Online risk-based portfolio allocation on subsets of crypto assets applying a prototype-based clustering algorithm

Financial Innovation

Table 3 Descriptive statistics of the cumulative portfolio returns (Rp) for each strategy

MkSize	Stat	MV	HRP	RPP	IdX	SR	LR	MR	HR
175	Mean	0.265	0.283	0.283	0.180	0.315	0.172	0.304
	Stdev	0.603	0.596	0.267	0.268	0.493	0.307	0.454
	Minimum	− 0.101	− 0.606	− 0.550	− 0.590	− 0.619	− 0.592	− 0.564
	Median	0.076	0.120	0.295	0.194	0.205	0.148	0.212
	Maximum	4.878	8.589	1.065	1.185	2.521	1.470	2.147
250	Mean	0.162	0.236	0.263	0.180	0.300	0.162	0.339
	Stdev	0.542	0.432	0.281	0.268	0.440	0.328	0.415
	Minimum	− 0.094	− 0.556	− 0.545	− 0.590	− 0.520	− 0.559	− 0.508
	Median	0.055	0.123	0.223	0.194	0.233	0.084	0.303
	Maximum	6.756	2.192	1.037	1.185	2.674	2.085	1.593
Whole market	Mean	0.057	0.205	0.268	0.180	0.931	0.026	1.296	0.150
	Stdev	0.113	0.660	1.049	0.268	0.789	0.148	1.468	0.387
	Minimum	− 0.035	− 0.480	− 0.477	− 0.590	− 0.403	− 0.609	− 0.456	− 0.403
	Median	0.024	0.036	0.000	0.194	0.815	0.011	0.816	0.000
	Maximum	1.409	9.262	6.676	1.185	7.548	1.259	9.574	2.252

MV, mean-variance model; HRP, hierarchical risk parity; RPP, risk parity portfolio; IdX, Index CCI30; SR, sharpe ratio strategy; LR, low-risk strategy, MR, mean-risk strategy; HR, high-risk strategy