Downside
Sortino and Calmar calculator downside, not all noise
Sortino uses downside deviation instead of total volatility. Calmar divides annualized return by max drawdown. Same closes, two ratios that punish different mistakes.
BTC
Sortino 1.30
Calmar is 1.40: annualized compounded return 29.2% divided by max drawdown 20.9%.
- Sortino
- 1.30
- Calmar
- 1.40
- Downside deviation
- 1.4%
- Max drawdown
- 20.9%
Annualized excess over downside deviation
Annualized return over max drawdown
Per period, below your floor
Denominator of Calmar
- Each row is daily, 365 periods a year. Annualized figures use 365 periods.
- 90 closes in the series. Computed by Thrive's portfolio engine. Rounded to the digit shown.
Upside volatility is not a defect
Sharpe treats a sharp rally as risk. Sortino does not. It divides excess return by the semideviation below a minimum acceptable return. This page uses your risk-free rate as that floor.
Calmar ignores day-to-day noise and asks one question: how much annualized return did you earn per unit of the worst peak-to-trough loss? A smooth 8% with a 40% hole scores poorly. A jumpy 8% with a 10% hole scores well.
How this page runs it
Thrive's portfolio engine measures semideviation from the closes and the minimum acceptable return, plus the mean return and the maximum drawdown of the same path. Sortino is excess mean over semideviation, annualized. Calmar is the compounded annualized return divided by max drawdown.
If the path never falls, Calmar is undefined. The page says so instead of printing infinity.
How to run it
- Paste closes.
- Set the floor. Zero means Sortino only counts negative periods.
- Read Sortino next to Sharpe. A wide gap means the volatility was mostly upside.
- Read Calmar next to max drawdown so the ratio has a denominator you can see.
FAQ
People also ask
Excess return divided by downside deviation. This page annualizes it the same way as the Sharpe page, using the square root of the number of periods in a year.
Compounded annualized return divided by the maximum drawdown in the same window. A Calmar of 1 means you earned one unit of annual return per unit of worst loss.
The annual risk-free field is converted to a per-period floor and sent as the minimum acceptable return. Use zero if you only want to penalize losing periods.
The series made most of its volatility on up days. Sortino is doing what you asked. Still check the drawdown. A high Sortino can sit on top of one ugly hole.
Related
Sharpe ratio calculator
Paste a close series. The engine returns the Sharpe ratio, the 95% band, and the probabilistic Sharpe: the chance the true ratio beats zero.
Max drawdown calculator
Peak to trough, the ulcer index, the pain index, and the worst drawdowns in the window. One close series, four ways the path hurt.
Volatility calculator
Close-to-close realized volatility from the closes you paste, de-meaned, then annualized with the calendar you pick. One asset or a whole list.
Trading journal
The ratio on a pasted series is a lab result. The journal is the book you actually traded.
Position size calculator
Vol and drawdown tell you the path. Size tells you what you can hold.
Bitcoin volatility
The live 90-close vol print for the BTC sample.
Downside on the series. Downside on the account.
Sortino on Bitcoin is a market fact. Sortino on your fills is whether you kept the upside and cut the rest. That is the journal.