|
| Min-Risk MV | shrinked-MV | MVE-MV | OGK-MV | MCD-MV | Benchmark 2 |
| Total return | 0.22 | 0.24 | 0.22 | 0.20 | 0.21 | 0.60 |
| Mean return | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.01 |
| StdDev return | 0.03 | 0.03 | 0.03 | 0.03 | 0.03 | 0.05 |
| Max. loss | −0.22 | −0.02 | −0.21 | −0.22 | −0.22 | −0.25 |
| Sharpe ratio | 7.33 | 8.00 | 7.33 | 6.66 | 7.00 | 12.00 |