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 return of an investment portfolio or asset over each period (a calendar-year return for period=’yearly’, a quarterly return for period=’quarterly’) 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 or via the MCP
Install the Finance Toolkit with:
pip install financetoolkit -U
Then call get_calmar_ratio as shown below.
from financetoolkit import Toolkit
toolkit = Toolkit(
["VTI", "VEA", "VWO"],
api_key="FINANCIAL_MODELING_PREP_KEY",
start_date="2020-01-01",
end_date="2025-12-31",
)
toolkit.performance.get_calmar_ratio()
Or, after setting up the Finance Toolkit MCP, ask:
What was the Calmar ratio of VTI, VEA and VWO in each year from 2021 to 2025?
Which returns:
| Date | VTI | VEA | VWO |
|---|---|---|---|
| 2021 | 4.9482 | 1.643 | 0.0948 |
| 2022 | -0.7709 | -0.5338 | -0.6106 |
| 2023 | 2.4416 | 1.483 | 0.7946 |
| 2024 | 2.7771 | 0.3321 | 1.1734 |
| 2025 | 0.8851 | 2.6195 | 1.7646 |
Parameters
get_calmar_ratio accepts the following parameters.
| Parameter | Type | Description | Example |
|---|---|---|---|
period | str | The period to use for the calculation. Defaults to “quarterly” if the Toolkit is initialised with quarterly=True, otherwise “yearly”. | "quarterly" |
within_period | bool | 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. | False |
rounding | int | None | The number of decimals to round the results to. Defaults to None, which uses the rounding of the Toolkit (4 unless set otherwise). | 2 |
growth | bool | Whether to calculate the growth of the ratios. Defaults to False. | True |
lag | int | list[int] | The lag to use for the growth calculation. Defaults to 1. | 4 |
standardize | bool | Whether to standardize (Z-Score) the result. When combined with growth=True, standardizes the growth values instead of the raw values. Defaults to False. | True |