Performance Measures | RP | HRP | CRP2 | CRP3 | CRP4 | CRP5 | CRP6 | CRP7 | CRP8 | XRP |
All Period (from Apr, 2001 to May, 2020) | ||||||||||
Return (%, Ann) | 2.31 | 1.22 | 1.05 | 2.48 | 2.50 | 2.67 | 2.60 | 3.31 | 2.71 | 3.06 |
Risk (%, Ann) | 2.04 | 1.35 | 3.59 | 2.65 | 2.78 | 3.38 | 2.48 | 2.83 | 3.20 | 2.25 |
R/R | 1.14 | 0.90 | 0.29 | 0.93 | 0.90 | 0.79 | 1.05 | 1.17 | 0.85 | 1.36 |
maxDD (%) | 7.24 | 3.93 | 18.07 | 11.20 | 9.96 | 8.66 | 8.48 | 7.48 | 9.23 | 7.07 |
First Half Period (from Apr, 2001 to Apr, 2010) | ||||||||||
Return (%, Ann) | 2.28 | 1.74 | −0.06 | 2.21 | 2.42 | 2.31 | 2.30 | 2.34 | 2.81 | 2.91 |
Risk (%, Ann) | 2.42 | 1.82 | 4.26 | 3.14 | 3.54 | 3.23 | 2.83 | 3.00 | 3.95 | 2.62 |
R/R | 0.94 | 0.95 | −0.01 | 0.71 | 0.68 | 0.71 | 0.81 | 0.78 | 0.71 | 1.11 |
maxDD (%) | 7.24 | 3.93 | 18.07 | 11.20 | 9.96 | 8.66 | 8.48 | 7.48 | 9.23 | 7.07 |
Second Half Period (from May, 2010 to May, 2020) | ||||||||||
Return (%, Ann) | 2.34 | 0.75 | 2.04 | 2.71 | 2.58 | 2.99 | 2.86 | 4.17 | 2.62 | 3.18 |
Risk (%, Ann) | 1.61 | 0.68 | 2.86 | 2.12 | 1.85 | 3.50 | 2.11 | 2.67 | 2.32 | 1.85 |
R/R | 1.45 | 1.10 | 0.71 | 1.28 | 1.39 | 0.86 | 1.36 | 1.56 | 1.13 | 1.72 |
maxDD (%) | −4.79 | −1.23 | −8.11 | −5.68 | −5.59 | −8.86 | −5.71 | −5.81 | −5.37 | −4.23 |