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 | ||||||||||||
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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 |