| Transaction cost: 0.05% | MVRK | Full Kelly | Fractional MVRK | Fractional Kelly | p = m |
| Annual return | 13.86% | 10.34% | 12.90% | 9.73% | 0.1 |
| Sharpe ratio | 1.44 | 1.01 | 1.43 | 1.01 |
|
| Maximum Drawdown | 8.50% | 8.65% | 7.04% | 7.43% |
|
| 5% VaR | −0.51% | −0.44% | −0.45% | −0.40% |
|
| cVaR | −0.82% | −0.73% | −0.73% | −0.65% |
|
| Annual return | 15.61% | 10.34% | 13.34% | 9.13% | 0.2 |
| Sharpe ratio | 1.60 | 1.01 | 1.60 | 1.01 |
|
| Maximum Drawdown | 8.35% | 8.65% | 5.83% | 6.21% |
|
| 5% VaR | −0.53% | −0.44% | −0.42% | −0.35% |
|
| cVaR | −0.87% | −0.73% | −0.69% | −0.58% |
|
| Annual return | 16.79% | 10.34% | 13.04% | 8.52% | 0.3 |
| Sharpe ratio | 1.69 | 1.01 | 1.69 | 1.01 |
|
| Maximum Drawdown | 8.10% | 8.65% | 5.13% | 5.00% |
|
| 5% VaR | −0.56% | −0.44% | −0.39% | −0.30% |
|
| cVaR | −0.91% | −0.73% | −0.63% | −0.50% |
|
| Annual return | 17.75% | 10.34% | 12.36% | 7.92% | 0.4 |
| Sharpe ratio | 1.76 | 1.01 | 1.75 | 1.00 |
|
| Maximum Drawdown | 8.43% | 8.65% | 4.35% | 3.87% |
|
| 5% VaR | −0.60% | −0.44% | −0.35% | −0.26% |
|
| cVaR | −0.95% | −0.73% | −0.56% | −0.43% |
|
| Annual return | 18.57% | 10.34% | 11.43% | 7.31% | 0.5 |
| Sharpe ratio | 1.80 | 1.01 | 1.79 | 1.00 |
|
| Maximum Drawdown | 8.89% | 8.65% | 3.60% | 3.15% |
|
| 5% VaR | −0.62% | −0.44% | −0.30% | −0.21% |
|
| cVaR | −0.98% | −0.73% | −0.48% | −0.36% |
|
| Annual return | 19.35% | 10.34% | 10.31% | 6.71% | 0.6 |
| Sharpe ratio | 1.84 | 1.01 | 1.82 | 0.99 |
|
| Maximum Drawdown | 9.48% | 8.65% | 2.84% | 2.42% |
|
| 5% VaR | −0.63% | −0.44% | −0.24% | −0.17% |
|
| cVaR | −1.01% | −0.73% | −0.40% | −0.28% |
|
| Annual return | 20.01% | 10.34% | 9.00% | 6.10% | 0.7 |
| Sharpe ratio | 1.85 | 1.01 | 1.83 | 0.98 |
|
| Maximum Drawdown | 10.26% | 8.65% | 2.04% | 1.71% |
|