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Sterling ratio

Return divided by an average of the worst drawdowns rather than the single deepest one, which makes it more stable across samples.

The common construction takes the average of the largest annual drawdowns over the period - often three years - and divides annualised return by that average, sometimes with a fixed 10% added to the denominator in the original formulation.

The point of averaging is statistical. max-drawdown is one draw from a distribution and moves wildly between samples; the mean of the three worst is a more stable estimate of what a bad year actually looks like. That makes Sterling better for comparing strategies and worse for answering how bad it can get.

Definitions vary between providers - some omit the 10% constant, some use a different count of drawdowns - so never compare Sterling ratios from two sources without checking the formula. That ambiguity is the main reason it is less quoted than calmar-ratio despite being the better-behaved measure.

Related: calmar-ratio, mar-ratio, max-drawdown, ulcer-index

See it drawn

Original diagrams for the ideas on this page. Illustrative, not real market data.

An equity curve and its drawdownAn account balance rising over a year, falling from a peak to a trough, then climbing back to the old peak.ACCOUNT EQUITY$20k$12k$8k024681012TIME (MONTHS)PEAK $16,000TROUGH $12,000DRAWDOWN−25%RECOVERY
Equity curve and drawdown. An account balance plotted month by month. The fall from the $16,000 peak to the $12,000 trough is a 25% drawdown, and the shaded area lasts until the balance climbs back to the old peak.

Educational only, not advice. Spotted an error? Post in Site Feedback.