| 5% VaR | −0.67% | −0.44% | −0.19% | −0.12% |
|
| cVaR | −1.05% | −0.73% | −0.30% | −0.21% |
|
| Annual return | 20.64% | 10.34% | 7.56% | 5.50% | 0.8 |
| Sharpe ratio | 1.85 | 1.01 | 1.82 | 0.97 |
|
| Maximum Drawdown | 11.36% | 8.65% | 1.29% | 1.03% |
|
| 5% VaR | −0.69% | −0.44% | −0.12% | −0.08% |
|
| cVaR | −1.09% | −0.73% | −0.21% | −0.13% |
|
| Annual return | 21.24% | 10.34% | 5.98% | 4.89% | 0.9 |
| Sharpe ratio | 1.82 | 1.01 | 1.75 | 0.91 |
|
| Maximum Drawdown | 12.74% | 8.65% | 0.59% | 0.44% |
|
| 5% VaR | −0.74% | −0.44% | −0.06% | −0.03% |
|
| cVaR | −1.15% | −0.73% | −0.10% | −0.06% |
|
| Annual return | 21.67% | 10.34% | 4.35% | 4.35% | 1.0 |
| Sharpe ratio | 1.75 | 1.01 |
| ||
| Maximum Drawdown | 14.57% | 8.65% |
| ||
| 5% VaR | −0.80% | −0.44% |
| ||
| cVaR | −1.24% | −0.73% |
|