Table 8 Portfolio metrics for pairs...

Table 8

Portfolio metrics for pairs BTC-S&P 500, BTC-NASDAQ, BTC-VIX, and BTC-WTI comparing normal, Student-t, asymmetric normal, asymmetric Student-t and DCC model performance based on the Sharpe ratio

	Normal	Student−t	Asym. Normal	Asym. Student−t	DCC model
Panel A: (BTC, S&P 500)
Annualised return	0.0525	0.0656	0.0603	0.0648	0.0565
Annualised volatility	0.2141	0.2130	0.2132	0.2130	0.2141
Sharpe ratio	0.0224	0.0261 ***	0.0246	0.0259 **	0.0235
Panel B: (BTC, NASDAQ)
Annualised return	0.0710	0.0855	0.0782	0.0842	0.0762
Annualised volatility	0.2439	0.2430	0.2434	0.2430	0.2437
Sharpe ratio	0.0258	0.0294 **	0.0276	0.0290	0.0271
Panel C: (BTC, VIX)
Annualised return	0.3054	0.3189	0.3061	0.3151	0.3091
Annualised volatility	0.5378	0.5370	0.5379	0.5368	0.5379
Sharpe ratio	0.0485	0.0498 *	0.0486	0.0495	0.0489
Panel D: (BTC, WTI)
Annualised return	0.0547	0.0539	0.0554	0.0537	0.0543
Annualised volatility	0.3817	0.3821	0.3815	0.3822	0.3819
Sharpe ratio	0.0217	0.0216	0.0218	0.0216	0.0217

	Normal	Student−t	Asym. Normal	Asym. Student−t	DCC model
Panel A: (BTC, S&P 500)
Annualised return	0.0525	0.0656	0.0603	0.0648	0.0565
Annualised volatility	0.2141	0.2130	0.2132	0.2130	0.2141
Sharpe ratio	0.0224	0.0261 ***	0.0246	0.0259 **	0.0235
Panel B: (BTC, NASDAQ)
Annualised return	0.0710	0.0855	0.0782	0.0842	0.0762
Annualised volatility	0.2439	0.2430	0.2434	0.2430	0.2437
Sharpe ratio	0.0258	0.0294 **	0.0276	0.0290	0.0271
Panel C: (BTC, VIX)
Annualised return	0.3054	0.3189	0.3061	0.3151	0.3091
Annualised volatility	0.5378	0.5370	0.5379	0.5368	0.5379
Sharpe ratio	0.0485	0.0498 *	0.0486	0.0495	0.0489
Panel D: (BTC, WTI)
Annualised return	0.0547	0.0539	0.0554	0.0537	0.0543
Annualised volatility	0.3817	0.3821	0.3815	0.3822	0.3819
Sharpe ratio	0.0217	0.0216	0.0218	0.0216	0.0217

Note(s): The stars next to the Sharpe ratios are associated with the p-values of the test of Ledoit and Wolf (2008) for the the difference of Sharpe ratios between each GAS model and the DCC model (* 10%, ** 5%, and *** 1% significance levels)

Source(s): Authors’ own work

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