Burke Ratio
Calculate the Burke Ratio of an investment portfolio or asset’s returns.
The Burke Ratio is a risk-adjusted return metric that divides the excess return (return minus the risk-free rate) of an investment portfolio or asset by the square root of the sum of its squared drawdowns, penalizing both the frequency and depth of drawdowns more heavily than the Calmar or Sterling Ratios.
The formula is as follows:
\[\text{Burke Ratio} = (\text{Return} - \text{Risk-Free Rate}) / \sqrt{\operatorname{SUM}(\text{Drawdowns} ^{2})}\]No programming experience? With the Finance Toolkit MCP server, AI assistants such as Claude and ChatGPT can calculate the Burke Ratio for you. Just ask in plain English.
Calculate the Burke Ratio in Python
The Burke Ratio is available in the Performance module of the open-source Finance Toolkit. Install it with:
pip install financetoolkit -U
Then call get_burke_ratio as shown below.
from financetoolkit import Toolkit
toolkit = Toolkit(["AAPL", "TSLA"], api_key="FINANCIAL_MODELING_PREP_KEY")
toolkit.performance.get_burke_ratio()
Which returns:
| Date | AAPL | TSLA |
|---|---|---|
| 2021 | 0.2606 | 0.1513 |
| 2022 | -0.1172 | -0.1172 |
| 2023 | 0.502 | 0.4155 |
| 2024 | 0.2519 | 0.1765 |
| 2025 | 0.0246 | 0.0195 |
| 2026 | 0.1417 | -0.1284 |
Parameters
get_burke_ratio accepts the following parameters:
- period (str, optional): The period to use for the calculation. Defaults to “quarterly” if the Toolkit is initialised with quarterly=True, otherwise “yearly”.
- within_period (bool, optional): Whether to calculate the drawdowns within the specified period or for the entire period. Thus whether to look at the drawdowns within a specific year (if period = ‘yearly’) or look at the entirety of all years. Defaults to True.
- rounding (int, optional): The number of decimals to round the results to. Defaults to 4.
- growth (bool, optional): Whether to calculate the growth of the ratios. Defaults to False.
- lag (int | str, optional): The lag to use for the growth calculation. Defaults to 1.
- standardize (bool, optional): Whether to standardize (Z-Score) the result. When combined with growth=True, standardizes the growth values instead of the raw values. Defaults to False.
Related Performance Metrics
The Performance module page introduces the module, and the sidebar lists all of its functions.