Sharpe, Sortino and Calmar Calculator

Risk-adjusted return is one idea with several accountants. The Sharpe ratio divides excess return by total volatility; the Sortino ratio penalises only downside volatility; the Calmar ratio divides annual return by the worst drawdown. Same track record, three verdicts.

This bench computes all three from the same inputs, which is the fastest way to understand what each one rewards. A strategy with smooth gains and rare sharp losses can carry a flattering Sharpe and an ugly Calmar; a volatile strategy that only swings upward looks better on Sortino than on Sharpe.

The disagreements are the point. Reading the three together, and asking which risk definition matches the mandate at hand, extracts more information than optimising any single number, and explains why allocators quote different ratios for different strategy classes.

Background reading: Sharpe ratio in the Knowledge Hub · All tools