Annual return

(%)

Maximum Drawdown

(%)

Annualized volatility

(%)

Turnover rate

(%)

Sharp

ratio

Calmar

ratio

mean-CVaR

10.82

−5.35

5.61

8.06

1.9268

2.0227

GARCH-CVaR

10.48

−8.07

6.13

8.37

1.7092

1.2992

AC-CVaR

11.30

−4.74

5.23

10.25

2.1589

2.3868