Mksize | FinPerf | MV | HRP | RPP | IdX | SR | LR | MR | HR |
---|---|---|---|---|---|---|---|---|---|
175 | CumRet | 128.613 | 137.745 | 137.470 | 87.414 | 153.087 | 83.576 | 147.806 | Â |
AnnRet | 96.592 | 103.450 | 103.244 | 65.650 | 114.973 | 62.768 | 111.006 | Â | |
MDD | 0.035 | 0.682 | 0.269 | 1.078 | 0.555 | 1.346 | 0.527 | Â | |
ETL | − 0.070 | − 0.326 | − 0.264 | − 0.417 | − 0.367 | − 0.393 | − 0.357 |  | |
VaR | − 0.053 | − 0.221 | − 0.128 | − 0.302 | − 0.246 | − 0.308 | − 0.242 |  | |
AnnSR | 1.521 | 1.648 | 3.673 | 2.327 | 2.214 | 1.941 | 2.321 | Â | |
CAL | 0.268 | 0.204 | 0.254 | 0.146 | 0.238 | 0.133 | 0.235 | Â | |
OME | 8.351 | 5.650 | 13.546 | 7.617 | 7.827 | 5.394 | 7.102 | Â | |
250 | CumRet | 78.607 | 114.900 | 128.052 | 87.414 | 145.823 | 78.774 | 164.843 | Â |
AnnRet | 59.036 | 86.293 | 96.171 | 65.650 | 109.517 | 59.162 | 123.802 | Â | |
MDD | 0.026 | 0.417 | 0.358 | 1.078 | 0.607 | 2.073 | 0.569 | Â | |
ETL | − 0.070 | − 0.347 | − 0.295 | − 0.417 | − 0.375 | − 0.393 | − 0.386 |  | |
VaR | − 0.052 | − 0.259 | − 0.188 | − 0.302 | − 0.268 | − 0.310 | − 0.286 |  | |
AnnSR | 1.033 | 1.896 | 3.248 | 2.327 | 2.363 | 1.714 | 2.829 | Â | |
CAL | 0.141 | 0.174 | 0.231 | 0.146 | 0.234 | 0.121 | 0.273 | Â | |
OME | 7.186 | 6.195 | 11.466 | 7.617 | 8.244 | 4.867 | 8.739 | Â | |
Whole market | CumRet | 27.593 | 99.847 | 130.337 | 87.414 | 452.611 | 12.655 | 629.661 | 72.812 |
AnnRet | 20.723 | 74.988 | 97.887 | 65.650 | 339.924 | 9.504 | 472.894 | 54.684 | |
MDD | 0.004 | 0.183 | 0.349 | 1.078 | 0.058 | 2.050 | 0.039 | 0.114 | |
ETL | − 0.014 | − 0.305 | − 0.285 | − 0.417 | − 0.163 | − 0.308 | − 0.204 | − 0.188 | |
VaR | − 0.004 | − 0.217 | − 0.144 | − 0.302 | − 0.008 | − 0.170 | − 0.017 | 0.000 | |
AnnSR | 1.746 | 1.079 | 0.886 | 2.327 | 4.089 | 0.608 | 3.057 | 1.341 | |
CAL | 0.569 | 0.130 | 0.122 | 0.146 | 0.832 | 0.015 | 1.011 | 0.106 | |
OME | 21.729 | 4.116 | 17.000 | 7.617 | 35.699 | 3.628 | 36.576 | 17.298 |