Take Bitcoin into your portfolio: a novel ensemble portfolio optimization framework for broad commodity assets

Financial Innovation

Table 5 Quarterly portfolio performances of each strategy

Strategy	09/2018–11/2018			12/2018–02/2019			03/2019–05/2019			06/2019–08/2019			09/2019–11/2019			12/2019–02/2020
Strategy	Return (%)	Volatility (%)	Sharpe ratio	Return (%)	Volatility (%)	Sharpe ratio	Return (%)	Volatility (%)	Sharpe ratio	Return (%)	Volatility (%)	Sharpe ratio	Return (%)	Volatility (%)	Sharpe ratio	Return (%)	Volatility (%)	Sharpe ratio
EBCA	3.79	10.53	0.36	23.71	14.48	1.64	71.65	45.58	1.57	58.87	50.49	1.17	15.61	11.07	1.41	34.39	13.51	2.55
TBCA	11.62	8.84	1.31	19.50	18.56	1.05	24.87	10.42	2.39	22.57	19.95	1.13	22.72	43.13	0.53	19.20	37.62	0.51
EEWP	− 13.57	20.95	− 0.65	− 0.70	11.23	− 0.06	18.28	22.17	0.82	10.07	30.85	0.33	− 2.73	14.88	− 0.18	9.63	43.97	0.22
TEWP	− 6.16	10.79	− 0.57	− 0.13	14.31	− 0.01	2.75	10.76	0.26	3.70	15.03	0.25	4.18	9.94	0.42	4.29	83.48	0.05
DJCI	0.11	10.98	0.01	2.33	12.90	0.18	− 0.46	7.96	− 0.06	2.08	14.28	0.15	3.75	9.67	0.39	− 3.50	80.05	− 0.04
FTGC	− 3.57	10.51	− 0.34	2.12	9.70	0.22	− 2.08	7.23	− 0.29	0.42	10.46	0.04	2.41	7.32	0.33	− 3.89	68.54	− 0.06
GBTC	− 55.48	65.72	− 0.84	7.29	58.88	0.12	113.91	103.04	1.11	30.57	123.97	0.25	− 15.63	79.35	− 0.20	36.22	109.75	0.33

To conduct a clear performance comparison, the indicators in Table 3 are considered annualized returns, volatility, and Sharpe ratio