Portfolio | Mean Returns | Beta | Treynor Ratio | |||
Mean | Variance | mean | Variance | Mean | Variance | |
Inc. TF | 2.49 | 0.12 | 1.71 | 14.1 | −0.41 | 0.94 |
Dec.TF | 0.84 | 0.19 | 23.48 | 33.4 | −0.13 | - |
Random allocation | 3.78 | 2.01 | −15.3 | 334.93 | −0.16 | 0.04 |