Sortino Ratio and Calmar Ratio Calculator
Two risk-adjusted performance ratios that only count the bad risk: Sortino divides the excess return by the downside deviation, Calmar divides the return by the worst peak-to-trough fall.
Results
What this tool does
The Sharpe ratio punishes a fund for big gains as much as for big losses, because standard deviation does not care about direction. Sortino fixes that by measuring risk only from returns below your minimum acceptable return, the downside deviation, which you take from a return series with the formula √(mean of the squared shortfalls). Calmar goes further and uses just the worst drawdown, which is how many investors actually feel risk; the classic version uses a three-year window. Neither tells you the future, and both depend heavily on the period measured.
Formula
Sortino = (R − MAR) ÷ downside deviation · Calmar = annual return ÷ maximum drawdown
Variables
| Symbol | Meaning | Unit |
|---|---|---|
rp | Return per year | % |
mar | Minimum acceptable return (target or risk-free rate) | % |
dd | Downside deviation per year | % |
md | Maximum drawdown (largest peak-to-trough fall) | % |
SO | Sortino ratio | — |
CA | Calmar ratio | — |
RS | Return needed for a Sortino ratio of 1 | % |
RC | Return needed for a Calmar ratio of 1 | % |
Worked example
- Return per year10 %
- Minimum acceptable return (target or risk-free rate)2 %
- Downside deviation per year7 %
- Maximum drawdown (largest peak-to-trough fall)18 %
- Sortino ratio1.14
- Calmar ratio0.56
- Return needed for a Sortino ratio of 19.00 %
- Return needed for a Calmar ratio of 118.00 %
Limitations
- This is an informational calculator, not personalised financial advice. Rates, fees, taxes and contract conditions vary between institutions and countries.
- The default values are typical reference figures, not measurements of your situation. Replace them with your own data whenever you have it.