Performance Ratios

${\overline{R}}_P$

${\sigma }_P$

Sharpe ratio

IR

Sortino Ratio

MVO Portfolio - weekly

2.7165%

0.8116%

−8.8401%

−0.0182%

−0.2749%

TA Portfolio - weekly

7.9397%

1.3824%

−1.4118%

0.2983%

−0.0696%

MVO Portfolio - monthly

2.227%

1.8482%

−4.1149%

−0.6865%

−0.7738%

TA Portfolio - monthly

5.4409%

2.5819%

−1.7007%

0.7684%

−0.4507%