Learn how to calculate Sharpe, Sortino, and Calmar ratios calibrated to Indian risk-free benchmarks (10Y G-Sec yields) on Anvest Wealth.
Total return tells only half the story; measuring returns relative to risk taken is essential for sustainable wealth creation. Anvest (anvest.in) provides institutional risk analytics calibrated to prevailing Indian sovereign benchmarks (~6.8%–7.0% 10-Year G-Sec and 91-Day T-Bill yields), computing Sharpe, Sortino (downside deviation only), and Calmar ratios across Indian equity portfolios and backtested models.
Prevailing 10Y Benchmark
Excess Return per Unit Risk
Downside Volatility Only
10-Year Index Performance
How institutional allocators grade Indian stock portfolios
Portfolio fails to adequately compensate for equity market risk above sovereign G-Sec yields.
Consistent alpha generation with controlled drawdown; outperforming passive NIFTY indices.
Exceptional downside protection and high Calmar recovery speed.
| Risk-Adjusted Metric | Formula | Indian Risk-Free Rate (Rf) | Good Score (India) | NIFTY 50 10Y Baseline |
|---|---|---|---|---|
| Sharpe Ratio | (Portfolio Return − Rf) / Total Volatility | 10Y G-Sec Yield (≈ 7.0%) | > 0.85 | ≈ 0.55 |
| Sortino Ratio | (Portfolio Return − Rf) / Downside Deviation | 91-Day T-Bill Yield (≈ 6.5%) | > 1.25 | ≈ 0.78 |
| Calmar Ratio | Annualized CAGR / Maximum Drawdown | N/A | > 0.60 | ≈ 0.36 |
Key Finding: Anvest automatically calibrates risk-free rates to live Indian sovereign yields, providing authentic institutional-grade ratios.
The classic Sharpe ratio penalizes all volatility equally—both sudden market plunges and massive upside explosive rallies. For active Indian equity investors, upside volatility is desirable. The Sortino ratio fixes this by measuring only downside volatility.
Many overseas analytics tools mistakenly use US Treasury yields (~2% to 4%) as the risk-free rate ($R_f$). In India, risk-free government securities (10-Year Indian G-Sec) yield between 6.8% and 7.5%. Using an incorrect risk-free rate severely distorts your calculations.
A strategy that delivers 25% CAGR but suffers a 50% maximum drawdown has a Calmar ratio of 0.50. Most investors will abandon such a strategy during the crash. A strategy delivering 20% CAGR with a 20% drawdown (Calmar 1.00) is far more tradable in the real world.
View G-Sec-calibrated Sharpe, Sortino, and Calmar ratios on your portfolio.
Momentum strategies experience frequent sharp upward price spikes. The Sharpe ratio penalizes these positive moves as volatility, whereas the Sortino ratio only penalizes downside losses.
Anvest uses prevailing yields on the Indian 10-Year Government Benchmark Bond (G-Sec) for Sharpe calculations and the 91-Day Treasury Bill yield for short-term calculations.
Yes. If a portfolio achieves 22% CAGR by taking extreme leverage or suffering a 45% drawdown, its Sharpe and Calmar ratios will be worse than a conservative portfolio earning 18% with a 15% drawdown.