Performance measure values

${\bar{R}}_P$

${\sigma }_P$

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%