Early vs recent sub-sample analysis
| Panel A. Early optimal portfolio (August 2013–April 2016) | ||||||
| Return (bp) | Std (bp) | CV | ||||
| 3.98 | 25.81 | 6.486407 | ||||
| Early optimal portfolio weights (%) | ||||||
| BTC | XRP | LTC | DJIA | VIX | Real estate | Bonds |
| 1.2672 | 0.2848 | 0.5968 | 37.7350 | 4.2141 | 5.8285 | 50.0735 |
| Panel B. Recent optimal portfolio (April 2016–January 2019) | ||||||
| Return (bp) | Std (bp) | CV | ||||
| 8.99 | 52.02 | 5.787194 | ||||
| Recent optimal portfolio weights (%) | ||||||
| BTC | XRP | LTC | DJIA | VIX | Real Estate | Bonds |
| 5.0531 | 2.2336 | −1.5149 | 73.2371 | 6.0069 | −4.9375 | 19.9218 |
| Return (bp) | Std (bp) | CV | ||||
| 3.98 | 25.81 | 6.486407 | ||||
| Early optimal portfolio weights (%) | ||||||
| BTC | XRP | LTC | DJIA | VIX | Real estate | Bonds |
| 1.2672 | 0.2848 | 0.5968 | 37.7350 | 4.2141 | 5.8285 | 50.0735 |
| Return (bp) | Std (bp) | CV | ||||
| 8.99 | 52.02 | 5.787194 | ||||
| Recent optimal portfolio weights (%) | ||||||
| BTC | XRP | LTC | DJIA | VIX | Real Estate | Bonds |
| 5.0531 | 2.2336 | −1.5149 | 73.2371 | 6.0069 | −4.9375 | 19.9218 |
Notes: Optimal portfolio characteristics with different cryptocurrencies are provided in the table for the early subsample (from August 4, 2013 through April 26, 2016) and for the recent subsample (from April 27, 2016 through January 17, 2019). Panel A presents the optimal portfolio characteristics for the early subsample and Panel B presents optimal portfolio characteristics for the recent subsample. The return and standard deviation of the optimal portfolio are listed as basis points along with the coefficient of variation. Optimal portfolio weights are given as percentages. BTC is Bitcoin, XRP is Ripple, LTC is Litecoin, DJIA is Dow Jones Industrial Average Index, Real Estate is the Vanguard Real Estate Index and Bonds is the Vanguard Total Bond Market Index