Methodology · reviewed
Falls, recoveries and the Calmar ratio
A fall is measured from a weekly high to the lowest weekly close that followed, and ends when the price is back at the old high. We list the three deepest, including any that has not recovered yet.
The formula
fall = lowest close ÷ previous high − 1 · Calmar = annualised return ÷ |largest fall| over the same window
Worked example
A price that went from £110 to £90 and back to £111 fell 18.2%; if the low came one week after the high and the recovery two weeks after the low, it took 1 week to fall and 2 to recover.
How it is done
Uses the last five years of weekly closes in pounds; where the record is shorter, the period is labelled with its start.
Falls of less than 2% are not listed.
If the span holds a weekly move of more than +50% or −33% in a fund that is not leveraged, or most weeks are missing, no falls are shown: a stale price would invent a fall and a recovery.
Calmar uses the same 1-, 3- and 5-year windows as the other risk measures.
Limits to know about
- Weekly closes miss moves that reverse within a week, so a fall can read slightly smaller than on daily data.
- A fall already under way when the record starts is measured from the first close.
- Past falls do not tell you how deep or long future ones will be.
Sources
- Fundology closes
- TradingView weekly history (used for derived figures only)
- ECB reference rates via Frankfurter
Reviewed . If a figure on the site does not follow this method, tell us. This is information, not advice.