| Performance measure values | ||||
|
| Sharpe ratio | IR | Sortino Ratio | |
MVO Portfolio-1998-2002 | 0.00000007% | 0.8531% | −18.1128% | −20.4355% | −10.954% |
TA Portfolio-1998-2002 | 0.035% | 1.0833% | −14.2313% | −13.5473% | −9.6618% |
(l)2-6 MVO Portfolio-2003-2007 | 6.5% | 1.5635% | 0.3378% | 0.2496% | 0.0906% |
TA Portfolio-2003-2007 | 6% | 1.4744% | 0.0191% | 0.0144% | 0.0048% |
(l)2-6 MVO Portfolio-2008-2012 | 1.2% | 1.3607% | −5.337% | −1.9485% | −0.8575% |
TA Portfolio-2008-2012 | 1.2% | 1.4384% | −5.0487% | −1.7117% | −0.8387% |
(l)2-6 MVO Portfolio-2013-2016 | 3.8% | 1.6271% | −3.7446% | 0.0295% | −0.6282% |
TA Portfolio-2013-2016 | 3.5% | 1.5177% | −4.2121% | −0.1564% | −0.6283% |