Calmar Ratio Screener
Stocks ranked by annualized return relative to maximum drawdown
Measures annualized return relative to the worst peak-to-trough decline. It tells you how much return you get for enduring the stock's worst historical drawdown. Higher is better; above 1 means returns exceed the max drawdown, above 3 is excellent.
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What Is the Calmar Ratio?
The Calmar ratio measures how much annualized return a stock delivers relative to its worst peak-to-trough decline (maximum drawdown). Named after California Managed Accounts Reports, it directly answers the question every investor cares about: "How much return do I get for enduring the worst possible loss?"
Formula: Calmar = Annualized Return / Maximum Drawdown
For example, if a stock returns 15% annualized but experienced a 30% maximum drawdown, its Calmar ratio is 0.5 — meaning you endured twice as much pain as the return you received. A stock returning 20% with only a 10% max drawdown has a Calmar of 2.0, a much better deal.
How to Interpret It
Higher is better. A Calmar ratio above 1 means the annualized return exceeds the worst drawdown — you're being compensated more than the maximum pain. Above 3 is excellent. Below 0.5 suggests the stock's returns don't adequately compensate for its drawdown risk.
Calmar vs. Sharpe vs. Sortino
While the Sharpe and Sortino ratios measure volatility-adjusted returns, the Calmar ratio focuses specifically on the worst-case scenario. A stock can have low day-to-day volatility (high Sharpe) but still experience a devastating drawdown during a crash. The Calmar ratio catches this because it uses the single worst decline, not average volatility.
Limitations
The Calmar ratio is heavily influenced by a single event (the maximum drawdown), which may not repeat. It can also look artificially good during bull markets when drawdowns are small. Our screener shows the Calmar ratio across multiple time periods so you can see how it behaves in different market conditions. Learn more in our financial glossary.