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Table 5 Quarterly portfolio performances of each strategy

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

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

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

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