| Size | Mean Return | Volatility | Sharpe Ratio | ||||||||
ASR | CER | MDD | ASR | CER | MDD | ASR | CER | MDD | ASR | CER | MDD | |
0 | 0.48 | 0.11 | 0.98 | 0.28 | 0.04 | 0.94 | 0.33 | 0.05 | 0.93 | 0.27 | 0.04 | 0.93 |
1 | 0.47 | 0.10 | 0.98 | 0.37 | 0.07 | 0.96 | 0.34 | 0.06 | 0.94 | 0.37 | 0.07 | 0.95 |
2 | 0.40 | 0.08 | 0.97 | 0.37 | 0.07 | 0.96 | 0.25 | 0.03 | 0.91 | 0.34 | 0.06 | 0.95 |
3 | 0.37 | 0.07 | 0.96 | 0.30 | 0.05 | 0.95 | 0.33 | 0.05 | 0.95 | 0.31 | 0.05 | 0.95 |
4 | 0.32 | 0.05 | 0.97 | 0.35 | 0.06 | 0.95 | 0.28 | 0.04 | 0.95 | 0.39 | 0.07 | 0.96 |
6 | 0.28 | 0.04 | 0.96 | 0.34 | 0.06 | 0.96 | 0.36 | 0.06 | 0.96 | 0.40 | 0.08 | 0.97 |
5 | 0.28 | 0.04 | 0.95 | 0.40 | 0.08 | 0.97 | 0.31 | 0.05 | 0.95 | 0.38 | 0.07 | 0.96 |
SSE | 0.21 | 0.02 | 0.83 | 0.21 | 0.02 | 0.83 | 0.21 | 0.02 | 0.83 | 0.21 | 0.02 | 0.83 |
9 | 0.20 | 0.01 | 0.94 | 0.32 | 0.05 | 0.96 | 0.25 | 0.03 | 0.94 | 0.28 | 0.04 | 0.95 |
10 | 0.19 | 0.01 | 0.93 | 0.28 | 0.04 | 0.95 | 0.26 | 0.03 | 0.95 | 0.27 | 0.03 | 0.95 |
7 | 0.18 | 0.00 | 0.94 | 0.39 | 0.07 | 0.96 | 0.27 | 0.03 | 0.94 | 0.37 | 0.07 | 0.96 |
8 | 0.17 | 0.00 | 0.94 | 0.38 | 0.07 | 0.97 | 0.19 | 0.01 | 0.93 | 0.30 | 0.05 | 0.95 |
13 | 0.14 | −0.01 | 0.89 | 0.17 | 0.00 | 0.92 | 0.19 | 0.01 | 0.93 | 0.14 | −0.01 | 0.92 |
17 | 0.12 | −0.01 | 0.97 | 0.02 | −0.04 | 0.87 | 0.06 | −0.04 | 0.85 | −0.03 | −0.06 | 0.87 |
12 | 0.10 | −0.02 | 0.91 | 0.17 | 0.00 | 0.92 | 0.21 | 0.02 | 0.93 | 0.19 | 0.01 | 0.91 |
11 | 0.08 | −0.03 | 0.86 | 0.23 | 0.02 | 0.93 | 0.18 | 0.01 | 0.92 | 0.28 | 0.04 | 0.95 |
14 | 0.07 | −0.03 | 0.86 | 0.16 | 0.00 | 0.91 | 0.20 | 0.01 | 0.93 | 0.18 | 0.01 | 0.92 |
15 | 0.05 | −0.03 | 0.86 | 0.07 | −0.03 | 0.86 | 0.14 | −0.01 | 0.90 | 0.05 | −0.03 | 0.85 |
19 | 0.04 | −0.02 | 0.85 | −0.40 | −0.18 | 0.97 | 0.03 | −0.05 | 0.85 | −0.30 | −0.14 | 0.96 |
18 | 0.04 | −0.03 | 0.85 | −0.13 | −0.09 | 0.87 | 0.01 | −0.05 | 0.87 | −0.13 | −0.09 | 0.86 |
16 | −0.00 | −0.05 | 0.87 | 0.05 | −0.03 | 0.87 | 0.04 | −0.05 | 0.85 | 0.04 | −0.04 | 0.87 |