Calmar Ratio
Calculate the Calmar Ratio of an investment portfolio or asset’s returns.
The Calmar Ratio is a risk-adjusted return metric that divides the (annualized) return of an investment portfolio or asset by its Maximum Drawdown, providing insight into the return achieved per unit of the worst historical loss of value.
The formula is as follows:
\[\text{Calmar Ratio} = \text{Return} / | \text{Maximum Drawdown} |\]See definition: https://en.wikipedia.org/wiki/Calmar_ratio
Also known as: Drawdown ratio.
Calmar Ratio in Python
get_calmar_ratio is part of the Performance module of the open-source Finance Toolkit. Install it with:
pip install financetoolkit -U
Then call get_calmar_ratio as shown below.
from financetoolkit import Toolkit
toolkit = Toolkit(["AAPL", "TSLA"], api_key="FINANCIAL_MODELING_PREP_KEY")
toolkit.performance.get_calmar_ratio()
Which returns:
| Date | AAPL | TSLA |
|---|---|---|
| 2021 | 1.8052 | 1.3727 |
| 2022 | -0.8734 | -0.8942 |
| 2023 | 3.1929 | 3.1074 |
| 2024 | 1.9404 | 1.461 |
| 2025 | 0.2834 | 0.2356 |
| 2026 | 1.0648 | -0.5212 |
Parameters
get_calmar_ratio accepts the following parameters:
- period (str, optional): The period to use for the calculation. Defaults to “quarterly” if the Toolkit is initialized with quarterly=True, otherwise “yearly”.
- within_period (bool, optional): Whether to calculate the Maximum Drawdown within the specified period or for the entire period. Thus whether to look at the Maximum Drawdown 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.