{"id":74473,"date":"2026-10-25T18:55:45","date_gmt":"2026-10-25T10:55:45","guid":{"rendered":"https:\/\/mister.forex\/?page_id=74473"},"modified":"2026-10-26T12:21:37","modified_gmt":"2026-10-26T04:21:37","slug":"calmar-ratio-etf-risk-adjusted-return","status":"publish","type":"page","link":"https:\/\/mister.forex\/cs\/calmar-ratio-etf-risk-adjusted-return\/","title":{"rendered":"Calmar Ratio: Riziko a v\u00fdnosy ETF a kvantitativn\u00edch strategi\u00ed"},"content":{"rendered":"<div data-elementor-type=\"wp-page\" data-elementor-id=\"74473\" class=\"elementor elementor-74473\" data-elementor-post-type=\"page\">\n\t\t\t\t<div class=\"elementor-element elementor-element-88f3a17 e-flex e-con-boxed e-con e-parent\" data-id=\"88f3a17\" data-element_type=\"container\">\n\t\t\t\t\t<div class=\"e-con-inner\">\n\t\t\t\t<div class=\"elementor-element elementor-element-4b47d9f elementor-widget elementor-widget-heading\" data-id=\"4b47d9f\" data-element_type=\"widget\" data-widget_type=\"heading.default\">\n\t\t\t\t\t<h1 class=\"elementor-heading-title elementor-size-default\">Vy\u0161\u0161\u00ed v\u00fdnos, hlub\u0161\u00ed propad: Co odhal\u00ed Calmar Ratio?<\/h1>\t\t\t\t<\/div>\n\t\t\t\t<div class=\"elementor-element elementor-element-d802a71 elementor-hidden-desktop elementor-hidden-tablet elementor-widget elementor-widget-text-editor\" data-id=\"d802a71\" data-element_type=\"widget\" data-widget_type=\"text-editor.default\">\n\t\t\t\t\t\t\t\t\t<p><img fetchpriority=\"high\" decoding=\"async\" class=\"alignnone wp-image-74487 size-medium\" src=\"https:\/\/mister.forex\/wp-content\/uploads\/2026\/10\/Calmar-Ratio-Thumbnail-500x281.webp\" alt=\"\" width=\"500\" height=\"281\" srcset=\"https:\/\/mister.forex\/wp-content\/uploads\/2026\/10\/Calmar-Ratio-Thumbnail-500x281.webp 500w, https:\/\/mister.forex\/wp-content\/uploads\/2026\/10\/Calmar-Ratio-Thumbnail-1200x675.webp 1200w, https:\/\/mister.forex\/wp-content\/uploads\/2026\/10\/Calmar-Ratio-Thumbnail-300x169.webp 300w, https:\/\/mister.forex\/wp-content\/uploads\/2026\/10\/Calmar-Ratio-Thumbnail-768x432.webp 768w, https:\/\/mister.forex\/wp-content\/uploads\/2026\/10\/Calmar-Ratio-Thumbnail-1536x864.webp 1536w, https:\/\/mister.forex\/wp-content\/uploads\/2026\/10\/Calmar-Ratio-Thumbnail-18x10.webp 18w, https:\/\/mister.forex\/wp-content\/uploads\/2026\/10\/Calmar-Ratio-Thumbnail.webp 1672w\" sizes=\"(max-width: 500px) 100vw, 500px\" \/><\/p>\t\t\t\t\t\t\t\t<\/div>\n\t\t\t\t<div class=\"elementor-element elementor-element-410e02b elementor-widget elementor-widget-html translation-block\" data-id=\"410e02b\" data-element_type=\"widget\" data-widget_type=\"html.default\"><span>\nP\u0159edstavte si, \u017ee porovn\u00e1v\u00e1te dv\u011b investi\u010dn\u00ed strategie.\n<br><br>\n\nOb\u011b dosahuj\u00ed ro\u010dn\u00edho v\u00fdnosu 20 %.\n<br><br>\n\nP\u0159i bli\u017e\u0161\u00edm pohledu na jejich historick\u00e9 v\u00fdsledky ale zjist\u00edte z\u00e1sadn\u00ed rozd\u00edl:\n<br><br>\n\n<ul>\n<li><strong>Strategie A:<\/strong> Maxim\u00e1ln\u00ed pokles \u221210 %.<\/li>\n<li><strong>Strategie B:<\/strong> Maxim\u00e1ln\u00ed pokles \u221240 %.<\/li>\n<\/ul>\n<br>\n\nPokud sledujete pouze ro\u010dn\u00ed v\u00fdnos, vypadaj\u00ed ob\u011b strategie stejn\u011b.\n<br><br>\n\nNejv\u011bt\u0161\u00ed historick\u00fd pokles strategie A v\u0161ak dos\u00e1hl jen \u010dtvrtiny poklesu strategie B.\n<br><br>\n\n<strong>Stejn\u00fd v\u00fdnos 20 %. Pokles o 10 %, nebo 40 %? Co byste si vybrali?<\/strong>\n<br><br>\n\nInvesto\u0159i \u010dasto hledaj\u00ed investice s nejvy\u0161\u0161\u00edm ro\u010dn\u00edm v\u00fdnosem. M\u00e9n\u011b \u010dasto se ale ptaj\u00ed, o kolik m\u016f\u017ee hodnota portfolia p\u0159i cest\u011b k takov\u00e9mu v\u00fdnosu klesnout.\n<br><br>\n\nPr\u00e1v\u011b proto stoj\u00ed za pozornost <strong>Calmar Ratio<\/strong>.\n<br><br>\n\nNeukazuje pouze dosa\u017een\u00fd v\u00fdnos. Zasazuje ho tak\u00e9 do kontextu nejv\u011bt\u0161\u00edho historick\u00e9ho poklesu, kter\u00fd investor musel p\u0159ekonat.\n<br><br>\n\nP\u0159i porovn\u00e1v\u00e1n\u00ed ETF, akci\u00ed a kvantitativn\u00edch obchodn\u00edch strategi\u00ed tak m\u016f\u017ee vyj\u00edt najevo d\u016fle\u017eit\u00e1 skute\u010dnost:\n<br><br>\n\n<strong>Vy\u0161\u0161\u00ed v\u00fdnos nemus\u00ed znamenat lep\u0161\u00ed v\u00fdkonnost vzhledem k riziku. D\u016fle\u017eit\u011bj\u0161\u00ed ot\u00e1zka zn\u00ed: St\u00e1l v\u00fdnos za podstoupen\u00fd propad?<\/strong>\n<br><br>\n\n\n<h2><strong>1. Co je Calmar Ratio?<\/strong><\/h2>\n\nCalmar Ratio je ukazatel v\u00fdkonnosti zohled\u0148uj\u00edc\u00ed riziko. Porovn\u00e1v\u00e1 anualizovan\u00fd v\u00fdnos investice s jej\u00edm historick\u00fdm maxim\u00e1ln\u00edm propadem.\n<br><br>\n\nJednodu\u0161e odpov\u00edd\u00e1 na ot\u00e1zku:\n<br><br>\n\n<strong>Jak velk\u00fd propad strategie podstoupila, aby dos\u00e1hla sv\u00e9ho v\u00fdnosu?<\/strong>\n<br><br>\n\nB\u011b\u017en\u011b pou\u017e\u00edvan\u00fd vzorec je:\n<br><br>\n\n<strong>Calmar Ratio = slo\u017een\u00e1 ro\u010dn\u00ed m\u00edra r\u016fstu (CAGR) \u00f7 absolutn\u00ed hodnota maxim\u00e1ln\u00edho propadu (MDD)<\/strong>\n<br><br>\n\nKde:\n<br><br>\n\n<strong>Slo\u017een\u00e1 ro\u010dn\u00ed m\u00edra r\u016fstu (Compound Annual Growth Rate, CAGR)<\/strong> vyjad\u0159uje anualizovan\u00e9 tempo r\u016fstu investice za ur\u010dit\u00e9 obdob\u00ed se zohledn\u011bn\u00edm slo\u017een\u00e9ho \u00faro\u010den\u00ed.\n<br><br>\n\n<strong>Maxim\u00e1ln\u00ed propad (Maximum Drawdown, MDD)<\/strong> p\u0159edstavuje nejv\u011bt\u0161\u00ed procentn\u00ed pokles hodnoty investice od p\u0159edchoz\u00edho maxima k n\u00e1sledn\u00e9mu minimu b\u011bhem sledovan\u00e9ho obdob\u00ed.\n<br><br>\n\nNap\u0159\u00edklad:\n<br><br>\n\nStrategie dos\u00e1hla ro\u010dn\u00edho v\u00fdnosu 15 % a maxim\u00e1ln\u00edho propadu \u221220 %.\n<br><br>\n\nV\u00fdpo\u010det:\n<br><br>\n\n<strong>15 % \u00f7 20 % = 0.75<\/strong>\n<br><br>\n\nPom\u011br anualizovan\u00e9ho v\u00fdnosu k maxim\u00e1ln\u00edmu propadu tak za dan\u00e9 obdob\u00ed \u010din\u00ed 0.75.\n<br><br>\n\nCalmar Ratio nen\u00ed procento, ale bezrozm\u011brn\u00e9 \u010d\u00edslo.\n<br><br>\n\nPokud jsou v\u00fdnosy kladn\u00e9 a metodika v\u00fdpo\u010dtu shodn\u00e1, vy\u0161\u0161\u00ed hodnota obvykle znamen\u00e1 vy\u0161\u0161\u00ed anualizovan\u00fd v\u00fdnos vzhledem k nejv\u011bt\u0161\u00edmu historick\u00e9mu propadu.\n<br><br>\n\nJe v\u0161ak d\u016fle\u017eit\u00e9 dodat:\n<br><br>\n\n<strong>Vy\u0161\u0161\u00ed Calmar Ratio nezaru\u010duje bezpe\u010dn\u011bj\u0161\u00ed investici ani lep\u0161\u00ed budouc\u00ed v\u00fdsledky.<\/strong>\n<br><br>\n\nJde o n\u00e1stroj pro hodnocen\u00ed historick\u00e9 v\u00fdkonnosti, nikoli o z\u00e1ruku zisku nebo hranici mo\u017en\u00fdch budouc\u00edch ztr\u00e1t.\n<br><br>\n\n\n<h3><strong>Calmar Ratio vs. MAR Ratio: Jak\u00fd je rozd\u00edl?<\/strong><\/h3>\n\nTradi\u010dn\u00ed Calmar Ratio se obvykle po\u010d\u00edt\u00e1 z anualizovan\u00e9ho v\u00fdnosu a maxim\u00e1ln\u00edho propadu za posledn\u00edch 36 m\u011bs\u00edc\u016f.\n<br><br>\n\nHod\u00ed se proto k posouzen\u00ed ned\u00e1vn\u00e9 v\u00fdkonnosti vzhledem k riziku.\n<br><br>\n\nChceme-li v\u0161ak zkoumat investici nap\u0159\u00ed\u010d del\u0161\u00edmi tr\u017en\u00edmi cykly, lze stejn\u00fd vzorec pou\u017e\u00edt na celou dostupnou historii.\n<br><br>\n\nV tomto \u010dl\u00e1nku pou\u017e\u00edv\u00e1me <strong>\u201eCAGR \u00f7 absolutn\u00ed hodnota maxim\u00e1ln\u00edho propadu\u201c<\/strong>, ale obdob\u00ed roz\u0161i\u0159ujeme na kompletn\u00ed dostupn\u00e1 data jednotliv\u00fdch investic.\n<br><br>\n\nTento p\u0159\u00edstup odpov\u00edd\u00e1 ukazateli <strong>Managed Account Reports Ratio (MAR Ratio)<\/strong>.\n<br><br>\n\nJe proto nutn\u00e9 rozli\u0161ovat:\n<br><br>\n\n<ul>\n<li><strong>Tradi\u010dn\u00ed Calmar Ratio:<\/strong> Obvykle vych\u00e1z\u00ed z v\u00fdnosu a maxim\u00e1ln\u00edho propadu za posledn\u00edch 36 m\u011bs\u00edc\u016f.<\/li>\n<li><strong>Pom\u011br v\u00fdnosu a propadu za celou historii:<\/strong> Vyu\u017e\u00edv\u00e1 v\u0161echna dostupn\u00e1 historick\u00e1 data a koncep\u010dn\u011b odpov\u00edd\u00e1 MAR Ratio.<\/li>\n<\/ul>\n<br>\n\nN\u00e1sleduj\u00edc\u00ed tabulky uv\u00e1d\u011bj\u00ed <strong>pom\u011br v\u00fdnosu k maxim\u00e1ln\u00edmu propadu za celou historii<\/strong>, nikoli tradi\u010dn\u00ed 36m\u011bs\u00ed\u010dn\u00ed Calmar Ratio.\n<br><br>\n\nDel\u0161\u00ed sledovan\u00e9 obdob\u00ed umo\u017e\u0148uje posoudit vlastnosti investic v r\u016fzn\u00fdch tr\u017en\u00edch cyklech, nejen podle jejich posledn\u00edch v\u00fdsledk\u016f.\n<br><br>\n\nJednotliv\u00e9 investice v\u0161ak vznikly v odli\u0161n\u00fdch letech.\n<br><br>\n\n<strong>Cel\u00e1 historie pom\u00e1h\u00e1 pochopit rizikov\u00fd profil investice. Pro f\u00e9rov\u00e9 srovn\u00e1n\u00ed je ale pot\u0159eba stejn\u00e9 sledovan\u00e9 obdob\u00ed.<\/strong>\n<br><br>\n\n\n<h2><strong>2. Stejn\u00fd v\u00fdnos, \u010dty\u0159n\u00e1sobn\u00e9 Calmar Ratio<\/strong><\/h2>\n\nVra\u0165me se k \u00favodn\u00edmu p\u0159\u00edkladu.\n<br><br>\n\nP\u0159edpokl\u00e1dejme, \u017ee ob\u011b strategie hodnot\u00edme za stejn\u00e9 t\u0159i roky a pou\u017e\u00edv\u00e1me shodnou metodiku.\n<br><br>\n\n<div>\n<table style=\"width:100%;min-width:600px;border-collapse:separate;border-spacing:0;border:1px solid #2D4273;border-radius:6px;text-align:center;font-family:'Inter',sans-serif;overflow:hidden\">\n<thead>\n<tr style=\"background-color:#15264D;color:#FFFFFF\">\n<th style=\"padding:15px;border-right:1px solid #FFFFFF;text-align:center;vertical-align:middle\"><strong>Ukazatel<\/strong><\/th>\n<th style=\"padding:15px;border-right:1px solid #FFFFFF;text-align:center;vertical-align:middle\"><strong>Strategie A<\/strong><\/th>\n<th style=\"padding:15px;text-align:center;vertical-align:middle\"><strong>Strategie B<\/strong><\/th>\n<\/tr>\n<\/thead>\n<tbody>\n<tr style=\"background-color:#FFFFFF\">\n<td style=\"padding:15px;border-top:1px solid #2D4273;border-right:1px solid #2D4273;text-align:center;vertical-align:middle\">Ro\u010dn\u00ed v\u00fdnos<\/td>\n<td style=\"padding:15px;border-top:1px solid #2D4273;border-right:1px solid #2D4273;text-align:center;vertical-align:middle\">20%<\/td>\n<td style=\"padding:15px;border-top:1px solid #2D4273;text-align:center;vertical-align:middle\">20%<\/td>\n<\/tr>\n<tr style=\"background-color:#FFFFFF\">\n<td style=\"padding:15px;border-top:1px solid #2D4273;border-right:1px solid #2D4273;text-align:center;vertical-align:middle\">Maxim\u00e1ln\u00ed propad<\/td>\n<td style=\"padding:15px;border-top:1px solid #2D4273;border-right:1px solid #2D4273;text-align:center;vertical-align:middle;color:#15264D\"><strong>\u221210%<\/strong><\/td>\n<td style=\"padding:15px;border-top:1px solid #2D4273;text-align:center;vertical-align:middle;color:#D83C34\"><strong>\u221240%<\/strong><\/td>\n<\/tr>\n<tr style=\"background-color:#FFFFFF\">\n<td style=\"padding:15px;border-top:1px solid #2D4273;border-right:1px solid #2D4273;text-align:center;vertical-align:middle\"><strong>Calmar Ratio<\/strong><\/td>\n<td style=\"padding:15px;border-top:1px solid #2D4273;border-right:1px solid #2D4273;text-align:center;vertical-align:middle;color:#15264D\"><strong>2.00<\/strong><\/td>\n<td style=\"padding:15px;border-top:1px solid #2D4273;text-align:center;vertical-align:middle\"><strong>0.50<\/strong><\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n<\/div>\n<br>\n\nStrategie A:\n<br><br>\n\n<strong>20% \u00f7 10% = 2.00<\/strong>\n<br><br>\n\nStrategie B:\n<br><br>\n\n<strong>20% \u00f7 40% = 0.50<\/strong>\n<br><br>\n\nOb\u011b strategie maj\u00ed toto\u017en\u00fd ro\u010dn\u00ed v\u00fdnos, ale Calmar Ratio strategie A je \u010dty\u0159ikr\u00e1t vy\u0161\u0161\u00ed.\n<br><br>\n\nRozhoduj\u00edc\u00ed je rozd\u00edl v maxim\u00e1ln\u00edm historick\u00e9m propadu.\n<br><br>\n\n<strong>Samotn\u00fd v\u00fdnos m\u016f\u017ee skr\u00fdvat rizika, kter\u00e1 bylo nutn\u00e9 podstoupit.<\/strong>\n<br><br>\n\n\n<h3><strong>Znamen\u00e1 vy\u0161\u0161\u00ed v\u00fdnos lep\u0161\u00ed Calmar Ratio?<\/strong><\/h3>\n\nNe v\u017edy.\n<br><br>\n\nPod\u00edvejme se na dal\u0161\u00ed hypotetick\u00fd p\u0159\u00edklad za stejn\u00e9 t\u0159\u00edlet\u00e9 obdob\u00ed.\n<br><br>\n\n<div>\n<table style=\"width:100%;min-width:600px;border-collapse:separate;border-spacing:0;border:1px solid #2D4273;border-radius:6px;text-align:center;font-family:'Inter',sans-serif;overflow:hidden\">\n<thead>\n<tr style=\"background-color:#15264D;color:#FFFFFF\">\n<th style=\"padding:15px;border-right:1px solid #FFFFFF;text-align:center;vertical-align:middle\"><strong>Ukazatel<\/strong><\/th>\n<th style=\"padding:15px;border-right:1px solid #FFFFFF;text-align:center;vertical-align:middle\"><strong>Strategie C<\/strong><\/th>\n<th style=\"padding:15px;text-align:center;vertical-align:middle\"><strong>Strategie D<\/strong><\/th>\n<\/tr>\n<\/thead>\n<tbody>\n<tr style=\"background-color:#FFFFFF\">\n<td style=\"padding:15px;border-top:1px solid #2D4273;border-right:1px solid #2D4273;text-align:center;vertical-align:middle\">Ro\u010dn\u00ed v\u00fdnos<\/td>\n<td style=\"padding:15px;border-top:1px solid #2D4273;border-right:1px solid #2D4273;text-align:center;vertical-align:middle\">12%<\/td>\n<td style=\"padding:15px;border-top:1px solid #2D4273;text-align:center;vertical-align:middle\">24%<\/td>\n<\/tr>\n<tr style=\"background-color:#FFFFFF\">\n<td style=\"padding:15px;border-top:1px solid #2D4273;border-right:1px solid #2D4273;text-align:center;vertical-align:middle\">Maxim\u00e1ln\u00ed propad<\/td>\n<td style=\"padding:15px;border-top:1px solid #2D4273;border-right:1px solid #2D4273;text-align:center;vertical-align:middle;color:#15264D\"><strong>\u221210%<\/strong><\/td>\n<td style=\"padding:15px;border-top:1px solid #2D4273;text-align:center;vertical-align:middle;color:#D34B3A\"><strong>\u221230%<\/strong><\/td>\n<\/tr>\n<tr style=\"background-color:#FFFFFF\">\n<td style=\"padding:15px;border-top:1px solid #2D4273;border-right:1px solid #2D4273;text-align:center;vertical-align:middle\"><strong>Calmar Ratio<\/strong><\/td>\n<td style=\"padding:15px;border-top:1px solid #2D4273;border-right:1px solid #2D4273;text-align:center;vertical-align:middle;color:#15264D\"><strong>1.20<\/strong><\/td>\n<td style=\"padding:15px;border-top:1px solid #2D4273;text-align:center;vertical-align:middle\"><strong>0.80<\/strong><\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n<\/div>\n<br>\n\nStrategie D dos\u00e1hla dvojn\u00e1sobn\u00e9ho ro\u010dn\u00edho v\u00fdnosu oproti strategii C, ale jej\u00ed maxim\u00e1ln\u00ed propad byl trojn\u00e1sobn\u00fd.\n<br><br>\n\nVy\u0161\u0161\u00ed Calmar Ratio proto vykazuje strategie C.\n<br><br>\n\nZnamen\u00e1 to automaticky, \u017ee je strategie C lep\u0161\u00ed?\n<br><br>\n\nNe. Investo\u0159i maj\u00ed r\u016fzn\u00e9 v\u00fdnosov\u00e9 c\u00edle, n\u00e1roky na likviditu a toleranci k riziku.\n<br><br>\n\nP\u0159\u00edklad ale otev\u00edr\u00e1 podstatnou ot\u00e1zku:\n<br><br>\n\n<strong>Stoj\u00ed dodate\u010dn\u00fd v\u00fdnos za hlub\u0161\u00ed propad?<\/strong>\n<br><br>\n\nPr\u00e1v\u011b nad t\u00edm n\u00e1s Calmar Ratio vede k zamy\u0161len\u00ed.\n<br><br>\n\n<strong>Pozn\u00e1mka:<\/strong> Strategie A, B, C a D jsou v\u00fdhradn\u011b hypotetick\u00e9 vzd\u011bl\u00e1vac\u00ed p\u0159\u00edklady. Nep\u0159edstavuj\u00ed skute\u010dn\u00e9 v\u00fdsledky \u017e\u00e1dn\u00e9ho konkr\u00e9tn\u00edho ETF, fondu ani kvantitativn\u00ed strategie.\n<br><br>\n\n\n<h2><strong>3. Skute\u010dn\u00e1 data: V\u00fdnosy ETF a maxim\u00e1ln\u00ed propady<\/strong><\/h2>\n\nPod\u00edvejme se nyn\u00ed na skute\u010dn\u00e1 tr\u017en\u00ed data.\n<br><br>\n\nZa\u010dneme \u010dty\u0159mi zn\u00e1m\u00fdmi investi\u010dn\u00edmi n\u00e1stroji.\n<br><br>\n\n<strong>SPY: SPDR S&amp;P 500 ETF Trust<\/strong>\n<br><br>\n\nSPY sleduje index S&amp;P 500 a poskytuje expozici v\u016f\u010di akci\u00edm velk\u00fdch americk\u00fdch ve\u0159ejn\u011b obchodovan\u00fdch spole\u010dnost\u00ed.\n<br><br>\n\n<strong>QQQ: Invesco QQQ Trust<\/strong>\n<br><br>\n\nQQQ sleduje index Nasdaq-100 a m\u00e1 vy\u0161\u0161\u00ed zastoupen\u00ed velk\u00fdch technologick\u00fdch a r\u016fstov\u00fdch spole\u010dnost\u00ed.\n<br><br>\n\n<strong>BRK.B: Akcie Berkshire Hathaway t\u0159\u00eddy B<\/strong>\n<br><br>\n\nBRK.B p\u0159edstavuje akcie t\u0159\u00eddy B spole\u010dnosti Berkshire Hathaway, kter\u00e1 vlastn\u00ed r\u016fznorod\u00e9 podniky a investi\u010dn\u00ed aktiva. Jde o jednotlivou akcii, nikoli ETF.\n<br><br>\n\n<strong>BND: Vanguard Total Bond Market ETF<\/strong>\n<br><br>\n\nBND je ETF spole\u010dnosti Vanguard zam\u011b\u0159en\u00e9 na \u0161irok\u00fd americk\u00fd dluhopisov\u00fd trh. Zahrnuje p\u0159edev\u0161\u00edm dluhopisy investi\u010dn\u00edho stupn\u011b, nap\u0159\u00edklad americk\u00e9 st\u00e1tn\u00ed dluhopisy, podnikov\u00e9 dluhopisy a cenn\u00e9 pap\u00edry kryt\u00e9 hypot\u00e9kami.\n<br><br>\n\nBND nen\u00ed hotovost ani bezrizikov\u00e9 aktivum. Jeho hodnota m\u016f\u017ee reagovat na \u00farokov\u00e9 sazby, kreditn\u00ed spready a dal\u0161\u00ed tr\u017en\u00ed faktory.\n<br><br>\n\nTyto investice se li\u0161\u00ed t\u0159\u00eddou aktiv i zdroji rizika.\n<br><br>\n\nSmyslem srovn\u00e1n\u00ed nen\u00ed ur\u010dit jedin\u00e9ho v\u00edt\u011bze, ale pochopit vztah mezi historick\u00fdmi v\u00fdnosy a propady u r\u016fzn\u00fdch typ\u016f investic.\n<br><br>\n\n\n<h3><strong>Dlouhodob\u00e9 v\u00fdnosy a riziko od po\u010d\u00e1tku historie<\/strong><\/h3>\n\nN\u00e1sleduj\u00edc\u00ed tabulka shrnuje d\u0159\u00edve shrom\u00e1\u017ed\u011bn\u00e9 ve\u0159ejn\u011b dostupn\u00e9 tr\u017en\u00ed \u00fadaje s datem uz\u00e1v\u011brky 20. \u0159\u00edjna 2026.\n<br><br>\n\n<div>\n<table style=\"width:100%;min-width:850px;border-collapse:separate;border-spacing:0;border:1px solid #2D4273;border-radius:6px;text-align:center;font-family:'Inter',sans-serif;overflow:hidden\">\n<thead>\n<tr style=\"background-color:#15264D;color:#FFFFFF\">\n<th style=\"padding:15px;border-right:1px solid #FFFFFF;text-align:center;vertical-align:middle\"><strong>Investice<\/strong><\/th>\n<th style=\"padding:15px;border-right:1px solid #FFFFFF;text-align:center;vertical-align:middle\"><strong>Po\u010d\u00e1te\u010dn\u00ed rok<\/strong><\/th>\n<th style=\"padding:15px;border-right:1px solid #FFFFFF;text-align:center;vertical-align:middle\"><strong>CAGR<\/strong><\/th>\n<th style=\"padding:15px;border-right:1px solid #FFFFFF;text-align:center;vertical-align:middle\"><strong>Max. propad<\/strong><\/th>\n<th style=\"padding:15px;text-align:center;vertical-align:middle\"><strong>V\u00fdnos\/propad za celou historii<\/strong><\/th>\n<\/tr>\n<\/thead>\n<tbody>\n<tr style=\"background-color:#FFFFFF\">\n<td style=\"padding:15px;border-top:1px solid #2D4273;border-right:1px solid #2D4273;text-align:center;vertical-align:middle\"><strong>SPY<\/strong><br>ETF na velk\u00e9 americk\u00e9 akcie<\/td>\n<td style=\"padding:15px;border-top:1px solid #2D4273;border-right:1px solid #2D4273;text-align:center;vertical-align:middle\">1993<\/td>\n<td style=\"padding:15px;border-top:1px solid #2D4273;border-right:1px solid #2D4273;text-align:center;vertical-align:middle\">+10.82%<\/td>\n<td style=\"padding:15px;border-top:1px solid #2D4273;border-right:1px solid #2D4273;text-align:center;vertical-align:middle;color:#C62828\"><strong>\u221255.19%<\/strong><\/td>\n<td style=\"padding:15px;border-top:1px solid #2D4273;text-align:center;vertical-align:middle\"><strong>0.20<\/strong><\/td>\n<\/tr>\n<tr style=\"background-color:#FFFFFF\">\n<td style=\"padding:15px;border-top:1px solid #2D4273;border-right:1px solid #2D4273;text-align:center;vertical-align:middle\"><strong>QQQ<\/strong><br>ETF na Nasdaq-100<\/td>\n<td style=\"padding:15px;border-top:1px solid #2D4273;border-right:1px solid #2D4273;text-align:center;vertical-align:middle\">1999<\/td>\n<td style=\"padding:15px;border-top:1px solid #2D4273;border-right:1px solid #2D4273;text-align:center;vertical-align:middle\">+10.73%<\/td>\n<td style=\"padding:15px;border-top:1px solid #2D4273;border-right:1px solid #2D4273;text-align:center;vertical-align:middle;color:#8E1616\"><strong>\u221282.96%<\/strong><\/td>\n<td style=\"padding:15px;border-top:1px solid #2D4273;text-align:center;vertical-align:middle\"><strong>0.13<\/strong><\/td>\n<\/tr>\n<tr style=\"background-color:#FFFFFF\">\n<td style=\"padding:15px;border-top:1px solid #2D4273;border-right:1px solid #2D4273;text-align:center;vertical-align:middle\"><strong>BRK.B<\/strong><br>Berkshire Hathaway, t\u0159\u00edda B<\/td>\n<td style=\"padding:15px;border-top:1px solid #2D4273;border-right:1px solid #2D4273;text-align:center;vertical-align:middle\">1996<\/td>\n<td style=\"padding:15px;border-top:1px solid #2D4273;border-right:1px solid #2D4273;text-align:center;vertical-align:middle\">+10.89%<\/td>\n<td style=\"padding:15px;border-top:1px solid #2D4273;border-right:1px solid #2D4273;text-align:center;vertical-align:middle;color:#C62828\"><strong>\u221253.86%<\/strong><\/td>\n<td style=\"padding:15px;border-top:1px solid #2D4273;text-align:center;vertical-align:middle\"><strong>0.20<\/strong><\/td>\n<\/tr>\n<tr style=\"background-color:#FFFFFF\">\n<td style=\"padding:15px;border-top:1px solid #2D4273;border-right:1px solid #2D4273;text-align:center;vertical-align:middle\"><strong>BND<\/strong><br>Americk\u00e9 dluhopisov\u00e9 ETF<\/td>\n<td style=\"padding:15px;border-top:1px solid #2D4273;border-right:1px solid #2D4273;text-align:center;vertical-align:middle\">2007<\/td>\n<td style=\"padding:15px;border-top:1px solid #2D4273;border-right:1px solid #2D4273;text-align:center;vertical-align:middle\">+2.89%<\/td>\n<td style=\"padding:15px;border-top:1px solid #2D4273;border-right:1px solid #2D4273;text-align:center;vertical-align:middle;color:#B45336\"><strong>\u221218.58%<\/strong><\/td>\n<td style=\"padding:15px;border-top:1px solid #2D4273;text-align:center;vertical-align:middle\"><strong>0.16<\/strong><\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n<\/div>\n<br>\n\n<strong>Zdroje dat:<\/strong>\n<br><br>\n\n<ul>\n<li><a href=\"https:\/\/www.investmentvisual.com\/etfs\/spy\/returns\" target=\"_blank\" rel=\"noopener noreferrer\">Investment Visual | Historick\u00e1 v\u00fdkonnost SPY<\/a><\/li>\n<li><a href=\"https:\/\/www.investmentvisual.com\/etfs\/qqq\/returns\" target=\"_blank\" rel=\"noopener noreferrer\">Investment Visual | Historick\u00e1 v\u00fdkonnost QQQ<\/a><\/li>\n<li><a href=\"https:\/\/www.investmentvisual.com\/stocks\/brk-b\/returns\" target=\"_blank\" rel=\"noopener noreferrer\">Investment Visual | Historick\u00e1 v\u00fdkonnost BRK.B<\/a><\/li>\n<li><a href=\"https:\/\/www.investmentvisual.com\/etfs\/bnd\/returns\" target=\"_blank\" rel=\"noopener noreferrer\">Investment Visual | Historick\u00e1 v\u00fdkonnost BND<\/a><\/li>\n<\/ul>\n<br>\n\n<strong>Pozn\u00e1mky k dat\u016fm:<\/strong> Tabulka p\u0159eb\u00edr\u00e1 d\u0159\u00edve sestaven\u00e1 historick\u00e1 data celkov\u00e9ho v\u00fdnosu do 20. \u0159\u00edjna 2026. Anualizovan\u00e9 v\u00fdnosy zahrnuj\u00ed reinvestovan\u00e9 dividendy. Posledn\u00ed sloupec p\u0159edstavuje CAGR d\u011blen\u00e9 absolutn\u00ed hodnotou maxim\u00e1ln\u00edho propadu, zaokrouhlen\u00e9 na dv\u011b desetinn\u00e1 m\u00edsta; nejde o tradi\u010dn\u00ed 36m\u011bs\u00ed\u010dn\u00ed Calmar Ratio. Po\u010d\u00e1te\u010dn\u00ed data se li\u0161\u00ed a BRK.B je jednotliv\u00e1 akcie, nikoli ETF. Tabulka proto slou\u017e\u00ed p\u0159edev\u0161\u00edm k ilustraci historick\u00e9ho pom\u011bru v\u00fdnosu a rizika jednotliv\u00fdch investic, nikoli jako \u017eeb\u0159\u00ed\u010dek v\u00fdsledk\u016f za shodn\u00e9 obdob\u00ed nebo p\u0159i stejn\u00fdch rizikov\u00fdch podm\u00ednk\u00e1ch. P\u0159ed zve\u0159ejn\u011bn\u00edm je nutn\u00e9 znovu ov\u011b\u0159it datum uz\u00e1v\u011brky a metodiku zdrojov\u00fdch \u00fadaj\u016f.\n<br><br>\n\nZ tabulky je patrn\u00e9, \u017ee mezi dlouhodob\u00fdm anualizovan\u00fdm v\u00fdnosem a maxim\u00e1ln\u00edm propadem neexistuje pevn\u00fd pom\u011br.\n<br><br>\n\nSPY a BRK.B nap\u0159\u00edklad vykazuj\u00ed za sv\u00e1 vlastn\u00ed historick\u00e1 obdob\u00ed podobn\u00e9 anualizovan\u00e9 v\u00fdnosy i velikost maxim\u00e1ln\u00edho propadu. Jejich pom\u011br v\u00fdnosu k propadu za celou historii tak \u010din\u00ed p\u0159ibli\u017en\u011b 0.20.\n<br><br>\n\nQQQ m\u011bl rovn\u011b\u017e v\u00fdrazn\u00fd anualizovan\u00fd v\u00fdnos, ale mnohem hlub\u0161\u00ed historick\u00fd propad vedl k ni\u017e\u0161\u00ed hodnot\u011b ukazatele.\n<br><br>\n\nBND ukazuje jin\u00fd profil: Ni\u017e\u0161\u00ed anualizovan\u00fd v\u00fdnos doprov\u00e1zel m\u00edrn\u011bj\u0161\u00ed historick\u00fd propad. V\u00fdsledn\u00fd pom\u011br v\u0161ak nemus\u00ed b\u00fdt vy\u0161\u0161\u00ed ne\u017e u akciov\u00fdch investic.\n<br><br>\n\n<strong>Men\u0161\u00ed propad nezaru\u010duje lep\u0161\u00ed v\u00fdnos vzhledem k riziku. A vy\u0161\u0161\u00ed v\u00fdnos tak\u00e9 ne.<\/strong>\n<br><br>\n\nPodstatn\u00fd je vz\u00e1jemn\u00fd vztah v\u00fdnosu a propadu.\n<br><br>\n\n\n<h3><strong>SPY vs. QQQ: Vy\u0161\u0161\u00ed v\u00fdnos, hor\u0161\u00ed pom\u011br?<\/strong><\/h3>\n\nP\u0159edchoz\u00ed tabulka pou\u017e\u00edv\u00e1 kompletn\u00ed dostupnou historii jednotliv\u00fdch investic. R\u016fzn\u00e1 data jejich vzniku ale mohou srovn\u00e1n\u00ed zkreslit.\n<br><br>\n\nPro p\u0159esn\u011bj\u0161\u00ed porovn\u00e1n\u00ed SPY a QQQ proto pou\u017eijeme spole\u010dn\u00e9 obdob\u00ed.\n<br><br>\n\nN\u00e1sleduj\u00edc\u00ed \u00fadaje pokr\u00fdvaj\u00ed dobu od 10. b\u0159ezna 1999 do 20. \u0159\u00edjna 2026.\n<br><br>\n\n<div>\n<table style=\"width:100%;min-width:650px;border-collapse:separate;border-spacing:0;border:1px solid #2D4273;border-radius:6px;text-align:center;font-family:'Inter',sans-serif;overflow:hidden\">\n<thead>\n<tr style=\"background-color:#15264D;color:#FFFFFF\">\n<th style=\"padding:15px;border-right:1px solid #FFFFFF;text-align:center;vertical-align:middle\"><strong>Ukazatel<\/strong><\/th>\n<th style=\"padding:15px;border-right:1px solid #FFFFFF;text-align:center;vertical-align:middle\"><strong>SPY<\/strong><\/th>\n<th style=\"padding:15px;text-align:center;vertical-align:middle\"><strong>QQQ<\/strong><\/th>\n<\/tr>\n<\/thead>\n<tbody>\n<tr style=\"background-color:#FFFFFF\">\n<td style=\"padding:15px;border-top:1px solid #2D4273;border-right:1px solid #2D4273;text-align:center;vertical-align:middle\">CAGR<\/td>\n<td style=\"padding:15px;border-top:1px solid #2D4273;border-right:1px solid #2D4273;text-align:center;vertical-align:middle\">+8.55%<\/td>\n<td style=\"padding:15px;border-top:1px solid #2D4273;text-align:center;vertical-align:middle\">+10.73%<\/td>\n<\/tr>\n<tr style=\"background-color:#FFFFFF\">\n<td style=\"padding:15px;border-top:1px solid #2D4273;border-right:1px solid #2D4273;text-align:center;vertical-align:middle\">Max. propad (MDD)<\/td>\n<td style=\"padding:15px;border-top:1px solid #2D4273;border-right:1px solid #2D4273;text-align:center;vertical-align:middle;color:#C62828\"><strong>\u221255.19%<\/strong><\/td>\n<td style=\"padding:15px;border-top:1px solid #2D4273;border-right:1px solid #2D4273;text-align:center;vertical-align:middle;color:#8E1616\"><strong>\u221282.96%<\/strong><\/td>\n<\/tr>\n<tr style=\"background-color:#FFFFFF\">\n<td style=\"padding:15px;border-top:1px solid #2D4273;border-right:1px solid #2D4273;text-align:center;vertical-align:middle\"><strong>V\u00fdnos\/propad za cel\u00e9 obdob\u00ed<\/strong><\/td>\n<td style=\"padding:15px;border-top:1px solid #2D4273;border-right:1px solid #2D4273;text-align:center;vertical-align:middle\"><strong>0.15<\/strong><\/td>\n<td style=\"padding:15px;border-top:1px solid #2D4273;text-align:center;vertical-align:middle\"><strong>0.13<\/strong><\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n<\/div>\n<br>\n\n<strong>Zdroj:<\/strong> <a href=\"https:\/\/www.investmentvisual.com\/compare\/qqq-vs-spy\" target=\"_blank\" rel=\"noopener noreferrer\">Investment Visual | Srovn\u00e1n\u00ed v\u00fdkonnosti SPY a QQQ<\/a>.\n<br><br>\n\nB\u011bhem tohoto spole\u010dn\u00e9ho obdob\u00ed dos\u00e1hl QQQ vy\u0161\u0161\u00edho anualizovan\u00e9ho v\u00fdnosu ne\u017e SPY.\n<br><br>\n\nZ\u00e1rove\u0148 ale zaznamenal podstatn\u011b hlub\u0161\u00ed maxim\u00e1ln\u00ed propad. Jeho pom\u011br v\u00fdnosu k propadu za cel\u00e9 obdob\u00ed tak byl o n\u011bco ni\u017e\u0161\u00ed.\n<br><br>\n\nTo neznamen\u00e1, \u017ee SPY mus\u00ed b\u00fdt vhodn\u011bj\u0161\u00ed pro ka\u017ed\u00e9ho investora.\n<br><br>\n\nZnamen\u00e1 to pouze:\n<br><br>\n\n<strong>V tomto obdob\u00ed m\u011bl SPY m\u00edrn\u011b vy\u0161\u0161\u00ed anualizovan\u00fd v\u00fdnos vzhledem k maxim\u00e1ln\u00edmu propadu ne\u017e QQQ.<\/strong>\n<br><br>\n\nPr\u00e1v\u011b v tom spo\u010d\u00edv\u00e1 p\u0159\u00ednos Calmar Ratio i pom\u011bru v\u00fdnosu k maxim\u00e1ln\u00edmu propadu za celou historii: Odhaluj\u00ed rozd\u00edly, kter\u00e9 samotn\u00fd anualizovan\u00fd v\u00fdnos neuk\u00e1\u017ee.\n<br><br>\n\n\n<h2><strong>4. Je vy\u0161\u0161\u00ed pom\u011br v\u017edy lep\u0161\u00ed?<\/strong><\/h2>\n\nNen\u00ed.\n<br><br>\n\nTradi\u010dn\u00ed Calmar Ratio i pom\u011br v\u00fdnosu k propadu za celou historii p\u0159edstavuj\u00ed pouze d\u00edl\u010d\u00ed n\u00e1stroje pro hodnocen\u00ed investic.\n<br><br>\n\nMaj\u00ed n\u011bkolik d\u016fle\u017eit\u00fdch omezen\u00ed.\n<br><br>\n\n\n<h3><strong>4.1 Minul\u00fd propad nen\u00ed limitem budouc\u00edch ztr\u00e1t<\/strong><\/h3>\n\nStrategie s historick\u00fdm maxim\u00e1ln\u00edm propadem 20 % m\u016f\u017ee v budoucnu ztratit podstatn\u011b v\u00edce.\n<br><br>\n\nVy\u0161\u0161\u00ed pom\u011br proto nezaru\u010duje men\u0161\u00ed budouc\u00ed poklesy.\n<br><br>\n\n\n<h3><strong>4.2 Z\u00e1le\u017e\u00ed na sledovan\u00e9m obdob\u00ed<\/strong><\/h3>\n\nStrategie s t\u0159\u00edletou histori\u00ed a ETF, kter\u00e9 pro\u0161lo v\u00edce ne\u017e dvaceti lety tr\u017en\u00edch cykl\u016f, mohly p\u016fsobit ve zcela odli\u0161n\u00fdch podm\u00ednk\u00e1ch.\n<br><br>\n\nStejn\u00fd vzorec tyto rozd\u00edly neodstran\u00ed.\n<br><br>\n\nI u t\u00e9\u017ee investice mohou r\u016fzn\u00e1 obdob\u00ed v\u00e9st k v\u00fdrazn\u011b odli\u0161n\u00fdm v\u00fdsledk\u016fm.\n<br><br>\n\n\n<h3><strong>4.3 Backtest nen\u00ed skute\u010dn\u00e9 obchodov\u00e1n\u00ed<\/strong><\/h3>\n\nKvantitativn\u00ed strategie vyu\u017e\u00edvaj\u00ed historick\u00e9 backtesty k vyhodnocov\u00e1n\u00ed obchodn\u00edch pravidel.\n<br><br>\n\nV\u00fdsledky v\u0161ak m\u016f\u017ee ovlivnit p\u0159eu\u010den\u00ed modelu na historick\u00e1 data, datov\u00e9 zkreslen\u00ed, p\u0159edpoklady o n\u00e1kladech nebo zm\u011bny tr\u017en\u00edho prost\u0159ed\u00ed.\n<br><br>\n\nVysok\u00e1 hodnota ukazatele v backtestu proto nedokazuje stejnou v\u00fdkonnost p\u0159i re\u00e1ln\u00e9m obchodov\u00e1n\u00ed.\n<br><br>\n\n\n<h3><strong>4.4 Jedno \u010d\u00edslo nezachyt\u00ed v\u0161echna rizika<\/strong><\/h3>\n\nCalmar Ratio vych\u00e1z\u00ed p\u0159edev\u0161\u00edm z anualizovan\u00e9ho v\u00fdnosu a maxim\u00e1ln\u00edho historick\u00e9ho propadu.\n<br><br>\n\nPln\u011b v\u0161ak nezohled\u0148uje finan\u010dn\u00ed p\u00e1ku, likviditu, riziko protistrany, skluz p\u0159i realizaci obchod\u016f, koncentraci rizika ani zdroje v\u00fdnos\u016f.\n<br><br>\n\nP\u0159i mimo\u0159\u00e1dn\u011b mal\u00e9m propadu m\u016f\u017ee b\u00fdt pom\u011br neobvykle vysok\u00fd. Pokud je propad nulov\u00fd, b\u011b\u017en\u00fd v\u00fdpo\u010det nen\u00ed definov\u00e1n.\n<br><br>\n\nP\u0159i z\u00e1porn\u00e9m anualizovan\u00e9m v\u00fdnosu m\u016f\u017ee b\u00fdt \u0159azen\u00ed investic pouze podle tohoto ukazatele zav\u00e1d\u011bj\u00edc\u00ed.\n<br><br>\n\n<strong>Calmar Ratio pou\u017e\u00edvejte jako pomocn\u00fd ukazatel, ne jako kone\u010dn\u00fd verdikt o investici.<\/strong>\n<br><br>\n\n\n<h2><strong>5. Jak spr\u00e1vn\u011b porovn\u00e1vat v\u00fdnos a riziko?<\/strong><\/h2>\n\nZn\u00e1t vzorec nesta\u010d\u00ed. Stejn\u011b d\u016fle\u017eit\u00e9 je jeho spr\u00e1vn\u00e9 pou\u017eit\u00ed.\n<br><br>\n\nP\u0159i porovn\u00e1v\u00e1n\u00ed ETF, fond\u016f nebo kvantitativn\u00edch strategi\u00ed nem\u00e1 smysl pouze vyd\u011blit prezentovan\u00fd anualizovan\u00fd v\u00fdnos maxim\u00e1ln\u00edm propadem a ur\u010dit v\u00edt\u011bze.\n<br><br>\n\nSmyslupln\u00e9 srovn\u00e1n\u00ed vy\u017eaduje \u010dty\u0159i z\u00e1kladn\u00ed kontroly.\n<br><br>\n\n\n<h3><strong>5.1 Sjedno\u0165te sledovan\u00e9 obdob\u00ed<\/strong><\/h3>\n\nPokud strategie A vykazuje v\u00fdsledky za roky 2010 a\u017e 2026, zat\u00edmco strategie B pouze za roky 2023 a\u017e 2026, nelze je p\u0159\u00edmo se\u0159adit podle pom\u011bru v\u00fdnosu a propadu.\n<br><br>\n\nV\u00fdvoj trhu, volatilita i v\u00fdznamn\u00e9 rizikov\u00e9 ud\u00e1losti se mohly v\u00fdrazn\u011b li\u0161it.\n<br><br>\n\nVhodn\u011bj\u0161\u00ed je nejd\u0159\u00edve zvolit stejn\u00e9 obdob\u00ed a n\u00e1sledn\u011b spo\u010d\u00edtat CAGR, MDD a pom\u011br v\u00fdnosu k maxim\u00e1ln\u00edmu propadu.\n<br><br>\n\nProto t\u0159et\u00ed \u010d\u00e1st \u010dl\u00e1nku ukazuje jak kompletn\u00ed historii investic, tak srovn\u00e1n\u00ed SPY a QQQ za spole\u010dn\u00e9 obdob\u00ed.\n<br><br>\n\n<strong>Celou historii vyu\u017eijte k pochopen\u00ed investice. Ke srovn\u00e1v\u00e1n\u00ed pou\u017eijte stejn\u00e9 obdob\u00ed.<\/strong>\n<br><br>\n\n\n<h3><strong>5.2 Ov\u011b\u0159te metodiku v\u00fdpo\u010dtu<\/strong><\/h3>\n\nI za stejn\u00e9 obdob\u00ed mohou r\u016fzn\u00ed poskytovatel\u00e9 uv\u00e1d\u011bt odli\u0161n\u00e9 v\u00fdnosy.\n<br><br>\n\nRozd\u00edly mohou vznikat nap\u0159\u00edklad t\u00edm:\n<br><br>\n\n<ul>\n<li>Zda se reinvestuj\u00ed dividendy nebo jin\u00e9 distribuce.<\/li>\n<li>Zda jsou ode\u010dteny poplatky za spr\u00e1vu, obchodn\u00ed provize a dal\u0161\u00ed n\u00e1klady.<\/li>\n<li>Jak\u00e1 m\u011bna a metoda m\u011bnov\u00e9ho p\u0159epo\u010dtu se pou\u017e\u00edv\u00e1.<\/li>\n<li>Zda se maxim\u00e1ln\u00ed propad po\u010d\u00edt\u00e1 z denn\u00edch, t\u00fddenn\u00edch nebo m\u011bs\u00ed\u010dn\u00edch dat.<\/li>\n<li>Zda v\u00fdsledek zahrnuje p\u00e1ku, n\u00e1klady financov\u00e1n\u00ed a skute\u010dn\u00fd skluz p\u0159i obchodov\u00e1n\u00ed.<\/li>\n<\/ul>\n<br>\n\nV\u00fdpo\u010det z denn\u00edch dat m\u016f\u017ee nap\u0159\u00edklad odhalit hlub\u0161\u00ed propad ne\u017e v\u00fdpo\u010det z hodnot na konci m\u011bs\u00edc\u016f, proto\u017ee pokles uprost\u0159ed m\u011bs\u00edce se v m\u011bs\u00ed\u010dn\u00edch uz\u00e1v\u011brk\u00e1ch nemus\u00ed projevit.\n<br><br>\n\nRozd\u00edln\u00e1 frekvence dat tak m\u016f\u017ee srovn\u00e1n\u00ed zkreslit.\n<br><br>\n\n<strong>Ne\u017e porovn\u00e1te pom\u011bry, sjedno\u0165te definice dat i v\u00fdpo\u010detn\u00ed postup.<\/strong>\n<br><br>\n\n\n<h3><strong>5.3 Rozli\u0161ujte re\u00e1ln\u00e9 v\u00fdsledky a backtesty<\/strong><\/h3>\n\nNe v\u0161echny \u00fadaje o v\u00fdkonnosti maj\u00ed stejnou d\u016fkazn\u00ed hodnotu.\n<br><br>\n\n<strong>Skute\u010dn\u00e1 historick\u00e1 v\u00fdkonnost<\/strong> vych\u00e1z\u00ed z tr\u017en\u00edch nebo obchodn\u00edch v\u00fdsledk\u016f, kter\u00fdch bylo v dan\u00e9m obdob\u00ed opravdu dosa\u017eeno.\n<br><br>\n\n<strong>Simulovan\u00fd backtest<\/strong> odhaduje hypotetick\u00e9 v\u00fdsledky uplatn\u011bn\u00edm stanoven\u00fdch obchodn\u00edch pravidel na historick\u00e1 data.\n<br><br>\n\n<strong>C\u00edle strategie<\/strong> vyjad\u0159uj\u00ed zam\u00fd\u0161len\u00fd v\u00fdsledek, nikoli ji\u017e dosa\u017eenou v\u00fdkonnost.\n<br><br>\n\nTyto t\u0159i kategorie nelze zam\u011b\u0148ovat.\n<br><br>\n\nU kvantitativn\u00edch strategi\u00ed je krom\u011b obdob\u00ed backtestu a v\u00fdkonnostn\u00edch ukazatel\u016f pot\u0159eba posoudit p\u0159edpokl\u00e1dan\u00e9 n\u00e1klady, stabilitu parametr\u016f a dostupnost ov\u011b\u0159iteln\u00fdch z\u00e1znam\u016f o skute\u010dn\u00e9m obchodov\u00e1n\u00ed.\n<br><br>\n\n<strong>Siln\u00fd backtest nen\u00ed d\u016fkazem siln\u00e9 re\u00e1ln\u00e9 v\u00fdkonnosti.<\/strong>\n<br><br>\n\n\n<h3><strong>5.4 Zvolte vhodn\u00fd benchmark<\/strong><\/h3>\n\nI p\u0159i shodn\u00e9m obdob\u00ed a metodice mohou strategie sledovat odli\u0161n\u00e9 investi\u010dn\u00ed c\u00edle.\n<br><br>\n\nAkciov\u00e1 ETF, dluhopisov\u00e1 ETF a kvantitativn\u00ed strategie maj\u00ed r\u016fzn\u00e9 zdroje v\u00fdnos\u016f i rizika.\n<br><br>\n\nBenchmark by proto m\u011bl co nejl\u00e9pe odpov\u00eddat investi\u010dn\u00edmu zam\u011b\u0159en\u00ed, rizikov\u00e9mu profilu a \u00fa\u010delu hodnocen\u00ed.\n<br><br>\n\nPro ETF sleduj\u00edc\u00ed americk\u00e9 akcie s velkou tr\u017en\u00ed kapitalizac\u00ed m\u016f\u017ee b\u00fdt vhodn\u00fdm benchmarkem index S&amp;P 500.\n<br><br>\n\nU kvantitativn\u00ed strategie obchoduj\u00edc\u00ed na jin\u00fdch trz\u00edch nebo podle odli\u0161n\u00fdch pravidel v\u0161ak jedin\u00fd akciov\u00fd index nemus\u00ed posta\u010dovat.\n<br><br>\n\nV takov\u00e9m p\u0159\u00edpad\u011b lze samostatn\u011b posoudit p\u0159\u00edslu\u0161n\u00e9 tr\u017en\u00ed indexy, hotovost \u010di kr\u00e1tkodob\u00e9 \u00farokov\u00e9 sazby a dal\u0161\u00ed relevantn\u00ed m\u011b\u0159\u00edtka, v\u017edy spolu s riziky, n\u00e1klady a investi\u010dn\u00edmi c\u00edli.\n<br><br>\n\n<strong>Benchmark nem\u00e1 b\u00fdt snadno p\u0159ekonateln\u00fd c\u00edl. M\u00e1 pomoci zjistit, zda podstoupen\u00e9 riziko p\u0159ineslo odpov\u00eddaj\u00edc\u00ed v\u00fdnos.<\/strong>\n<br><br>\n\nN\u011bkdy m\u016f\u017ee b\u00fdt vhodn\u00fdch v\u00edce benchmark\u016f. Ani Calmar Ratio nav\u00edc nenahrazuje komplexn\u00ed anal\u00fdzu strategie.\n<br><br>\n\n\u010c\u00edm jasn\u011bj\u0161\u00ed jsou obdob\u00ed, v\u00fdpo\u010detn\u00ed metodika, d\u016fkazy o v\u00fdkonnosti a benchmarky, t\u00edm u\u017eite\u010dn\u011bj\u0161\u00ed je Calmar Ratio jako analytick\u00fd n\u00e1stroj.\n<br><br>\n\n\n<h2><strong>6. Z\u00e1v\u011br: Sledujte i riziko za v\u00fdnosem<\/strong><\/h2>\n\nSamotn\u00fd anualizovan\u00fd v\u00fdnos neukazuje cel\u00fd obraz historick\u00e9 v\u00fdkonnosti.\n<br><br>\n\nDv\u011b strategie mohou dosahovat stejn\u00e9ho v\u00fdnosu, ale kv\u016fli rozd\u00edln\u00fdm maxim\u00e1ln\u00edm propad\u016fm m\u00edt velmi odli\u0161nou v\u00fdkonnost vzhledem k riziku.\n<br><br>\n\nNaopak investice s vy\u0161\u0161\u00edm v\u00fdnosem nemus\u00ed m\u00edt lep\u0161\u00ed pom\u011br v\u00fdnosu k historick\u00e9mu maxim\u00e1ln\u00edmu propadu.\n<br><br>\n\nCalmar Ratio a pom\u011br v\u00fdnosu k propadu za celou historii pom\u00e1haj\u00ed kl\u00e1st p\u0159esn\u011bj\u0161\u00ed ot\u00e1zky:\n<br><br>\n\n<ul>\n<li>Jak\u00fd anualizovan\u00fd v\u00fdnos investice dos\u00e1hla?<\/li>\n<li>Jak\u00fd byl jej\u00ed nejv\u011bt\u0161\u00ed historick\u00fd propad?<\/li>\n<li>Jsou sledovan\u00e1 obdob\u00ed a v\u00fdpo\u010detn\u00ed metody shodn\u00e9?<\/li>\n<li>Je zvolen\u00fd benchmark vhodn\u00fd?<\/li>\n<\/ul>\n<br>\n\nHistorick\u00e9 p\u0159\u00edklady SPY, QQQ, BRK.B a BND ukazuj\u00ed, \u017ee vztah v\u00fdnos\u016f a maxim\u00e1ln\u00edch propad\u016f se m\u016f\u017ee mezi investicemi v\u00fdrazn\u011b li\u0161it.\n<br><br>\n\nA\u0165 analyzujete ETF, jednotliv\u00e9 akcie, dluhopisy nebo kvantitativn\u00ed strategie, z\u00e1kladem jsou transparentn\u00ed a vz\u00e1jemn\u011b srovnateln\u00e1 data.\n<br><br>\n\n<strong>Nejde jen o to, kdo vyd\u011blal v\u00edce. Jde o v\u00fdnos, kter\u00fd odpov\u00edd\u00e1 va\u0161im c\u00edl\u016fm a riziku, jemu\u017e rozum\u00edte.<\/strong>\n<br><br>\n\nCalmar Ratio nen\u00ed kone\u010dn\u00e1 odpov\u011b\u010f. Je to dobr\u00fd za\u010d\u00e1tek pro lep\u0161\u00ed investi\u010dn\u00ed ot\u00e1zky.\n<br><br>\n\n\n<h3><strong>Prozkoumejte v\u00fdsledky a rizika kvantitativn\u00edch strategi\u00ed<\/strong><\/h3>\n\nPokud zn\u00e1te dlouhodob\u00e9 investov\u00e1n\u00ed do ETF a zaj\u00edmaj\u00ed v\u00e1s dal\u0161\u00ed zdroje v\u00fdnos\u016f, m\u016f\u017eete prozkoumat, jak kvantitativn\u00ed obchodn\u00ed strategie zve\u0159ej\u0148uj\u00ed v\u00fdkonnost, maxim\u00e1ln\u00ed propady a pravidla \u0159\u00edzen\u00ed rizika.\n<br><br>\n\nM\u016f\u017eete tak\u00e9 proj\u00edt v\u00fdzkumn\u00e9 materi\u00e1ly strategi\u00ed Mr.Forex a s pomoc\u00ed princip\u016f z tohoto \u010dl\u00e1nku samostatn\u011b posoudit jejich obdob\u00ed, rizikov\u00e9 podm\u00ednky a vhodnost.\n<br><br>\n\n<strong>Nejd\u0159\u00edve ov\u011b\u0159te srovnatelnost dat. Teprve potom posu\u010fte, zda strategie odpov\u00edd\u00e1 va\u0161im pot\u0159eb\u00e1m.<\/strong>\n<br><br>\n\n<hr>\n<br>\n\n<strong>Upozorn\u011bn\u00ed na rizika:<\/strong> Tento \u010dl\u00e1nek slou\u017e\u00ed v\u00fdhradn\u011b k finan\u010dn\u00edmu vzd\u011bl\u00e1v\u00e1n\u00ed a poskytov\u00e1n\u00ed obecn\u00fdch informac\u00ed. Nep\u0159edstavuje individu\u00e1ln\u00ed investi\u010dn\u00ed poradenstv\u00ed ani z\u00e1ruku zisku. \u00dadaje pro strategie A, B, C a D jsou hypotetick\u00e9 vzd\u011bl\u00e1vac\u00ed p\u0159\u00edklady, nikoli skute\u010dn\u00e9 v\u00fdsledky konkr\u00e9tn\u00edch investi\u010dn\u00edch produkt\u016f. Historick\u00e1 v\u00fdkonnost uveden\u00fdch ETF a jednotliv\u00fdch akci\u00ed nezaru\u010duje budouc\u00ed v\u00fdsledky. Backtesty kvantitativn\u00edch strategi\u00ed mohou b\u00fdt ovlivn\u011bny p\u0159eu\u010den\u00edm modelu, zkreslen\u00edm dat, transak\u010dn\u00edmi n\u00e1klady, skluzem p\u0159i realizaci obchod\u016f a zm\u011bnami tr\u017en\u00edch podm\u00ednek. V\u00fdsledky backtest\u016f nejsou d\u016fkazem skute\u010dn\u00e9 obchodn\u00ed v\u00fdkonnosti ani p\u0159\u00edslibem budouc\u00edch zisk\u016f. Ka\u017ed\u00e1 investice zahrnuje riziko a investor m\u016f\u017ee p\u0159ij\u00edt o \u010d\u00e1st nebo cel\u00fd vlo\u017een\u00fd kapit\u00e1l.\n<\/span><\/div>\n\t\t\t\t\t<\/div>\n\t\t\t\t<\/div>\n\t\t\t\t<\/div>","protected":false},"excerpt":{"rendered":"<p>Jak funguje Calmar Ratio? Porovnejte ro\u010dn\u00ed v\u00fdnosy a maxim\u00e1ln\u00ed propady SPY, QQQ, BRK.B a BND. Zjist\u011bte, pro\u010d vy\u0161\u0161\u00ed v\u00fdnos nemus\u00ed znamenat lep\u0161\u00ed \u0159\u00edzen\u00ed rizika.<\/p>","protected":false},"author":1,"featured_media":74487,"parent":0,"menu_order":0,"comment_status":"closed","ping_status":"closed","template":"","meta":{"footnotes":""},"tags":[128],"class_list":["post-74473","page","type-page","status-publish","has-post-thumbnail","hentry","tag-no-google"],"_links":{"self":[{"href":"https:\/\/mister.forex\/cs\/wp-json\/wp\/v2\/pages\/74473","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/mister.forex\/cs\/wp-json\/wp\/v2\/pages"}],"about":[{"href":"https:\/\/mister.forex\/cs\/wp-json\/wp\/v2\/types\/page"}],"author":[{"embeddable":true,"href":"https:\/\/mister.forex\/cs\/wp-json\/wp\/v2\/users\/1"}],"replies":[{"embeddable":true,"href":"https:\/\/mister.forex\/cs\/wp-json\/wp\/v2\/comments?post=74473"}],"version-history":[{"count":25,"href":"https:\/\/mister.forex\/cs\/wp-json\/wp\/v2\/pages\/74473\/revisions"}],"predecessor-version":[{"id":74570,"href":"https:\/\/mister.forex\/cs\/wp-json\/wp\/v2\/pages\/74473\/revisions\/74570"}],"wp:featuredmedia":[{"embeddable":true,"href":"https:\/\/mister.forex\/cs\/wp-json\/wp\/v2\/media\/74487"}],"wp:attachment":[{"href":"https:\/\/mister.forex\/cs\/wp-json\/wp\/v2\/media?parent=74473"}],"wp:term":[{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/mister.forex\/cs\/wp-json\/wp\/v2\/tags?post=74473"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}