Znormalizowany względem czasu τ wskaźnik Calmara i jego zastosowanie w analizie efektywności inwestycji portfelowych
Tau-normalized-Calmar ratio and its application in the analysis of portfolio investment efficiency

Summary/Abstract: Tau-normalized-Calmar ratio belongs to the group of profit and loss ratios based on the maximum drawdown of the rate of return. Opposed to simple profit and loss ratios – of Calmar, Sterling and Burke – it offers the advantage of comparing and evaluating outcomes of financial investment from different periods; when data on the mean and standard deviation of the portfolios return (or Sharpe ratios) have been annualized or when classic Calmar ratios for compared portfolios have been disclosed for different periods. The paper shows the method of calculating tau-normalized-Calmar ratio and presents its application in the empirical analysis of investment efficiency of the open pension funds in the years 2000−2011.

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