Table 2 Performance evaluation-static...

Table 2

Performance evaluation-static approach

	Optimization 120 days			Optimization 150 days			Optimization 180 days
	MVP	ERC	MDP	MVP	ERC	MDP	MVP	ERC	MDP
Panel A
ES (%)	−1.276	−2.846	−0.792	−1.284	−2.840	−1.847	−1.302	−2.832	−1.849
VaR (%)	−1.015	−2.263	−0.628	−1.021	−2.258	−1.468	−1.036	−2.252	−1.469
Drawdown (%)	12.700	82.400	7.970	14.400	80.680	46.830	15.500	80.380	47.630
Omega	1.077	1.077	1.258	1.079	1.077	1.091	1.075	1.079	1.085
Sortino (%)	2.761	3.124	7.487	2.889	3.212	3.979	2.776	3.331	3.758
Sharpe (%)	1.887	2.219	4.430	1.970	2.283	2.690	1.885	2.360	2.531
Panel B
ES (%)	−2.466	−3.293	−2.118	−2.478	−3.279	−2.777	−2.441	−3.241	−2.742
VaR (%)	−1.990	−2.646	−1.708	−1.999	−2.635	−2.235	−1.971	−2.605	−2.207
Drawdown (%)	88.815	86.581	38.767	88.961	86.908	86.118	88.766	86.241	85.675
Omega	0.583	0.780	0.684	0.585	0.782	0.704	0.559	0.772	0.686
Sortino (%)	−13.087	−8.639	−12.701	−12.930	−8.610	−10.311	−13.657	−9.025	−10.867
Sharpe (%)	−10.040	−6.355	−9.179	−9.915	−6.363	−7.622	−10.679	−6.734	−8.158

	Optimization 120 days			Optimization 150 days			Optimization 180 days
	MVP	ERC	MDP	MVP	ERC	MDP	MVP	ERC	MDP
Panel A
ES (%)	−1.276	−2.846	−0.792	−1.284	−2.840	−1.847	−1.302	−2.832	−1.849
VaR (%)	−1.015	−2.263	−0.628	−1.021	−2.258	−1.468	−1.036	−2.252	−1.469
Drawdown (%)	12.700	82.400	7.970	14.400	80.680	46.830	15.500	80.380	47.630
Omega	1.077	1.077	1.258	1.079	1.077	1.091	1.075	1.079	1.085
Sortino (%)	2.761	3.124	7.487	2.889	3.212	3.979	2.776	3.331	3.758
Sharpe (%)	1.887	2.219	4.430	1.970	2.283	2.690	1.885	2.360	2.531
Panel B
ES (%)	−2.466	−3.293	−2.118	−2.478	−3.279	−2.777	−2.441	−3.241	−2.742
VaR (%)	−1.990	−2.646	−1.708	−1.999	−2.635	−2.235	−1.971	−2.605	−2.207
Drawdown (%)	88.815	86.581	38.767	88.961	86.908	86.118	88.766	86.241	85.675
Omega	0.583	0.780	0.684	0.585	0.782	0.704	0.559	0.772	0.686
Sortino (%)	−13.087	−8.639	−12.701	−12.930	−8.610	−10.311	−13.657	−9.025	−10.867
Sharpe (%)	−10.040	−6.355	−9.179	−9.915	−6.363	−7.622	−10.679	−6.734	−8.158

Note(s): This table exhibits performance measurement of MVP, ERC and MDP portfolio with different estimation windows (120, 150 and 180 days). Panel A shows the performance without transaction cost, while Panel B indicates the performance with transaction cost (50 basis points). The risk-free rate was assumed to be zero for the calculation of Sharpe and minimum acceptance return (MAR) of Sortino. A target threshold of zero was also used in omega ratio

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