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Table 4 Financial ratios of daily returns (Rp) for each method

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

Mksize

FinPerf

MV

HRP

RPP

IdX

SR

LR

MR

HR

175

CumRet

128.613

137.745

137.470

87.414

153.087

83.576

147.806

 

AnnRet

96.592

103.450

103.244

65.650

114.973

62.768

111.006

 

MDD

0.035

0.682

0.269

1.078

0.555

1.346

0.527

 

ETL

− 0.070

− 0.326

− 0.264

− 0.417

− 0.367

− 0.393

− 0.357

 

VaR

− 0.053

− 0.221

− 0.128

− 0.302

− 0.246

− 0.308

− 0.242

 

AnnSR

1.521

1.648

3.673

2.327

2.214

1.941

2.321

 

CAL

0.268

0.204

0.254

0.146

0.238

0.133

0.235

 

OME

8.351

5.650

13.546

7.617

7.827

5.394

7.102

 

250

CumRet

78.607

114.900

128.052

87.414

145.823

78.774

164.843

 

AnnRet

59.036

86.293

96.171

65.650

109.517

59.162

123.802

 

MDD

0.026

0.417

0.358

1.078

0.607

2.073

0.569

 

ETL

− 0.070

− 0.347

− 0.295

− 0.417

− 0.375

− 0.393

− 0.386

 

VaR

− 0.052

− 0.259

− 0.188

− 0.302

− 0.268

− 0.310

− 0.286

 

AnnSR

1.033

1.896

3.248

2.327

2.363

1.714

2.829

 

CAL

0.141

0.174

0.231

0.146

0.234

0.121

0.273

 

OME

7.186

6.195

11.466

7.617

8.244

4.867

8.739

 

Whole market

CumRet

27.593

99.847

130.337

87.414

452.611

12.655

629.661

72.812

AnnRet

20.723

74.988

97.887

65.650

339.924

9.504

472.894

54.684

MDD

0.004

0.183

0.349

1.078

0.058

2.050

0.039

0.114

ETL

− 0.014

− 0.305

− 0.285

− 0.417

− 0.163

− 0.308

− 0.204

− 0.188

VaR

− 0.004

− 0.217

− 0.144

− 0.302

− 0.008

− 0.170

− 0.017

0.000

AnnSR

1.746

1.079

0.886

2.327

4.089

0.608

3.057

1.341

CAL

0.569

0.130

0.122

0.146

0.832

0.015

1.011

0.106

OME

21.729

4.116

17.000

7.617

35.699

3.628

36.576

17.298

  1. CumRet is cumulative return (\(r_A\)), AnnRet is annualized return (\(r^{ann}_A\)), MDD is the maximum drawdown (\(D_{max}\)), ETL is the Conditional VaR, AnnSR is the annualized Sharpe ratio (\(SR_{ann}\)), CAL is the Calmar ratio and OME is the Omega ratio