What Is the Calmar Ratio? Why Zcash Scores 34 With a 72% Drawdown Inside It

The Calmar ratio is a risk-adjusted return metric that divides annualised return by maximum drawdown over the same window. Above 1 means the yearly gain outran the worst peak-to-trough loss. Think of it as height climbed divided by the deepest hole on the way up.

Calmar Ratio at a Glance

Zcash over the 365 sessions ending Sunday 6 September 2026 prints a Calmar of 34.53 on Phemex spot closes. Inside that window ZEC fell 71.83% from peak close to trough close over 111 sessions. BTC and ETH both print negative.

That's what a ranking table shows you, and it's arithmetically correct. Hold ZEC on 2x leverage through those 111 sessions and you'd have been liquidated while the Calmar printed 34. Read the gap between the ratio and the ruin.

What Does the Calmar Ratio Measure?

Terry W. Young published the ratio in Futures magazine in October 1991, and the name abbreviates his firm, California Managed Accounts Reports. He divided a fund's average annual return over the trailing 36 months by its maximum drawdown across those same 36 months, refreshed monthly.

Young's fixed rolling window was the point, since a since-inception ratio like MAR can be flattered forever by one good first year.

The Sharpe ratio divides excess return by total volatility, and the Sortino ratio divides it by downside deviation. Calmar swaps the denominator again, for the single worst peak-to-trough loss in the window.

Sharpe punishes every wobble, Sortino every losing period, Calmar one event. The deepest fall is what ends a leveraged position, and Calmar is the only one of the three that measures it directly.

How Do You Calculate the Calmar Ratio on Real Closes?

The desk ran three assets over one window, the Saturday 6 September 2025 close to the Sunday 6 September 2026 close, 365 Phemex spot daily closes. One year, so the period return is the annualised return. Drawdown is measured close to close.

Every cell comes from the Phemex spot daily klines for sBTCUSDT, sETHUSDT and sZECUSDT, pulled Monday 7 September 2026 and sorted by bar timestamp.

Recompute it from two closes and one walk of the same series. ZEC's 47.54 start to its 1,226.67 finish is 25.80x, or +2,480.29% over the 365 sessions, the whole numerator.

Then walk those closes tracking the running peak. The deepest reading below that peak is 197.37 against 700.68, or −71.83%. Divide the return by the drawdown and you get 34.53, and the same two steps rebuild every row.

Why Does the Window Change the Calmar Ratio So Much?

Young's 36-month version can't be built on this feed. The Phemex spot series begins on Tuesday 12 December 2023, which gives 999 sessions to the anchor, short of the 1,096 that three years needs. Over those 2.74 years the return compounds into an annual rate.

Same asset, same feed, same drawdown, and ZEC's ratio fell from 34.53 to 3.95. BTC flipped positive and ETH crawled to 0.07, because the longer window includes the 2024 climb the one-year window cut off. Nothing about the coins changed, only the frame.

Changing the window works like changing the lens on a camera. The subject doesn't move. The frame decides what lands in the shot, and a Calmar ratio printed without its window is a photo with no caption. Print the window every time.

What Can the Calmar Ratio Not Tell You?

If You Survived the Drawdown

ZEC's closing drawdown would have liquidated any long above about 1.4x leverage, because 1 divided by 0.7183 is 1.39. The ratio prints 34.53 anyway. The numerator has no ceiling and the denominator cannot exceed 100%, so a big rally papers over a fatal fall.

BTC's −52.96% sets the same line at about 1.9x over that window, and ETH's −66.74% at about 1.5x. None of those three figures appears anywhere in the ratio you are handed.

How Long the Drawdown Lasted

There's no time term anywhere. ZEC's fall ran 111 sessions from the Sunday 16 November 2025 peak close to the Saturday 7 March 2026 trough. BTC's ran 267 sessions and ETH's 286, and both are more than twice as long for a shallower hole.

The formula scores all three the same per unit of depth. ZEC took another 167 sessions to regain its 700.68 peak close, on Friday 21 August 2026. Depth counts and duration doesn't, and only one lets you sleep.

BTC and ETH had not regained their peak closes by the Sunday 6 September 2026 anchor, 68 and 73 sessions past their troughs and still underwater.

A Negative Calmar Is Not a Ranking

BTC's −0.51 looks better than ETH's −0.62, and that ordering is an accident of arithmetic. A smaller loss over a smaller drawdown is less negative. Both readings say the assets lost money, and nothing about which lost it more safely.

Over the same 365 sessions BTC lost 27.07% against ETH's 41.13%, and the sign was hiding that ranking.

It Ignores Every Drawdown but the Worst

One number, one fall. An asset that fell 50% once and one that fell 45% six times can print near-identical ratios, and the second is harder to hold. The compounding behind each recovery sits in the drawdown math behind equity protection.

On the full series ETH's worst fall deepens to 67.56%, from the Friday 22 August 2025 peak close of 4,831.23 that the one-year window never saw.

How Should You Use the Calmar Ratio on Your Own Trades?

Use it as a survival filter rather than a scoreboard. Look at the denominator on its own and ask whether your leverage would have lived through it. If not, the ratio describes someone else's trade.

Frequently Asked Questions

What is a good Calmar ratio?

Above 1 means the yearly return outran the worst loss, and 3 or more is commonly treated as strong for a fund over 36 months. Any single-asset crypto reading above 10 is describing the window.

Is the Calmar ratio better than the Sharpe ratio?

Different question, not better. Sharpe prices every swing, Calmar prices only the deepest fall. A leveraged futures trader is finished by the fall, so Calmar answers the question that matters most to you.

How do you calculate maximum drawdown for the Calmar ratio?

Walk the closing series, track the highest close, and record each close's percentage distance below that running peak. The most negative reading is the maximum drawdown. Use closes or intraday lows, and say which.

Can the Calmar ratio be negative?

Yes, whenever the window's annualised return is a loss. The sign tells you the asset lost money, and the size tells you nothing, because a smaller loss over a smaller drawdown reads as less negative.

Bottom Line

Read a Calmar ratio in three steps, in this order. Check the window and the feed. Look at the drawdown on its own and ask whether your leverage would have survived it. Then, and only then, look at the ratio.

For ZEC, the 34.53 stays pinned to the Saturday 7 March 2026 trough until a close below roughly 345, the anchor high less 71.83%. Every higher close only inflates the numerator. Respect a number like that, and never trade on it alone.

This article is for informational purposes only and does not constitute financial or investment advice. Cryptocurrency trading involves substantial risk. Always conduct your own research before making trading decisions.