak-to-trough fall. Calmar is closer to how it feels to hold a strategy through its worst stretch.
What period should the Calmar ratio use?
Terry Young’s original definition uses the last 36 months. Shorter windows are common for crypto strategies, but a one-year Calmar can swing a lot with a single bad month.
Can the Calmar ratio be negative?
Yes. If the return over the window is negative, the ratio is negative. Five of the six perps in the table had negative one-year Calmar ratios on Nov 9, 2026.
Build a strategy with a drawdown limit
Describe the rules and the worst fall you will accept. Senpi runs it with a stop and a drawdown halt.
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