Last updated:
How many max-drawdowns has your portfolio earned back?
Recovery factor is total return divided by the absolute value of maximum drawdown. A recovery factor of 5.0 means the portfolio earned 5x its worst drawdown in cumulative return. It is a simple sanity check: has this portfolio recovered enough to justify its worst moments?
Recovery Factor = Total Return / |Max Drawdown|Recovery Factor = Rtotal / |MaxDD|Total return is non-annualized — just cumulative gain. So Recovery Factor grows over time (assuming returns are positive on average) even if Calmar stays steady.
Recovery Factor is the most intuitive form of "is the pain worth it?" If you had a −30% drawdown and total return of 90%, your Recovery Factor is 3.0 — three drawdowns recovered. That feels reasonable. Recovery Factor below 1.0 means you have not yet recovered the depth of your worst drawdown, which is psychologically a different state.
Cumulative total return over 8 years: +185%. Max drawdown over the period: −42%.
Recovery Factor = 185% / 42% = 4.4
You earned 4.4 times your worst drawdown in cumulative gains — a healthy ratio.
Recovery Factor scales with time. For long-run portfolios (10+ years), above 3.0 is good. Below 1.0 means you have not earned back your worst drawdown — concerning regardless of horizon.
Calmar uses annualized return; Recovery Factor uses cumulative total return. Recovery Factor grows linearly with time.
Below 1.0 means you have not yet earned back the depth of your worst drawdown. For long-horizon portfolios, this is a serious warning sign.
Yes — assuming positive long-run returns, Recovery Factor grows over time even if the underlying strategy quality is constant.
Yes — in the drawdown section of the metrics panel.
Upload your brokerage CSV — Foliolytic computes Recovery Factor plus 70+ other metrics using real historical prices, real Treasury yields, and real CPI data. Free, no signup, your data stays in your browser.
Analyze your portfolio free →