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%