The Sharpe ratio and the Sortino ratio ranked six funds in the same order from 18 November 2004 to 10 November 2026. The Calmar ratio did not. It put GLD (the gold exchange-traded fund, or ETF, a fund that trades like a share) ahead of SPY (the S&P 500 ETF), while the other two put SPY ahead.
All three ratios divide the return a fund earned by a measure of its risk. Sharpe and Sortino differ in the risk they count. Calmar changes both the return and the risk. We wrote this on 11 November 2026, using prices to the close on 10 November 2026, with dividends counted.
What is the difference between the Sharpe, Sortino and Calmar ratios? The Sharpe ratio divides a fund's return above the Treasury bill rate (what 3-month US government debt pays) by how widely its daily returns swing. The Sortino ratio divides the same return by the downside swings only. The Calmar ratio divides the compound annual return, the one yearly rate that grows the start price into the end price, by the worst fall from a high.
Sharpe and Sortino gave the same order for all six funds over 22.0 years. QQQ (the Nasdaq-100 ETF, a fund of large Nasdaq companies) ranked first on all three ratios.
Calmar swapped SPY and GLD. Its order differed from Sharpe's in 13 of the 21 full calendar years from 2005 to 2025.
A ratio ranks funds only over the window it is run on. The order changed between 2004 to 2015 and 2016 to 2026.
What do the three ratios measure?
All three have a return on top and a risk on the bottom. A higher score means more return for the risk counted.
The Sharpe ratio uses the fund's mean (average) return above the Treasury bill rate, called the excess return. The bottom is volatility, a measure of how widely daily returns swing around their average, scaled to a year. Our Sharpe ratio explainer has the method.
The Sortino ratio keeps the same top. Its bottom is downside deviation. We take only the days when a fund returned less than the bill rate, square those shortfalls, average them over all days, and take the square root.
The Calmar ratio uses a different top and bottom. The top is the compound annual return, the single yearly rate that turns the starting price into the ending price, with no bill rate taken off. The bottom is the worst fall, the largest drop from a closing high to a later closing low. Our drawdown explainer covers it.
How did we test them?
We tested six ETFs: SPY, QQQ (the Nasdaq-100 ETF), IWM (the US small-company ETF), TLT (the 20-plus-year US Treasury bond ETF), IEF (the 7-to-10-year US Treasury bond ETF), and GLD. GLD started last, on 18 November 2004, so every fund shares that start.
The window runs from 18 November 2004 to 10 November 2026. That is 5,529 daily prices, or 5,528 daily returns, over 22.0 years. We used each fund's dividend-adjusted closing price.
For the bill rate we used the 3-month Treasury bill rate published by the Board of Governors of the Federal Reserve System, taking the previous day's rate for each day. The rate averaged 1.79% across the window and stood at 4.06% on 9 November 2026, its latest reading.
How did the six funds rank?
QQQ ranked first on all three ratios. It scored 0.66 on Sharpe, 0.94 on Sortino, and 0.28 on Calmar. TLT ranked last on all three, with 0.15, 0.21, and 0.06.
Only one pair swapped. SPY ranked second on Sharpe and Sortino, with 0.54 and 0.76. GLD ranked third, with 0.52 and 0.73. On Calmar, GLD scored 0.22 and SPY 0.19.
Source: YX Insights price data
Only SPY and GLD change places, between Sortino and Calmar. Every other fund holds the same rank on all three ratios.
The Sortino score runs about 1.4 times the Sharpe score, so only the order is comparable. The table shows all 18 scores, with each fund's rank in brackets.
Fund | Sharpe ratio (rank) | Sortino ratio (rank) | Calmar ratio (rank) |
|---|---|---|---|
QQQ | 0.66 (1) | 0.94 (1) | 0.28 (1) |
SPY | 0.54 (2) | 0.76 (2) | 0.19 (3) |
GLD | 0.52 (3) | 0.73 (3) | 0.22 (2) |
IWM | 0.39 (4) | 0.55 (4) | 0.14 (4) |
IEF | 0.21 (5) | 0.31 (5) | 0.13 (5) |
TLT | 0.15 (6) | 0.21 (6) | 0.06 (6) |
18 November 2004 to 10 November 2026, dividends counted. Funds listed in Sharpe order. Source: YX Insights price data; Board of Governors of the Federal Reserve System
Why do Sharpe and Sortino agree?
Downside deviation was between 0.70 and 0.71 of volatility for all six funds. SPY's volatility was 18.84% and its downside deviation 13.39%, a ratio of 0.71. IEF's were 6.73% and 4.69%, a ratio of 0.70.
If gains and losses were spread evenly, the figure would be about 0.71. Dividing by about 0.71 of volatility for every fund multiplies each Sharpe score by almost the same factor, so the order stays.
SPY's mean excess return was 10.22% a year. Divided by 18.84% volatility, it gives a Sharpe ratio of 0.54. Divided by 13.39% downside deviation, it gives a Sortino ratio of 0.76.
The two ratios did split in one place. In 2006, Sharpe ranked GLD above IWM, while Sortino ranked IWM above GLD. Across the 21 full calendar years from 2005 to 2025, the two gave the same order in 20.
Sortino also depends on its target, the return a day must reach to avoid counting as a shortfall. We set the target at the bill rate. With a target of zero and no bill rate taken off the top, IEF moves above IWM. Apart from that swap, the order matches Sharpe's.
Monthly returns for 263 months gave the same Sharpe and Sortino order as the daily test.
Why does Calmar rank them differently?
Calmar uses one event. SPY's worst fall of 55.2% ran from 9 October 2007 to 9 March 2009. GLD's worst fall of 45.6% ran from 22 August 2011 to 17 December 2015.
Source: YX Insights price data
GLD's mean excess return was 9.55% a year, against SPY's 10.22%. Their volatilities were 18.84% and 18.30%. Sharpe and Sortino saw two funds with similar volatility and similar returns, with SPY slightly ahead.
Calmar uses the compound annual return instead: 10.75% for SPY and 10.12% for GLD. It divides each by the fund's worst fall. SPY's 10.75% over 55.2% gives 0.19. GLD's 10.12% over 45.6% gives 0.22.
On Sharpe, SPY led GLD by 0.02. On Calmar, GLD led SPY by 0.03. One episode sets each fund's bottom figure.
Calmar also ignores the bill rate, which mattered most for the two bond funds after 2015.
When do the rankings flip?
We split the window at the end of 2015. The table and both charts use the full 22.0 years.
From 18 November 2004 to 31 December 2015, IEF ranked first on both Sharpe and Calmar. Sharpe ranked QQQ second, with 0.53, and TLT third, with 0.43. Calmar ranked TLT second, with 0.25, and QQQ third, with 0.20. TLT's worst fall in that period was 26.6%, against 53.4% for QQQ.
From 1 January 2016 to 10 November 2026, Sharpe ranked TLT fifth, with -0.14, and IEF sixth, with -0.17. Calmar ranked IEF fifth, with 0.04, and TLT sixth, with -0.02.
IEF's compound annual return of 0.97% was above zero, so Calmar scored it positive. Its return still fell short of the bill rate, which averaged 2.30% over those years, so Sharpe scored it negative.
Calmar does not subtract the bill rate. IEF's worst fall of 23.9% was also about half of TLT's 48.3%.
Single years show the same split. Across 21 full calendar years, Sharpe and Calmar gave the same order in 8. They named the same top fund in 18. They differed on the top fund in 2013, 2018, and 2024.
Each ratio answers a different question about one window. None replaces the others.
Sharpe asks how much return a fund earned for each unit of swing. Sortino asks the same with upward swings ignored. Calmar asks how much return the fund earned for its single worst fall.
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Common questions about the Sharpe, Sortino and Calmar ratios
What is the difference between the Sharpe ratio and the Sortino ratio?
The Sharpe ratio divides a fund's return above the Treasury bill rate by all its volatility. The Sortino ratio divides it by downside deviation only, which counts days below the bill rate. For six funds from 18 November 2004 to 10 November 2026, the two gave the same order, because downside deviation was 0.70 to 0.71 of volatility for each.
What is the Calmar ratio?
The Calmar ratio divides a fund's compound annual return by its worst fall from a closing high. SPY's was 0.19 from 18 November 2004 to 10 November 2026: a 10.75% annual return over a 55.2% fall. It ignores the Treasury bill rate and depends on one episode, so it can rank funds differently from Sharpe.
Is a higher Sortino ratio better?
A higher Sortino ratio means more return above the bill rate for each unit of downside deviation. QQQ scored 0.94 from 18 November 2004 to 10 November 2026, the highest of six funds. TLT scored 0.21, the lowest. The score compares funds only over the same window and target.
Why do Sharpe and Calmar rank funds differently?
Sharpe divides by volatility across every day, while Calmar divides by one worst fall. SPY and GLD scored 0.54 and 0.52 on Sharpe, but 0.19 and 0.22 on Calmar, because GLD's worst fall of 45.6% was shallower than SPY's 55.2%. Calmar also leaves out the bill rate.
DISCLAIMER: This article is intended for educational purposes only. Any information or analysis in this note does not constitute an offer to sell or a solicitation of an offer to buy any securities. Nothing in this note is intended to be investment advice, nor should it be relied upon to make investment decisions. Any opinions, analyses, or probabilities expressed in this note are those of the author as of the note's date of publication and are subject to change without notice.
