Dimension: 20

Obervation: 1250

Obersvation: 2500

Obersvation: 7500

Correlation/MVRK Win Prob

Sharpe ratio

VaR

Sharpe ratio

VaR

Sharpe ratio

VaR

0.1

0.74

0.73

0.83

0.82

0.97

0.96

0.2

0.61

0.62

0.68

0.68

0.86

0.86

0.3

0.54

0.54

0.58

0.60

0.70

0.72

0.4

0.50

0.51

0.47

0.50

0.52

0.56

0.5

0.38

0.40

0.35

0.39

0.30

0.36

0.6

0.27

0.30

0.20

0.24

0.10

0.14

0.7

0.15

0.19

0.07

0.10

0.001

0.01

Dimension: 30

Obervation: 1250

Obersvation: 2500

Obersvation: 7500

Correlation/MVRK Win Prob

Sharpe ratio

VaR

Sharpe ratio

VaR

Sharpe ratio

VaR

0.1

0.70

0.69

0.77

0.78

0.89

0.88

0.2

0.58

0.59

0.64

0.64

0.77

0.76

0.3

0.54

0.51

0.55

0.56

0.62

0.62

0.4

0.48

0.47

0.47

0.48

0.46

0.49

0.5

0.40

0.40

0.35

0.37

0.29

0.31

0.6

0.30

0.30

0.19

0.24

0.09

0.12

0.7

0.13

0.17

0.04

0.08

0.002

0.01

Dimension : 40

Obervation: 1250

Obersvation: 2500

Obersvation: 7500

Correlation/MVRK Win Prob

Sharpe ratio

VaR

Sharpe ratio

VaR

Sharpe ratio

VaR

0.1

0.69

0.68

0.75

0.75

0.90

0.90

0.2

0.60

0.60

0.64

0.64

0.80

0.79

0.3

0.57

0.58

0.61

0.60

0.74

0.74

0.4

0.52

0.54

0.60

0.60

0.64

0.64

0.5

0.50

0.53

0.49

0.50

0.51

0.53

0.6

0.39

0.41

0.36

0.40

0.31

0.37

0.7

0.29

0.31

0.17

0.22

0.04

0.09